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RE: st: Structural break


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: Structural break
Date   Wed, 15 Feb 2006 21:38:59 -0000

Why stop at surmise and speculation? 

. search rolling 

points to -rolling-... 

Nick 
[email protected] 

Mariano Alvarez

> First of all thank you very much for your mail. I've heard 
> about the rolling
> procedure and I thought that there was a command available 
> that performs
> that kind of procedure. I am really interested in your release. Thanks
> again,

Robert A Yaffee

>  Have you investigated the rolling procedure. This will do
> rolling window regression or recursive least squares estimation. The 
> explication of Kit Baum's procedure in the Stata Time Series Reference
> manual shows how it can do this. With it you can generate a 
> new data set
> which will reveal locations of structural breaks in your data.
>  To confirm the significance of such breaks, you can always use the 
> Chow test.

Mariano Alvarez 

> > I am trying to perform a code in order to identify structural 
> > breaks. Since
> > I have a large panel with several countries, my intention is to 
> > write a code
> > that allows me to identify structural breaks (without a prior 
> > knowledge of
> > the possible breaks dates). I wonder if someone could tell me if 
> > there is a
> > command that helps me. 

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