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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 18:16:03 +0500

Yes Nick, he has confirmed by estimating my data over Stata 11 and 12.

Is there a way to change the basics of ghansen.ado and allow it
working on Stata 10.1 if it is permissible, which I think would be
fine if referred. I have tried changing the line in the ado as you
suggested earlier, but that still gave the same problem.

On Fri, Sep 2, 2011 at 5:32 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> 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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>



-- 


Regards

Anees

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