Re: st: Package -ghansen- now available in SSC

[Muhammad Anees <anees@aneconomist.com>]

Thanks Jorge! I am clear now with your kind detailed discussion. I was
indeed mixing what the standard cointegration leads to VAR followed by
VEC and in case of rejecting cointegration with breaks, I assumed to
use SVAR (followed by SVEC; I missed to point to this in the earlier
email, sorry for that). I think I am in the right direction now.
Thanks again. I will be happy with the final model estimation and
discussions after I do the complete results. I hope you would guide me
again.

2011/9/4 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
> What you are rejecting is the null of no cointegration against the
> alternative of cointegration with a shift in the mean in 1979. As
> Gregory and Hansen point out in their Journal of Econometrics paper
> (different from the one you are reffering, see the help file of
> -ghansen-) this is not a test of whether there is a break or not. You
> should test for cointegration without breaks first (i.e, using
> -vecrank-) and if you do not reject the null of cointegration, then
> you should use the -ghansen- test.
>
> The second output you provided is the same as the first one, are you
> sure you are using differenced variables in that case?
>
> If you find cointegration and want to estimate a structural model, you
> should estimate a SVEC model.
>
> Regards,
> _______________________
> Jorge Eduardo Pérez Pérez
>
>
>
>
> On Sat, Sep 3, 2011 at 12:11 AM, Muhammad Anees <anees@aneconomist.com> wrote:
>> 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
>>
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>>
>>
>
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-- 


Regards

Anees

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