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From |
Marie Van De reije <m.vdreije@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: problems with -zandrews- command as -if- qualifier and -in- range fail to specify |

Date |
Sat, 28 Nov 2009 05:05:31 -0800 (PST) |

dear all, could you help me out with respect to Kit Baums -zandrews- command: Zivot-Andrews Unit Root test allowing for a single break in intercept and/or trend zandrews [varname] [if exp] [in range], maxlags(#) trim(#) break() generate(varname) lagmethod() level(#) graph my problem: for my analysis the [if] qualifier and [in] range fail to specify the sample. while -zandrews- works without constraint (structural break at obs 624 of 1055), it is only reporting structural breaks within the range 1/365 for any(!) constraint with the [if] or [in] terms. an example: zandrews jcs2 in 732/1055, maxlags(1) trim(0.15) break(both) graph yields in a minimum t-statistic -3.574 at 27apr2007 (obs 117) gen group=0 replace group=1 in 366/731 zandrews jcs2 if group==1, maxlags(1) trim(0.15) break(both) graph yields in a minimum t-statistic -3.574 at 27apr2007 (obs 117) gen zjcs2=jcs2 replace zjcs2=. in 1/731 zandrews zjcs2, maxlags(1) break(both) graph yields in a minimum t-statistic -3.526 at 27apr2007 (obs 117) that is, even if obs 117 is not in range, not qulified (binary=0), or missing=. obs 117 is still considered as a structural break. how come? am i not seeing my fault, or is something wrong here? i am looking at credit spreads for bonds. still using stata 10. my dataset is a tsset (tsset date, d) for 1055 obs. all other ts commands seem to work fine, i.e. dfuller, dfgls, kpss, clemao/io 1 and 2. help is very much appreciated. best wishes marie Send instant messages to your online friends http://uk.messenger.yahoo.com * * 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/

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