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Re : st: RE: Gregory and hansen test with stata
From
Helene Kamgnia <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re : st: RE: Gregory and hansen test with stata
Date
Mon, 11 Jul 2011 06:01:39 +0100 (BST)
Hi,
Thank's
Hélène Shirley KAMGNIA
Étudiante MA
Université d'Auvergne-CERDI
----- Mail original -----
De : Muhammad Anees <[email protected]>
À : [email protected]
Cc :
Envoyé le : Lundi 11 Juillet 2011 5h42
Objet : Re: st: RE: Gregory and hansen test with stata
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
<[email protected]> 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: [email protected] [[email protected]] On Behalf Of Helene Kamgnia [[email protected]]
> Sent: Saturday, July 09, 2011 11:40 PM
> To: [email protected]
> 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:
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*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/