Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down at the end of May, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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. >> > >> > * * * 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:*Muhammad Anees <anees@aneconomist.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>

**RE: st: Package -ghansen- now available in SSC***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

- Prev by Date:
**Re: st: tabstatmat question** - Next by Date:
**RE: st: RE: Joint one-sided t** - Previous by thread:
**RE: st: Package -ghansen- now available in SSC** - Next by thread:
**Re: st: Package -ghansen- now available in SSC** - Index(es):