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


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Package -ghansen- now available in SSC
Date   Fri, 2 Sep 2011 18:13:10 +0100

In addition, reinstalling the same package from SSC will predictably
produce the same result. As I write, the version of -ghansen- on SSC
is precisely the one that caused you problems. The author, Jorge, has
yet to fix it.

Muhammad: You either wait for it to be fixed or fix it by hand on your
own machine, as I did. Sorry if you thought that I had fixed the
package on SSC, but that's not for me to do, as I am not the author.

. mata mata clear

flushes any Mata code in memory.

Nick

On Fri, Sep 2, 2011 at 4:10 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> 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 unpublished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.
>> >
>> > *

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