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


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 unpublished 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/
> 


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