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st: re: how to run zandrews as a postestimation command


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: how to run zandrews as a postestimation command
Date   Wed, 16 Apr 2008 15:21:07 -0400

Purba said

I would like to test for the structural stability of an estimation of
the form y=a+bx+error.
Specifically want to test using the "zandrews" command if "b" which is
the coefficient of x, changes overtime and exactly where the breakpoints
are. The data is 40 years time series.

Can anyone please help. It seems like the "zandrews" command only allows
me to select one variable to test in this case I can pick either y or x
but there seems to be no method to specify the actual equation that I am
estimating.


zandrews is a unit root test that allows for structural breaks. Unit root tests are applied to individual time series (or panels of individual time series). You could, of course, apply it to the residuals of a regression that you have run, but that does not sound like what you're trying to do. If you want to test for structural stability of a relationship, then you should use a test for structural stability. -qll- will do that, but it will not identify where breaks occur (only if the relationship appears to violate the null of structural stability).

To test for breaks in a y on x regression, it is usual to compute split-sample estimates (moving the breakpoint through, for instance, the interior 85% of the sample), allowing for a break in every feasible period and keeping track of which period registers the lowest sum of squared errors. See the code for -clemio1-, which does something like that.

Kit Baum
author of zandrews, qll, clemao1

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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