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Re: st: ZANDREWS


From   "Richard Harvey" <richardharvey2008@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ZANDREWS
Date   Sun, 14 Sep 2008 12:33:35 +0100

Thanks robert, maarten and joao,

I am not entirely sure I understand how prof. yafee could identify the
two breaks he pointed out. I couldnt understand what the statement "If
we use a 3.5 sd measure of a critical value for a standard of a level
shift" ..

Thanks for the clemao2  suggestion, I will  try it out.

But i have an issue with the chow test. As I under stand it uses OLS
regression using points before and after the break point. The
relaibaility of this test would be highly dependent on when the break
happens, is it not?  there must be enough number of time series points
to run the regressions reliably.

There is an ado which does the chow test in stata, I was looking at it
when I got your mail. But the ado by Sean Becketti - STB:  sts7
(STB-17) has errors. When I run it, I get the following

program error:  code follows on the same line as open brace
r(198);

I tried to fix the ado, but now it dosent give me any results,
nothing. Set trace on reveals nothing.

thanks
rich





On 9/14/08, Joao Ricardo F. Lima <jricardofl@gmail.com> wrote:
> 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
> -------------------------------
>
> *
> *   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/
>

*
*   For searches and help try:
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