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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 07:57:43 -0400

Dear Richard,
   Professor Ruey Tsay, in 1988, wrote an article in pp 1-20 of Vol 7 of the Journal of Forecasting, entitled "Outliers, Level Shifts, and Variance
Changes in Time Series."  He explains how one should do this.  In answering your question, I used a program that follows his protocol.  
   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: Richard Harvey <richardharvey2008@googlemail.com>
Date: Sunday, September 14, 2008 7:35 am
Subject: Re: st: ZANDREWS
To: statalist@hsphsun2.harvard.edu


> 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/
> >
> 
> *
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> *   http://www.ats.ucla.edu/stat/stata/

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