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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 14:30:47 +0100

Hi ,

Is this program available for stata or sas?

The clemao package uses logs and some of my values are negative, I am
not sure howI can accommodate them.  any thoughts?


thanks
rich

On 9/14/08, Robert A Yaffee <bob.yaffee@nyu.edu> wrote:
> 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
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>> >> *   http://www.ats.ucla.edu/stat/stata/
>> >>
>> >
>> >
>> >
>> > --
>> > -------------------------------
>> > Joao Ricardo Lima
>> > Professor
>> > UFPB-CCA-DCFS
>> > +553138923914
>> > -------------------------------
>> >
>> > *
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>> > *   http://www.ats.ucla.edu/stat/stata/
>> >
>>
>> *
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