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Re: st: ZANDREWS


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ZANDREWS
Date   Sun, 14 Sep 2008 18:58:25 -0300

Richard,

to do the Chow test, I always see this FAQ:

http://www.stata.com/support/faqs/stat/chow.html

HTH,

Joao Lima

2008/9/14 Richard Harvey <richardharvey2008@googlemail.com>:
> 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:
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>> *   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/
>



-- 
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------

*
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