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From |
Nick Cox <[email protected]> |

To |
[email protected] |

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

Date |
Fri, 2 Sep 2011 13:32:36 +0100 |

My guess is that Jorge developed the program under Stata 11 or higher. Nick On Fri, Sep 2, 2011 at 12:56 PM, Muhammad Anees <[email protected]> wrote: > I am currently using Stata 10.1. Sorry for my late response to mention > the version. > > On Fri, Sep 2, 2011 at 3:57 PM, Muhammad Anees <[email protected]> wrote: >> Yes, Nick you identified the right point. Also I have further >> discussed it with the author in personal email to show that the same >> command works when used only one right hand side variable which >> confirms the point raised by Nick. >> >> Anees >> >> On Fri, Sep 2, 2011 at 12:39 PM, Nick Cox <[email protected]> wrote: >>> 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 >>> <http://www.stata.com/support/faqs/lang/version2.html>.) >>> >>> 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 >>> >>> x=st_data(.,X,touse) >>> >>> 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 >>> >>> http://www.stata.com/statalist/archive/2011-08/msg00403.html >>> >>> 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. >>> >>> Nick >>> >>> 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. * * 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/

**Follow-Ups**:**Re: st: Package -ghansen- now available in SSC***From:*Muhammad Anees <[email protected]>

**References**:**st: Package -ghansen- now available in SSC***From:*Jorge Eduardo Pérez Pérez <[email protected]>

**Re: st: Package -ghansen- now available in SSC***From:*Jorge Eduardo Pérez Pérez <[email protected]>

**Re: st: Package -ghansen- now available in SSC***From:*Nick Cox <[email protected]>

**Re: st: Package -ghansen- now available in SSC***From:*Muhammad Anees <[email protected]>

**Re: st: Package -ghansen- now available in SSC***From:*Muhammad Anees <[email protected]>

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