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From |
Robert A Yaffee <[email protected]> |

To |
[email protected] |

Subject |
Re: st: ZANDREWS |

Date |
Sun, 14 Sep 2008 07:57:43 -0400 |

Dear Richard, Professor Ruey Tsay, in 1988, wrote an article in pp 1-20 of Vol 7 of the Journal of Forecasting, entitled "Outliers, Level Shifts, and Variance Changes in Time Series." He explains how one should do this. In answering your question, I used a program that follows his protocol. Regards, Bob Yaffee Robert A. Yaffee, Ph.D. Research Professor Silver School of Social Work New York University Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf CV: http://homepages.nyu.edu/~ray1/vita.pdf ----- Original Message ----- From: Richard Harvey <[email protected]> Date: Sunday, September 14, 2008 7:35 am Subject: Re: st: ZANDREWS To: [email protected] > Thanks robert, maarten and joao, > > I am not entirely sure I understand how prof. yafee could identify the > two breaks he pointed out. I couldnt understand what the statement "If > we use a 3.5 sd measure of a critical value for a standard of a level > shift" .. > > Thanks for the clemao2 suggestion, I will try it out. > > But i have an issue with the chow test. As I under stand it uses OLS > regression using points before and after the break point. The > relaibaility of this test would be highly dependent on when the break > happens, is it not? there must be enough number of time series points > to run the regressions reliably. > > There is an ado which does the chow test in stata, I was looking at it > when I got your mail. But the ado by Sean Becketti - STB: sts7 > (STB-17) has errors. When I run it, I get the following > > program error: code follows on the same line as open brace > r(198); > > I tried to fix the ado, but now it dosent give me any results, > nothing. Set trace on reveals nothing. > > thanks > rich > > > > > > On 9/14/08, Joao Ricardo F. Lima <[email protected]> wrote: > > Dear Richard, > > > > if you are looking for structural breaks in the data, why don�t you > > use Chow Test? > > > > As I understand, Zandrews is a unit root test allowing for structural > > change. According to Professor Robert, there are two significant level > > shifts in the series. Zandrews test is for only one break. With 2 > > breaks you can use clemao2 or clemio2 -findit clemao_io-. > > > > See Kit�s paper "Stata: the languague of choice for time series > > analysis?" to understand these unit root tests. You can download it > > free: > > > > http://www.stata-journal.com/article.html?article=st0080 > > > > Hope this helps, > > > > Joao Lima > > > > 2008/9/13 Richard Harvey <[email protected]>: > >> hello statalisters, > >> > >> I have the following time series data > >> > >> Months MNval > >> -36 -246404.3 > >> -35 -271136.9 > >> -34 15321.21 > >> -33 -266850.2 > >> -32 -208945.8 > >> -31 -223758.4 > >> -30 -152778.7 > >> -29 -65240.22 > >> -28 -481321.3 > >> -27 -190169.6 > >> -26 -112362.4 > >> -25 -467139.1 > >> -24 -194511.7 > >> -23 -444933.2 > >> -22 -142801.8 > >> -21 -108734.8 > >> -20 -217134.7 > >> -19 -285050.4 > >> -18 -59074.71 > >> -17 -22606.87 > >> -16 -124248.8 > >> -15 -190182.6 > >> -14 -142432.7 > >> -13 -137051 > >> -12 55313.91 > >> -11 -33965.3 > >> -10 -274899.1 > >> -9 25388.8 > >> -8 -57483.93 > >> -7 -39486.45 > >> -6 -54602.45 > >> -5 -239732.4 > >> -4 -294504.7 > >> -3 -334388.7 > >> -2 -287347.5 > >> -1 -87598.81 > >> 0 -580743.6 > >> 1 -160395.5 > >> 2 -575569.9 > >> 3 -255174.5 > >> 4 -126203.1 > >> 5 -375763.7 > >> 6 -32561.49 > >> 7 -87045.1 > >> 8 -91822.47 > >> 9 -31134.7 > >> 10 -102519 > >> 11 -84379.84 > >> 12 -266297.5 > >> 13 -80520.79 > >> 14 -48140.91 > >> 15 27969.55 > >> 16 -38107.77 > >> 17 -127254 > >> 18 -171679.9 > >> 19 -25015.38 > >> 20 -92405.42 > >> 21 75767.31 > >> 22 -45497.32 > >> 23 -188625.2 > >> 24 30972.86 > >> 25 -4018.882 > >> 26 -32145.2 > >> 27 -80913.73 > >> 28 -24621.37 > >> 29 -61688.87 > >> 30 -123890.4 > >> 31 -45585.37 > >> 32 -132729.1 > >> 33 -106762.2 > >> 34 -143616.2 > >> 35 -215439.4 > >> 36 -133058.6 > >> > >> I would like to see if and when there are any structural breaks in > the > >> data. > >> > >> I came across Kit's zandrews prog. -ssc d zandrews- is this the > >> command to use? the graph option on this looks very useful. > >> But how does one interpret the break point t-stats? When i use the > >> command with the above data. I do not find any point above the > >> (critical 5%: -4.42). > >> so does this mean that the series does not have any significant > >> breakpoints ? > >> > >> thanks very much for you time > >> rich > >> * > >> * 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/ > >> > > > > > > > > -- > > ------------------------------- > > Joao Ricardo Lima > > Professor > > UFPB-CCA-DCFS > > +553138923914 > > ------------------------------- > > > > * > > * 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/ > > > > * > * 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/ * * 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: ZANDREWS***From:*"Richard Harvey" <[email protected]>

**References**:**st: ZANDREWS***From:*"Richard Harvey" <[email protected]>

**Re: st: ZANDREWS***From:*"Joao Ricardo F. Lima" <[email protected]>

**Re: st: ZANDREWS***From:*"Richard Harvey" <[email protected]>

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