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From |
Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

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

Date |
Fri, 2 Sep 2011 09:33:11 -0400 |

Thank you Nick and Muhammad for helping me to identify this bug in the code. I developed the command in Stata 12, and tested it on both 11 and 12, but I was not aware on this change in the behavior of st_data across versions. According to Muhammad, the fix suggested by Nick is not working. Unfortunately, I don't have access to a machine with Stata 10 or 9 right now, so I can not confirm this right away. Once I get my hands on a machine with Stata 10 or 9, I will confirm whether the update works and publish an update. Users of versions 11 and 12 should be fine, Regards, _______________________ Jorge Eduardo Pérez Pérez On Fri, Sep 2, 2011 at 9:16 AM, Muhammad Anees <anees@aneconomist.com> wrote: > 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. >> >> * >> * 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/ > > > * * 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/

**Follow-Ups**:**Re: st: Package -ghansen- now available in SSC***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: Package -ghansen- now available in SSC***From:*Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>

**Re: st: Package -ghansen- now available in SSC***From:*Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>

**Re: st: Package -ghansen- now available in SSC***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Package -ghansen- now available in SSC***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: Package -ghansen- now available in SSC***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: Package -ghansen- now available in SSC***From:*Nick Cox <njcoxstata@gmail.com>

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