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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

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

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

Date |
Fri, 2 Sep 2011 16:10:54 +0100 |

Muhammed, The message "criterion matches more than one package" is a little worrisome. You might have more than one version of the package lurking on your machine. which ghansen, all will tell you. --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Muhammad Anees > Sent: 02 September 2011 15:22 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Package -ghansen- now available in SSC > > Thank you very much Nick, for your help. > > I have uninstalled the pachage by deleting all related files of the > -ghansen- while the -ado unistall- showed an error. I > reinstalled the -ghansen-package after deleting it. I made > sure that the package has no traces in the directory after > deleting and before new installation. > Could you suggest how to get the old Mata cleared before > installing the new files. > > I do have the same problem. > > I did the following > > . ado uninstall ghansen > criterion matches more than one package > > and reinstalling the package resulted in the same error as > > . 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 > > > > > > > On Fri, Sep 2, 2011 at 7:02 PM, Nick Cox <njcoxstata@gmail.com> wrote: > > I don't know what "not working" means precisely. I have an > unpublished > > document which details 20 different senses of such vague > expressions! > > > > Testing on 11 is clearly not a certification that the code > works on 9.2. > > > > I did say that I wasn't certifying the program free of > other problems. > > However, I fixed the program for the specific bug in question and > > found that Jorge's example commands seem to work fine on 10.1. > > > > I don't know what Muhammad did differently. You do need to > flush the > > old Mata code out of the way. > > > > . version > > version 10.1 > > > > . webuse balance2 ,clear > > (macro data for VECM/balance study) > > > > . ghansen y i c, break(level) lagmethod(aic) maxlags(5) > > > > Gregory-Hansen Test for Cointegration with Regime Shifts > > Model: Change in Level Number > of obs = > > 96 Lags = 1 chosen by Akaike criterion > Maximum Lags > > = 5 > > > > Test Breakpoint Date Asymptotic > Critical > > Values > > Statistic 1% > 5% > > 10% > > > ---------------------------------------------------------------------- > > -------- > > ADF -3.62 80 1978q4 -5.44 > -4.92 > > -4.69 > > Zt -3.89 82 1979q2 -5.44 > -4.92 > > -4.69 > > Za -23.90 82 1979q2 -57.01 > -46.98 > > -42.49 > > > ---------------------------------------------------------------------- > > -------- > > > > . ghansen y i c, break(regime) lagmethod(fixed) maxlags(5) > > > > Gregory-Hansen Test for Cointegration with Regime Shifts > > Model: Change in Regime Number > of obs = > > 96 Lags = 5 chosen by user > Maximum Lags > > = 5 > > > > Test Breakpoint Date Asymptotic > Critical > > Values > > Statistic 1% > 5% > > 10% > > > ---------------------------------------------------------------------- > > -------- > > ADF -4.03 59 1973q3 -5.97 > -5.50 > > -5.23 > > Zt -4.75 62 1974q2 -5.97 > -5.50 > > -5.23 > > Za -25.29 62 1974q2 -68.21 > -58.33 > > -52.85 > > > ---------------------------------------------------------------------- > > -------- > > > > . ghansen y i c, break(regimetrend) lagmethod(downt) level(0.99) > > trim(0.1) > > > > Gregory-Hansen Test for Cointegration with Regime Shifts > > Model: Change in Regime and Trend Number > of obs = > > 96 Lags = 2 chosen by downward t-statistics > Maximum Lags > > = 3 > > > > Test Breakpoint Date Asymptotic > Critical > > Values > > Statistic 1% > 5% > > 10% > > > ---------------------------------------------------------------------- > > -------- > > ADF -4.78 64 1974q4 -6.45 > -5.96 > > -5.72 > > Zt -4.52 63 1974q3 -6.45 > -5.96 > > -5.72 > > Za -30.30 63 1974q3 -79.65 > -68.43 > > -63.10 > > > ---------------------------------------------------------------------- > > -------- > > > > . ghansen y i c, break(level) lagmethod(aic) maxlags(5) > > > > Gregory-Hansen Test for Cointegration with Regime Shifts > > Model: Change in Level Number > of obs = > > 96 Lags = 1 chosen by Akaike criterion > Maximum Lags > > = 5 > > > > Test Breakpoint Date Asymptotic > Critical > > Values > > Statistic 1% > 5% > > 10% > > > ---------------------------------------------------------------------- > > -------- > > ADF -3.62 80 1978q4 -5.44 > -4.92 > > -4.69 > > Zt -3.89 82 1979q2 -5.44 > -4.92 > > -4.69 > > Za -23.90 82 1979q2 -57.01 > -46.98 > > -42.49 > > > ---------------------------------------------------------------------- > > -------- > > > > > > 2011/9/2 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>: > >> 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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>

**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>

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