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


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Package -ghansen- now available in SSC
Date   Sat, 3 Sep 2011 09:11:10 +0500

Thanks to Nick for his suggestions and Special thanks to Jorge for
providing his updated routine and offline support, I have updated the
-ghansen- on my system and it successfuly did its job. I have
estimated the Gregory & Hansesn (1996) test and obtained the following
results.

Now that I have estimated my time series for possible structural
break, I wanted to compare my results with the results of their paper
"Gregory, A.W., Nason, J.M., and Watt, D.G. (1996), “Testing for
structural breaks in cointegrated relationships,” Journal of
Econometrics, 71, 321–341.". Only a slight direction is needed please
to confirm my conclusion of rejecting the null of no structural break
has been rejected. It would be wise to estimate a structural VAR for
the time series I have?

My results using the level variable are:

. ghansen  c y z e t, break(level) lagmethod(aic) maxlags(5)

Gregory-Hansen Test for Cointegration with Regime Shifts
Model: Change in Level                             Number of obs   =	36
Lags  =  0  chosen by Akaike criterion             Maximum Lags    =	5

Test       Breakpoint   Date        Asymptotic Critical	Values
Statistic                            1%           5%	10%
	
ADF       -8.06          8        1979      -6.05        -5.56	-5.31
Zt        -8.17          8        1979      -6.05        -5.56	-5.31
Za       -47.01          8        1979     -70.18       -59.40	-54.38
	
and differenced variable as:

. ghansen  c y z e t, break(level) lagmethod(aic) maxlags(5)

Gregory-Hansen Test for Cointegration with Regime Shifts
Model: Change in Level                             Number of obs   =	36
Lags  =  0  chosen by Akaike criterion             Maximum Lags    =	5

Test       Breakpoint   Date        Asymptotic Critical	Values
Statistic                            1%           5%	10%
	
ADF       -8.06          8        1979      -6.05        -5.56	-5.31
Zt        -8.17          8        1979      -6.05        -5.56	-5.31
Za       -47.01          8        1979     -70.18       -59.40	-54.38



On Fri, Sep 2, 2011 at 10:13 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> In addition, reinstalling the same package from SSC will predictably
> produce the same result. As I write, the version of -ghansen- on SS
> 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

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