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From |
"Joao Ricardo F. Lima" <jricardofl@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: ZANDREWS |

Date |
Sun, 14 Sep 2008 21:00:31 -0300 |

Richard, I think that you can do that. However, isnīt the default procedure. When I am working with time series, I seek to know if something happened that it caused the shift level. Example: I'm from Brazil and 1999 is important because of the depreciation of the exchange tax. 2002 is important too, because the elections for president, etc. JL 2008/9/14 Richard Harvey <richardharvey2008@googlemail.com>: > 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/ > -- ------------------------------- 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/

**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>

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

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