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


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Package -ghansen- now available in SSC
Date   Fri, 2 Sep 2011 13:32:36 +0100

My guess is that Jorge developed the program under Stata 11 or higher.

Nick

On Fri, Sep 2, 2011 at 12:56 PM, Muhammad Anees <anees@aneconomist.com> wrote:
> 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.

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