Re: Re : st: Cointegration tests with structurals breaks

["Brian P. Poi" <brian@poiholdings.com>]

Brian P. Poi

On 07/10/2011 04:39 PM, Amir Sariaslan wrote:
> 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.

Hey, that's me!

Bruce Hansen has both Matlab and Gauss programs to implement the 
Gregory-Hansen test available for download at his website:

http://www.ssc.wisc.edu/~bhansen/progs/joe_96.html

At one time or another I may have helped a user convert the Matlab code 
into Mata, but I don't recall having made anything sufficiently tested 
and refined for public release.

That said, depending on one's familiarity with both Mata and either 
Matlab or Gauss, converting the Matlab or Gauss code to Mata is one 
alternative.

   -- Brian Poi
   -- brian@poiholdings.com
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