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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 10:46:47 -0400

Richard,
    Dr. Brian Poi who is a senior statistician at Stata helped me program it, but he had to
run off do attend to other things before we were  finished with it.  I am going to try to
finish it myself.  I have to add the automatic detection, identification, and modeling
of one other type of intervention before it is ready for release.
     At this juncture, it does automatically detect, identify, and model level shifts
and additive outliers.  That is what I was using.
      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 9:32 am
Subject: Re: st: ZANDREWS
To: statalist@hsphsun2.harvard.edu


> 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
> >> > -------------------------------
> >> >
> >> > *
> >> > *   For searches and help try:
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> >> > *   http://www.ats.ucla.edu/stat/stata/
> >> >
> >>
> >> *
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> >
> > *
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> >
> 
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