*! hansen--Bruce Hansen's test for parameter instability
*! version 1.0.0     Ken Heinecke     May 1994     (STB-20: sts8)
*	HANSEN.ado		Program to perform Bruce Hansen's
*				Test for parameter instability
*				Written by Ken Heinecke, May 1994
program define hansen
	version 3.1
	local varlist "req ex"
	local if "opt pre"
	local in "opt pre"
	local options "noCOnstant Current(str) Lags(str) noSAmple Static(str) Regress *"
	parse "`*'"

capture {
tempfile __t
local savfn "$S_FN"
local tsind = 0
quietly { save `__t',replace }
if ("`regress'" != "") { local sound "noisily" }
if ("`current'" != "") {
	local c "current(`current')"
	}
if ("`static'" != "") {
	local s "static(`static')"
	}
if ("`lags'" != "") {
	local l "lags(`lags')"
	local tsind=1
	}

quietly {
if(`tsind'==1) {
	`sound' tsfit `varlist' `if' `in',`l' `c' `s' `constan' `sample' `options'
	}
else {
	`sound' tsfit `varlist' `if' `in', current(`varlist') `constan' `sample' `options'
}

local nvar : word count $S_E_vl 
capture drop _e
predict _e `if' `in',res
capture drop if _e==.
local nobs=_N
capture drop _ee
gen double _ee = _e*_e
sum _ee
capture drop _sig2
gen double _sig2=_result(3)
parse "$S_E_vl",parse(" ")
   local i 1
   while ("`2'" != "") {
   	gen double _f`i'=`2'*_e
	local i = `i'+1
	mac shift	
	}
if ("`constan'" == "") {
	gen double _f`i'=_e
	local i = `i'+1
}
gen double _f`i' = _ee-_sig2

if ("`constan'" != "") {
	local number = `nvar'
	}
else {
	local number = `nvar'+1
	}

local j 1
   while(`j'<=`number') {
	gen double _s`j'=sum(_f`j')
	local j = `j'+1
	}

local i 1
while (`i'<=`number') {
	local flist ="`flist'" + " _f`i'"
	local i = `i'+1
	}

local i 1
while (`i'<=`number') {
	local slist ="`slist'" + " _s`i'"
	local i = `i'+1
	}

mkmat `flist' `slist'

/*
	Create Vi by summing the squares of the
	elements of the "f" vectors.
*/	
local i 1
local nvar : word count $S_E_vl
while (`i'<=`number') {
	scalar _V`i'=0
	local i = `i'+1
	}

local j=1
while (`j'<=`number') {
   local i=1
   while (`i'<=`nobs') {
	scalar _V`j'= _V`j' + _f`j'[`i',1]^2
        local i = `i' + 1
   }
   local j = `j'+1
}

/*
	Create Li by summing the squares of the
	elements of the "s" vectors and scaling
	appropriately.
*/
local i 1
while (`i'<=`number') {
	scalar _L`i'=0
	local i = `i'+1
	}
local j=1
while (`j'<=`number') {
   local i=1
   while (`i'<=`nobs') {
	scalar _L`j'= _L`j' + _s`j'[`i',1]^2
        local i = `i' + 1
   }
   local j = `j'+1
}
local i 1
while (`i'<=`number') {
	scalar _L`i'=(1/(`nobs'*_V`i'))*_L`i'
	scalar drop _V`i'
	local i = `i'+1
	} 
*** label scalars with variable names
parse "$S_E_vl",parse(" ")
local n 1
local llist1 ""
local llist2 ""
local half = int(`nvar'/2)
while (`n'<=`half') {
	scalar `2'=_L`n'
	scalar drop _L`n'
	local n = `n'+1
	local llist1 = "`llist1'" + " `2'"
	mac shift
	}
while (`n'<=`nvar'-1) {
	scalar `2'=_L`n'
	scalar drop _L`n' 
	local n = `n'+1
	local llist2 = "`llist2'" + " `2'"
	mac shift
	}
if ("`constan'" == "") {
	scalar _cons = _L`n'
	scalar drop _L`n'
	local n = `n'+1
	}
scalar sigma = _L`n'
scalar drop _L`n'

if ("`constan'" == "") {
	local llist2 = "`llist2'" + " _cons sigma"
	}
else {
	local llist2 = "`llist2'" + " sigma"
	}

noi display " "
noi display " "
noi display "Individual Statistics"
noi display " "

noi scalar l `llist1' `llist2'

/*
	Create V for the whole model
*/
tempname F S V invV
mat `F' = _f1,_f2
local i 3
while (`i'<=`number') {
	mat `F' = `F',_f`i'
	local i = `i'+1
	}

mat `S' = _s1,_s2
local j 3
while (`j'<=`number') {
	mat `S' = `S',_s`j'
	local j = `j'+1
	}

mat `V' = J(`number',`number',0)
local i=1
tempname temp1 temp2 temp3 temp4 
   while(`i'<=`nobs') {
	mat `temp1'=`F'[`i',.]
	mat `temp2'=`temp1''
        mat `temp3'=`temp2'*`temp1'
	mat `V' = `V' + `temp3'
	local i = `i'+1
	} 
/*
	Create L for the whole model
*/
mat `invV'=inv(`V')
mat _Lc=J(1,1,0)
local i=1
tempname temp5 temp6 temp7 temp8
   while(`i'<=`nobs') {
	mat `temp5'=`S'[`i',.]
	mat `temp6'=`temp5''
	mat `temp7'=`temp5'*`invV'
	mat `temp8'= `temp7'*`temp6'
	mat _Lc = _Lc +`temp8'
        local i = `i'+1
	}
local s=1/`nobs'
matrix _Lc = `s'*_Lc

noi display " "
noi display " "
noi display "Joint test statistic with `number' degrees of freedom:"
noi display " "
scalar _Lc = _Lc[1,1]
noi scalar l _Lc

matrix drop `flist' `slist'
drop _all
use `__t',clear
mac def S_FN "`savfn'"
** end quietly
 }
** end capture
}
if (_rc != 0) {
	local oldrc = _rc
	quietly use `__t',clear
	mac def S_FN "`savfn'"
	exit `oldrc'
}	
end