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st: Update to -ghansen- on SSC
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Update to -ghansen- on SSC
Date
Mon, 30 Sep 2013 18:33:10 -0400
Thanks to Kit Baum, an update to package -ghansen- has been uploaded to SSC.
The updated version addresses a bug than appeared when information
criteria were positive. Thanks to Juan Gorigoitía for pointing this
out.
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- uses Mata and requires Stata 9.2.
To update type:
adoupdate ghansen, update
To install for the first time, type:
ssc install ghansen
--------------------------------------------
Jorge Eduardo Pérez Pérez
Graduate Student
Department of Economics
Brown University
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