Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: Re : st: Cointegration tests with structurals breaks


From   "Brian P. Poi" <brian@poiholdings.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re : st: Cointegration tests with structurals breaks
Date   Sun, 10 Jul 2011 17:17:31 -0400


Brian P. Poi

On 07/10/2011 04:39 PM, Amir Sariaslan wrote:
Hélène,

Unfortunately, I don't work with time-series data so I can't help you
with the specifics. I did however come across the following article
while googling:

Moran, J. L., Solomon, P. J. and for the Adult Database Management
Committee (ADMC) of the Australian and New Zealand Intensive Care
Society (ANZICS) (2011), Conventional and advanced time series
estimation: application to the Australian and New Zealand Intensive
Care Society (ANZICS) adult patient database, 1993–2006. Journal of
Evaluation in Clinical Practice, 17: 45–60. doi:
10.1111/j.1365-2753.2010.01368.x

The article included the following reference to a user-written Stata
program that you might be able to get access to:

Poi, B. (2009) Greghansen: stata module to implement the
Gregory-Hansen test for cointegration in models with regime shifts.
User-written command: Send an email to bpoi@stata.com to obtain the
current version, Accessed July 2009.


Hey, that's me!

Bruce Hansen has both Matlab and Gauss programs to implement the Gregory-Hansen test available for download at his website:

http://www.ssc.wisc.edu/~bhansen/progs/joe_96.html

At one time or another I may have helped a user convert the Matlab code into Mata, but I don't recall having made anything sufficiently tested and refined for public release.

That said, depending on one's familiarity with both Mata and either Matlab or Gauss, converting the Matlab or Gauss code to Mata is one alternative.

   -- Brian Poi
   -- brian@poiholdings.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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index