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


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Package -ghansen- now available in SSC
Date   Fri, 2 Sep 2011 16:56:18 +0500

I am currently using Stata 10.1. Sorry for my late response to mention
the version.

On Fri, Sep 2, 2011 at 3:57 PM, Muhammad Anees <anees@aneconomist.com> wrote:
> Yes, Nick you identified the right point. Also I have further
> discussed it with the author in personal email to show that the same
> command works when used only one right hand side variable which
> confirms the point raised by Nick.
>
> Anees
>
> On Fri, Sep 2, 2011 at 12:39 PM, Nick Cox <njcoxstata@gmail.com> wrote:
>> My guess is that there is no problem with Muhammad's data.
>>
>> There is a small problem with the code. Jorge is declaring -version
>> 9.2- for his Stata program, but probably developed his code under a
>> later version and did not actually test his code under version 9.2.
>> This is slightly risky as far as your users are concerned if they are
>> using an earlier version than you are. Recall that -version- is not a
>> time machine! (What it is and is not is discussed at greater length in
>> <http://www.stata.com/support/faqs/lang/version2.html>.)
>>
>> Also, Muhammad is not using the latest version of Stata; otherwise
>> this code should have worked. Recall that on Statalist you are
>> requested to make clear if you are not using the latest version.
>>
>> This line of Mata is biting
>>
>> x=st_data(.,X,touse)
>>
>> Jorge should for compatibility change this to
>>
>> x=st_data(., tokens(X), touse)
>>
>> In fact the problem is made clear by the error message.
>>
>> variable y z e t not found
>>
>> The version of -st_data()- on Muhammad's Stata thinks that he thinks
>> "y z e t" is a single variable name, because it doesn't parse on
>> spaces to make this a list of four variable names. It is of course not
>> a single variable name.
>>
>> In recent Statas, -st_data()- is more indulgent and will parse on
>> spaces for you.
>>
>> I didn't realise, or had forgotten, that -st_data()- had changed since
>> first introduced in Stata 9 until a thread started last month in
>>
>> http://www.stata.com/statalist/archive/2011-08/msg00403.html
>>
>> in which this difference was exposed as a cause of (my) misunderstanding.
>>
>> Any way, it is an easy fix, although I am not certifying that there
>> may not be other small problems of this type.
>>
>> Nick
>>
>> 2011/9/2 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>:
>>> 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.
>>>>>
>>
>> *
>> *   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
>



-- 


Regards

Anees

*
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