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Re: st: Package -ghansen- now available in SSC
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
<[email protected]>
Subject
Re: st: Package -ghansen- now available in SSC
Date
Fri, 2 Sep 2011 01:07:18 -0400
Dear Anees
Could you send me your database, or could you replicate your problem
using a Stata example dataset? I want to look at the problem more
closely.
If you want to send me your database, please do so directly to my
email address, because attachments are forbidden in Statalist.
_______________________
Jorge Eduardo Pérez Pérez
On Fri, Sep 2, 2011 at 12:34 AM, Muhammad Anees <[email protected]> wrote:
> Thanks for your nice work, Baum and Pérez, facilitating to estimate
> the Gregory and Hansen (1996) cointegration, which is most desirable
> in a few cases.
>
> I have came up with a small query using the -ghensen- routine just
> after installing it. I think it is related to mata type but I am
> unable to sort out the issue.
>
> I have the following time series data, which is already -tsset-ed
>
> . des c y z e t
>
> storage display value
> variable name type format label variable label
> ------------------------------------------------------------------------------------------------------------------------------
> c float %9.0g
> y float %9.0g
> z float %9.0g
> e float %9.0g
> t float %9.0g
>
> and the application of -gehansen results in below
>
> ghansen c y z e t, break(level) lagmethod(aic) maxlags(5)
> variable y z e t not found
> st_data(): 3500 invalid Stata variable name
> main(): - function returned error
> <istmt>: - function returned error
>
> I would be thankful for helping me in my case.
>
>
> Anees
>
>
>
> 2011/9/2 Jorge Eduardo Pérez Pérez <[email protected]>:
>> Thanks to Christopher Baum, package -ghansen- has been uploaded to SSC.
>>
>> To install, write -ssc install ghansen-
>>
>> ghansen: Stata module to perform Gregory-Hansen test for cointegration
>> with regime shifts.
>>
>> -ghansen- performs the Gregory-Hansen test for cointegration with
>> regime shifts (structural breaks) proposed in Gregory and Hansen
>> (1996). The test's null hypothesis is no cointegration against the
>> alternative of cointegration with a single shift at an unknown point
>> in time.
>> ghansen makes use of Mata and requires Stata 9.2.
>>
>>
>> _______________________
>> Jorge Eduardo Pérez Pérez
>>
>>
>> *
>> * 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/
>>
>
>
>
> --
>
>
> Regards
>
> Anees
>
> *
> * 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/