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From | Muhammad Anees <anees@aneconomist.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: RE: Gregory and hansen test with stata |
Date | Mon, 11 Jul 2011 08:42:20 +0500 |
To help Helene the reference, it is actually Gregory, A.W. and Hansen, B.E. (1996). "Residual Based Tests for cointegration in models with regime shifts", Journal of Econometrics, Vol. 70, PP. 99-126 A version of unit roots tests are available. Check -findit zandrews- for structural break unit root testing and -findit clemao2- for two strutural breaks unit root testing. These might pave the way for further guidance. Check the complete references for the above unit root tests are 1. Andrews, D., Zivot, E. 1992. Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis. Journal of Business and Economic Statistics 10, 251-70. 2. Christopher F. Baum, (2005), "Stata: The language of choice for time-series analysis?" The Stata Journal, 5, Number 1, pp. 46–63 Hope this guides. Anees On Sun, Jul 10, 2011 at 8:41 PM, Lachenbruch, Peter <Peter.Lachenbruch@oregonstate.edu> wrote: > I can't help you, but the FAQ says you must give a reference to the test. Most people aren't familiar with specific items (well, t-tests and regression are easy) > > ________________________________________ > From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Helene Kamgnia [shirleyna2000@yahoo.fr] > Sent: Saturday, July 09, 2011 11:40 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: Gregory and hansen test with stata > > Hi, > > I want to perform Gregory and hansen test (cointegration test of times series with structurals break) in stata > > Please can someone help me to do this? > 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/ > -- Muhammad Anees MSc & MS in Economics * * 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/