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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 >> >> * 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: >> * 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: > * 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: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: ZANDREWS***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

**References**:**st: ZANDREWS***From:*"Richard Harvey" <richardharvey2008@googlemail.com>

**Re: st: ZANDREWS***From:*"Joao Ricardo F. Lima" <jricardofl@gmail.com>

**Re: st: ZANDREWS***From:*"Richard Harvey" <richardharvey2008@googlemail.com>

**Re: st: ZANDREWS***From:*Robert A Yaffee <bob.yaffee@nyu.edu>

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