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

From   Nick Cox <[email protected]>
To   [email protected]
Subject   Re: st: Package -ghansen- now available in SSC
Date   Fri, 2 Sep 2011 08:39:27 +0100

My guess is that there is no problem with Muhammad's data.

There is a small problem with the code. Jorge is declaring -version
9.2- for his Stata program, but probably developed his code under a
later version and did not actually test his code under version 9.2.
This is slightly risky as far as your users are concerned if they are
using an earlier version than you are. Recall that -version- is not a
time machine! (What it is and is not is discussed at greater length in

Also, Muhammad is not using the latest version of Stata; otherwise
this code should have worked. Recall that on Statalist you are
requested to make clear if you are not using the latest version.

This line of Mata is biting


Jorge should for compatibility change this to

x=st_data(., tokens(X), touse)

In fact the problem is made clear by the error message.

variable y z e t not found

The version of -st_data()- on Muhammad's Stata thinks that he thinks
"y z e t" is a single variable name, because it doesn't parse on
spaces to make this a list of four variable names. It is of course not
a single variable name.

In recent Statas, -st_data()- is more indulgent and will parse on
spaces for you.

I didn't realise, or had forgotten, that -st_data()- had changed since
first introduced in Stata 9 until a thread started last month in

in which this difference was exposed as a cause of (my) misunderstanding.

Any way, it is an easy fix, although I am not certifying that there
may not be other small problems of this type.


2011/9/2 Jorge Eduardo Pérez Pérez <[email protected]>:
> 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 <[email protected]> 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 <[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.

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