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From |
"Joao Ricardo F. Lima" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: ZANDREWS |

Date |
Sun, 14 Sep 2008 18:58:25 -0300 |

Richard, to do the Chow test, I always see this FAQ: http://www.stata.com/support/faqs/stat/chow.html HTH, Joao Lima 2008/9/14 Richard Harvey <[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/ > -- ------------------------------- 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/

**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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