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From |
Muhammad Anees <anees@aneconomist.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 2 Sep 2011 18:16:03 +0500 |

Yes Nick, he has confirmed by estimating my data over Stata 11 and 12. Is there a way to change the basics of ghansen.ado and allow it working on Stata 10.1 if it is permissible, which I think would be fine if referred. I have tried changing the line in the ado as you suggested earlier, but that still gave the same problem. On Fri, Sep 2, 2011 at 5:32 PM, Nick Cox <njcoxstata@gmail.com> wrote: > 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 <anees@aneconomist.com> 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 <anees@aneconomist.com> 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 <njcoxstata@gmail.com> 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 <perez.jorge@ur.edu.co>: >>>>> 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. > > * > * 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/

**References**:**st: Package -ghansen- now available in SSC***From:*Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>

**Re: st: Package -ghansen- now available in SSC***From:*Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>

**Re: st: Package -ghansen- now available in SSC***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Package -ghansen- now available in SSC***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: Package -ghansen- now available in SSC***From:*Muhammad Anees <anees@aneconomist.com>

**Re: st: Package -ghansen- now available in SSC***From:*Nick Cox <njcoxstata@gmail.com>

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