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Re: st: how zandrews command chooses k lags by t-stat test


From   Mark <statalist528h5q@feldmark.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: how zandrews command chooses k lags by t-stat test
Date   Wed, 24 May 2006 03:38:58 +0800

Thanks for the confirmation. Actually I am working on a routine that incorporates Lumsdaine and Papell (1997)'s extensions to 2 breaks, and just for fun, lets you specify an arbitrary number of breaks. So based on a command line option, it will provide statistics for the test with 1, 2, or more breaks.

I am currently deciding how to handle some minor issues, writing a help page, and tracking down critical values, which are a problem to some extent, because they dont exist for some combinations of types of breaks, nor at all for > 2 breaks. But otherwise, a test version is basically coded up already. So in case you dont get around to updating -zandrews-, I may be able to provide an interesting alternative one of these days.

Mark

Lumsdaine, Robin and David H. Papell (1997) “Multiple Trend Breaks and the Unit-Root Hypothesis,” The Review of Economics and Statistics, Vol. 79, No. 2 (May 1997), pp. 212-218.

Kit Baum wrote:

Mark is quite right. As the help file for -zandrews- indicates, this routine was translated from RATS code (available from http://www.estima.com/procs_alpha.shtml) more or less wholesale, with one or two corrections. That RATS code does not incorporate the recommended determination of lag length as separate for each \lambda (break point). Although the original JBES article was consulted in the development of -zandrews-, the excellent point Mark raises was not incorporated into the Stata code. I will put that fix on the queue of desirable enhancements to my routines. Thanks to Mark for bringing it to my attention.
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