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/
