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From |
"Richard Harvey" <richardharvey2008@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: ZANDREWS |

Date |
Sun, 14 Sep 2008 23:12:21 +0100 |

Hi, Thanks for the link. I am not sure Chow test is the way forward for me... primarily because it assumes you know when the break occurs. In the example on that page we know exactly at which point one group ends and the other starts. What one wants is to identify the breaks without assuming that one knows the exact break points. However, could one apply the chow test to all the time points between a range and see which turns out to be significant? 2008/9/14 Joao Ricardo F. Lima <jricardofl@gmail.com>: > 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: >>> * 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/ >> > > > > -- > ------------------------------- > 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/ > -- thanks for your 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/

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

**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:*"Joao Ricardo F. Lima" <jricardofl@gmail.com>

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