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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" <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.
>>
>> *
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>>
>
>
>
> --
>
>
> 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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