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st: Re: stability tests


From   baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: stability tests
Date   Fri, 11 Oct 2002 08:29:52 -0400

--On Friday, October 11, 2002 2:33 -0400 David wrote:

The time series library contains a program for performing the Hansen
test, to determine whether the regression coefficients in a time series
regression are stable. It was written for an earlier version of Stata.
When I use it I receive an error message, "invalid 'and'", even though
the letters "and" do not appear in the syntax. Has someone written a
file that will perform the Hansen test (or the CUMSUMSQ test) that will
work with version 7? David Greenberg, Sociology Department, New York
University.
W.r.t. cusum or cusum2, please see my module -cusum6- (findit cusum6) which was a hack of the original to deal with these syntax issues.

I do not see that error with -hansen-:

. which hansen
~:ado:stbplus:h:hansen.ado
*! hansen--Bruce Hansen's test for parameter instability
*! version 1.1.0 Ken Heinecke Dec 1994 sts7.5: STB-23

. which tsfit
~:ado:stbplus:t:tsfit.ado
*! tsfit -- estimate a time series regression
*! version 1.0.0 Sean Becketti September 1993 STB-15: sts4

. hansen fiuscpi fiusgdp lfiuscpi


Individual Statistics

fiusgdp = .9756908
lfiuscpi = .28176223
_cons = 1.091777
sigma = .48100879


Joint test statistic with 4 degrees of freedom:

_Lc = 4.2209716

Adding the regress option works also.

Kit
________________________________________________________________________
Christopher F Baum, Boston College Economics, Chestnut Hill MA 02467 USA
baum@bc.edu http://fmwww.bc.edu/ec-v/baum.fac.html
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