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Re: Re : st: Cointegration tests with structurals breaks


From   Amir Sariaslan <amir.sariaslan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re : st: Cointegration tests with structurals breaks
Date   Sun, 10 Jul 2011 22:39:17 +0200

Hélène,

Unfortunately, I don't work with time-series data so I can't help you
with the specifics. I did however come across the following article
while googling:

Moran, J. L., Solomon, P. J. and for the Adult Database Management
Committee (ADMC) of the Australian and New Zealand Intensive Care
Society (ANZICS) (2011), Conventional and advanced time series
estimation: application to the Australian and New Zealand Intensive
Care Society (ANZICS) adult patient database, 1993–2006. Journal of
Evaluation in Clinical Practice, 17: 45–60. doi:
10.1111/j.1365-2753.2010.01368.x

The article included the following reference to a user-written Stata
program that you might be able to get access to:

Poi, B. (2009) Greghansen: stata module to implement the
Gregory-Hansen test for cointegration in models with regime shifts.
User-written command: Send an email to bpoi@stata.com to obtain the
current version, Accessed July 2009.

Sincerely,
Amir
On Sun, Jul 10, 2011 at 7:02 PM, Helene Kamgnia <shirleyna2000@yahoo.fr> wrote:
> Amir,
>
> I have done a mistake it is not -Hansen test- but Gregrory and Hansen Test
>
> It is a conintegration test with structural breaks.
>
> is it possible to perform this test in stata?
>
> Thank's
>
> Regards
>
> Hélène Shirley KAMGNIA
> Étudiante MA
> Université d'Auvergne-CERDI
>
>
>
> ----- Mail original -----
> De : Amir Sariaslan <amir.sariaslan@gmail.com>
> À : statalist@hsphsun2.harvard.edu
> Cc :
> Envoyé le : Dimanche 10 Juillet 2011 15h55
> Objet : Re: st: Cointegration tests with structurals breaks
>
> Hélène,
>
> Have you tried looking up relevant packages with -findit hansen-
> and/or -findit error correction-?
>
> Sincerely,
> Amir
>
> On Sat, Jul 9, 2011 at 7:28 PM, Helene Kamgnia <shirleyna2000@yahoo.fr> wrote:
>> Hi,
>> I have two problems with times series in stata:
>>
>> firstly i want to perform an cointegration test with structurals breaks in stata: Hansen Test
>>
>> secondly i want to know if it possible to do an error correction model (like Hendry's model) with structural breaks;
>> if yes, i want to know how i should do this in stata.
>>
>> Please can someone help me.
>>
>> Thank's
>>
>>
>> Hélène Shirley KAMGNIA
>> Étudiante MA
>> Université d'Auvergne-CERDI
>>
>>
>> *
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