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Re: st: Package -ghansen- now available in SSC

From   Muhammad Anees <[email protected]>
To   [email protected]
Subject   Re: st: Package -ghansen- now available in SSC
Date   Fri, 2 Sep 2011 09:34:53 +0500

Thanks for your nice work, Baum and Pérez, facilitating to estimate
the Gregory and Hansen (1996) cointegration, which is most desirable
in a few cases.

I have came up with a small query using the -ghensen- routine just
after installing it. I think it is related to mata type but I am
unable to sort out the issue.

I have the following time series data, which is already -tsset-ed

. des  c y z e t

              storage  display     value
variable name   type   format      label      variable label
c               float  %9.0g
y               float  %9.0g
z               float  %9.0g
e               float  %9.0g
t               float  %9.0g

and the application of -gehansen results in below

ghansen  c y z e t, break(level) lagmethod(aic) maxlags(5)
variable y z e t not found
               st_data():  3500  invalid Stata variable name
                  main():     -  function returned error
                 <istmt>:     -  function returned error

I would be thankful for helping me in my case.


2011/9/2 Jorge Eduardo Pérez Pérez <[email protected]>:
> Thanks to Christopher Baum, package -ghansen- has been uploaded to SSC.
> To install, write -ssc install ghansen-
> ghansen: Stata module to perform Gregory-Hansen test for cointegration
> with regime shifts.
> -ghansen- performs the Gregory-Hansen test for cointegration with
> regime shifts (structural breaks) proposed in Gregory and Hansen
> (1996). The test's null hypothesis is no cointegration against the
> alternative of cointegration with a single shift at an unknown point
> in time.
> ghansen makes use of Mata and requires Stata 9.2.
> _______________________
> Jorge Eduardo Pérez Pérez
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