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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 2 Sep 2011 15:02:58 +0100 |

I don't know what "not working" means precisely. I have an unpublished document which details 20 different senses of such vague expressions! Testing on 11 is clearly not a certification that the code works on 9.2. I did say that I wasn't certifying the program free of other problems. However, I fixed the program for the specific bug in question and found that Jorge's example commands seem to work fine on 10.1. I don't know what Muhammad did differently. You do need to flush the old Mata code out of the way. . version version 10.1 . webuse balance2 ,clear (macro data for VECM/balance study) . ghansen y i c, break(level) lagmethod(aic) maxlags(5) Gregory-Hansen Test for Cointegration with Regime Shifts Model: Change in Level Number of obs = 96 Lags = 1 chosen by Akaike criterion Maximum Lags = 5 Test Breakpoint Date Asymptotic Critical Values Statistic 1% 5% 10% ------------------------------------------------------------------------------ ADF -3.62 80 1978q4 -5.44 -4.92 -4.69 Zt -3.89 82 1979q2 -5.44 -4.92 -4.69 Za -23.90 82 1979q2 -57.01 -46.98 -42.49 ------------------------------------------------------------------------------ . ghansen y i c, break(regime) lagmethod(fixed) maxlags(5) Gregory-Hansen Test for Cointegration with Regime Shifts Model: Change in Regime Number of obs = 96 Lags = 5 chosen by user Maximum Lags = 5 Test Breakpoint Date Asymptotic Critical Values Statistic 1% 5% 10% ------------------------------------------------------------------------------ ADF -4.03 59 1973q3 -5.97 -5.50 -5.23 Zt -4.75 62 1974q2 -5.97 -5.50 -5.23 Za -25.29 62 1974q2 -68.21 -58.33 -52.85 ------------------------------------------------------------------------------ . ghansen y i c, break(regimetrend) lagmethod(downt) level(0.99) trim(0.1) Gregory-Hansen Test for Cointegration with Regime Shifts Model: Change in Regime and Trend Number of obs = 96 Lags = 2 chosen by downward t-statistics Maximum Lags = 3 Test Breakpoint Date Asymptotic Critical Values Statistic 1% 5% 10% ------------------------------------------------------------------------------ ADF -4.78 64 1974q4 -6.45 -5.96 -5.72 Zt -4.52 63 1974q3 -6.45 -5.96 -5.72 Za -30.30 63 1974q3 -79.65 -68.43 -63.10 ------------------------------------------------------------------------------ . ghansen y i c, break(level) lagmethod(aic) maxlags(5) Gregory-Hansen Test for Cointegration with Regime Shifts Model: Change in Level Number of obs = 96 Lags = 1 chosen by Akaike criterion Maximum Lags = 5 Test Breakpoint Date Asymptotic Critical Values Statistic 1% 5% 10% ------------------------------------------------------------------------------ ADF -3.62 80 1978q4 -5.44 -4.92 -4.69 Zt -3.89 82 1979q2 -5.44 -4.92 -4.69 Za -23.90 82 1979q2 -57.01 -46.98 -42.49 ------------------------------------------------------------------------------ 2011/9/2 Jorge Eduardo Pérez Pérez <perez.jorge@ur.edu.co>: > Thank you Nick and Muhammad for helping me to identify this bug in the > code. I developed the command in Stata 12, and tested it on both 11 > and 12, but I was not aware on this change in the behavior of st_data > across versions. > > According to Muhammad, the fix suggested by Nick is not working. > Unfortunately, I don't have access to a machine with Stata 10 or 9 > right now, so I can not confirm this right away. Once I get my hands > on a machine with Stata 10 or 9, I will confirm whether the update > works and publish an update. > > Users of versions 11 and 12 should be fine, > > Regards, > _______________________ > Jorge Eduardo Pérez Pérez > > > > > On Fri, Sep 2, 2011 at 9:16 AM, Muhammad Anees <anees@aneconomist.com> wrote: >> 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/

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

**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>

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

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