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st: Package -ghansen- updated on SSC
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
<[email protected]>
Subject
st: Package -ghansen- updated on SSC
Date
Fri, 2 Sep 2011 14:51:01 -0400
Thanks to Christopher Baum, package -ghansen- has been updated on SSC.
To update, write -ssc install ghansen, replace- or -adoupdate ghansen,
update-. New users can install the package writing -ssc install
ghansen-
This version fixes a bug identfied by Muhammad Anees and Nick Cox that
affected users of Stata versions older than 11.
----
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.
_______________________
Jorge Eduardo Pérez Pérez
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