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Re: st: Package -ghansen- now available in SSC


From   Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Package -ghansen- now available in SSC
Date   Fri, 2 Sep 2011 01:07:18 -0400

Dear Anees

Could you send me your database, or could you replicate your problem
using a Stata example dataset? I want to look at the problem more
closely.

If you want to send me your database, please do so directly to my
email address, because attachments are forbidden in Statalist.

_______________________
Jorge Eduardo Pérez Pérez


On Fri, Sep 2, 2011 at 12:34 AM, Muhammad Anees <anees@aneconomist.com> wrote:
> Thanks for your nice work, Baum and Pérez, facilitating to estimate
> the Gregory and Hansen (1996) cointegration, which is most desirable
> in a few cases.
>
> I have came up with a small query using the -ghensen- routine just
> after installing it. I think it is related to mata type but I am
> unable to sort out the issue.
>
> I have the following time series data, which is already -tsset-ed
>
> . des  c y z e t
>
>              storage  display     value
> variable name   type   format      label      variable label
> ------------------------------------------------------------------------------------------------------------------------------
> c               float  %9.0g
> y               float  %9.0g
> z               float  %9.0g
> e               float  %9.0g
> t               float  %9.0g
>
> and the application of -gehansen results in below
>
> ghansen  c y z e t, break(level) lagmethod(aic) maxlags(5)
> variable y z e t not found
>               st_data():  3500  invalid Stata variable name
>                  main():     -  function returned error
>                 <istmt>:     -  function returned error
>
> I would be thankful for helping me in my case.
>
>
> Anees
>
>
>
> 2011/9/2 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
>> Thanks to Christopher Baum, package -ghansen- has been uploaded to SSC.
>>
>> To install, write -ssc install ghansen-
>>
>> ghansen: Stata module to perform Gregory-Hansen test for cointegration
>> with regime shifts.
>>
>> -ghansen- performs the Gregory-Hansen test for cointegration with
>> regime shifts (structural breaks) proposed in Gregory and Hansen
>> (1996). The test's null hypothesis is no cointegration against the
>> alternative of cointegration with a single shift at an unknown point
>> in time.
>> ghansen makes use of Mata and requires Stata 9.2.
>>
>>
>> _______________________
>> Jorge Eduardo Pérez Pérez
>>
>>
>> *
>> *   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/
>>
>
>
>
> --
>
>
> Regards
>
> Anees
>
> *
> *   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/
>
>
>


*
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