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From | Muhammad Anees <anees@aneconomist.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Package -ghansen- now available in SSC |
Date | Sat, 3 Sep 2011 09:11:10 +0500 |
Thanks to Nick for his suggestions and Special thanks to Jorge for providing his updated routine and offline support, I have updated the -ghansen- on my system and it successfuly did its job. I have estimated the Gregory & Hansesn (1996) test and obtained the following results. Now that I have estimated my time series for possible structural break, I wanted to compare my results with the results of their paper "Gregory, A.W., Nason, J.M., and Watt, D.G. (1996), “Testing for structural breaks in cointegrated relationships,” Journal of Econometrics, 71, 321–341.". Only a slight direction is needed please to confirm my conclusion of rejecting the null of no structural break has been rejected. It would be wise to estimate a structural VAR for the time series I have? My results using the level variable are: . ghansen c y z e t, break(level) lagmethod(aic) maxlags(5) Gregory-Hansen Test for Cointegration with Regime Shifts Model: Change in Level Number of obs = 36 Lags = 0 chosen by Akaike criterion Maximum Lags = 5 Test Breakpoint Date Asymptotic Critical Values Statistic 1% 5% 10% ADF -8.06 8 1979 -6.05 -5.56 -5.31 Zt -8.17 8 1979 -6.05 -5.56 -5.31 Za -47.01 8 1979 -70.18 -59.40 -54.38 and differenced variable as: . ghansen c y z e t, break(level) lagmethod(aic) maxlags(5) Gregory-Hansen Test for Cointegration with Regime Shifts Model: Change in Level Number of obs = 36 Lags = 0 chosen by Akaike criterion Maximum Lags = 5 Test Breakpoint Date Asymptotic Critical Values Statistic 1% 5% 10% ADF -8.06 8 1979 -6.05 -5.56 -5.31 Zt -8.17 8 1979 -6.05 -5.56 -5.31 Za -47.01 8 1979 -70.18 -59.40 -54.38 On Fri, Sep 2, 2011 at 10:13 PM, Nick Cox <njcoxstata@gmail.com> wrote: > In addition, reinstalling the same package from SSC will predictably > produce the same result. As I write, the version of -ghansen- on SS > is precisely the one that caused you problems. The author, Jorge, has > yet to fix it. > > Muhammad: You either wait for it to be fixed or fix it by hand on your > own machine, as I did. Sorry if you thought that I had fixed the > package on SSC, but that's not for me to do, as I am not the author. > > . mata mata clear > > flushes any Mata code in memory. > > Nick * * 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/