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Re: st: ZANDREWS


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ZANDREWS
Date   Sun, 14 Sep 2008 07:32:53 -0300

Dear Richard,

if you are looking for structural breaks in the data, why donīt you
use Chow Test?

As I understand, Zandrews is a unit root test allowing for structural
change. According to Professor Robert, there are two significant level
shifts in the series. Zandrews test is for only one break. With 2
breaks you can use clemao2 or clemio2 -findit clemao_io-.

See Kitīs paper "Stata: the languague of choice for time series
analysis?" to understand these unit root tests. You can download it
free:

http://www.stata-journal.com/article.html?article=st0080

Hope this helps,

Joao Lima

2008/9/13 Richard Harvey <richardharvey2008@googlemail.com>:
> hello statalisters,
>
> I have the following time series data
>
> Months    MNval
> -36     -246404.3
> -35     -271136.9
> -34     15321.21
> -33     -266850.2
> -32     -208945.8
> -31     -223758.4
> -30     -152778.7
> -29     -65240.22
> -28     -481321.3
> -27     -190169.6
> -26     -112362.4
> -25     -467139.1
> -24     -194511.7
> -23     -444933.2
> -22     -142801.8
> -21     -108734.8
> -20     -217134.7
> -19     -285050.4
> -18     -59074.71
> -17     -22606.87
> -16     -124248.8
> -15     -190182.6
> -14     -142432.7
> -13     -137051
> -12     55313.91
> -11     -33965.3
> -10     -274899.1
> -9      25388.8
> -8      -57483.93
> -7      -39486.45
> -6      -54602.45
> -5      -239732.4
> -4      -294504.7
> -3      -334388.7
> -2      -287347.5
> -1      -87598.81
> 0       -580743.6
> 1       -160395.5
> 2       -575569.9
> 3       -255174.5
> 4       -126203.1
> 5       -375763.7
> 6       -32561.49
> 7       -87045.1
> 8       -91822.47
> 9       -31134.7
> 10      -102519
> 11      -84379.84
> 12      -266297.5
> 13      -80520.79
> 14      -48140.91
> 15      27969.55
> 16      -38107.77
> 17      -127254
> 18      -171679.9
> 19      -25015.38
> 20      -92405.42
> 21      75767.31
> 22      -45497.32
> 23      -188625.2
> 24      30972.86
> 25      -4018.882
> 26      -32145.2
> 27      -80913.73
> 28      -24621.37
> 29      -61688.87
> 30      -123890.4
> 31      -45585.37
> 32      -132729.1
> 33      -106762.2
> 34      -143616.2
> 35      -215439.4
> 36      -133058.6
>
> 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? the graph option on this looks very useful.
> But how does one interpret the break point t-stats? When i use the
> command with the above data.  I do not find any point above the
> (critical 5%: -4.42).
>  so does this mean  that the series does not have any significant breakpoints ?
>
> thanks very much for you time
> rich
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------

*
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