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From | Amir Sariaslan <amir.sariaslan@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: Re : st: Cointegration tests with structurals breaks |
Date | Sun, 10 Jul 2011 22:39:17 +0200 |
Hélène, Unfortunately, I don't work with time-series data so I can't help you with the specifics. I did however come across the following article while googling: Moran, J. L., Solomon, P. J. and for the Adult Database Management Committee (ADMC) of the Australian and New Zealand Intensive Care Society (ANZICS) (2011), Conventional and advanced time series estimation: application to the Australian and New Zealand Intensive Care Society (ANZICS) adult patient database, 1993–2006. Journal of Evaluation in Clinical Practice, 17: 45–60. doi: 10.1111/j.1365-2753.2010.01368.x The article included the following reference to a user-written Stata program that you might be able to get access to: Poi, B. (2009) Greghansen: stata module to implement the Gregory-Hansen test for cointegration in models with regime shifts. User-written command: Send an email to bpoi@stata.com to obtain the current version, Accessed July 2009. Sincerely, Amir On Sun, Jul 10, 2011 at 7:02 PM, Helene Kamgnia <shirleyna2000@yahoo.fr> wrote: > Amir, > > I have done a mistake it is not -Hansen test- but Gregrory and Hansen Test > > It is a conintegration test with structural breaks. > > is it possible to perform this test in stata? > > Thank's > > Regards > > Hélène Shirley KAMGNIA > Étudiante MA > Université d'Auvergne-CERDI > > > > ----- Mail original ----- > De : Amir Sariaslan <amir.sariaslan@gmail.com> > À : statalist@hsphsun2.harvard.edu > Cc : > Envoyé le : Dimanche 10 Juillet 2011 15h55 > Objet : Re: st: Cointegration tests with structurals breaks > > Hélène, > > Have you tried looking up relevant packages with -findit hansen- > and/or -findit error correction-? > > Sincerely, > Amir > > On Sat, Jul 9, 2011 at 7:28 PM, Helene Kamgnia <shirleyna2000@yahoo.fr> wrote: >> Hi, >> I have two problems with times series in stata: >> >> firstly i want to perform an cointegration test with structurals breaks in stata: Hansen Test >> >> secondly i want to know if it possible to do an error correction model (like Hendry's model) with structural breaks; >> if yes, i want to know how i should do this in stata. >> >> Please can someone help me. >> >> Thank's >> >> >> Hélène Shirley KAMGNIA >> Étudiante MA >> Université d'Auvergne-CERDI >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/