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Re: st: ZANDREWS


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ZANDREWS
Date   Sun, 14 Sep 2008 04:43:52 -0400

Dear Maarten,
   If we use a 3.5 sd measure of a critical value for a standard of a level shift,
there are two significant level shifts in the series.  One of these is at time 37( p=.01)  and the other
is at time 43 (z=1.96, p=0.05).  The structural break at time=11 is not significant.  This would constitute
a justification for consideration of the application of the Zivot Andrews test.
   Regards,
          Bob Yaffee

Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University


Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Maarten buis <maartenbuis@yahoo.co.uk>
Date: Sunday, September 14, 2008 3:57 am
Subject: Re: st: ZANDREWS
To: statalist@hsphsun2.harvard.edu


> --- Richard Harvey <richardharvey2008@googlemail.com> wrote:
> <snip>
> > I would like to see if and when there are any structural breaks in
> > the data. I came across Kit's zandrews prog. -ssc d zandrews-  is
> > this the command to use?
> 
> I don't know -zandrews-, but for this kind of stuff I am a great
> believer in the interoccular trauma test (the structural break, if it
> exists, should hit you between the eyes when you plot your data).
> Typing
> -twoway line MNval Months- doesn't show anything that looks to me like
> a structural break. That to me would be enough to stop looking for it.
> (If I did find something, then I would like to test, as we humans are
> very good at finding patterns where none exist, and tests are designed
> to distinguish between random noise that looks like a pattern and a
> real pattern.)
> 
> -- Maarten
> 
> 
> 
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
> 
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room N515
> 
> +31 20 5986715
> 
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
> 
> 
>       
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