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Re: st: Re: stability tests


From   julio estevez <je_je22@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: stability tests
Date   Sat, 12 Oct 2002 14:09:17 -0700 (PDT)

I was wondering if somebody has written program to
perform a similar type of stability test for cross
section data. For example when we might presume that
there might be changes in parameters  across some
regime variable.

Of course I can do a chow test but is there any
pre-packaged procedure?

thanks for any advice on this matter!

Julio

--- baum <baum@bc.edu> wrote:
> 
> --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
> *
> *   For searches and help try:
> *  
> http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 
> 


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