Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: Package -ghansen- now available in SSC |
| Date | Fri, 2 Sep 2011 01:07:18 -0400 |
Dear Anees Could you send me your database, or could you replicate your problem using a Stata example dataset? I want to look at the problem more closely. If you want to send me your database, please do so directly to my email address, because attachments are forbidden in Statalist. _______________________ Jorge Eduardo Pérez Pérez On Fri, Sep 2, 2011 at 12:34 AM, Muhammad Anees <anees@aneconomist.com> wrote: > 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. > > > Anees > > > > 2011/9/2 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>: >> 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 >> >> >> * >> * 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/ >> > > > > -- > > > Regards > > Anees > > * > * 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/