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From |
"Schaffer, Mark E" <[email protected]> |

To |
<[email protected]> |

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

Date |
Fri, 2 Sep 2011 16:10:54 +0100 |

```
Muhammed,
The message "criterion matches more than one package" is a little worrisome. You might have more than one version of the package lurking on your machine.
which ghansen, all
will tell you.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Muhammad Anees
> Sent: 02 September 2011 15:22
> To: [email protected]
> Subject: Re: st: Package -ghansen- now available in SSC
>
> Thank you very much Nick, for your help.
>
> I have uninstalled the pachage by deleting all related files of the
> -ghansen- while the -ado unistall- showed an error. I
> reinstalled the -ghansen-package after deleting it. I made
> sure that the package has no traces in the directory after
> deleting and before new installation.
> Could you suggest how to get the old Mata cleared before
> installing the new files.
>
> I do have the same problem.
>
> I did the following
>
> . ado uninstall ghansen
> criterion matches more than one package
>
> and reinstalling the package resulted in the same error as
>
> . 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
>
>
>
>
>
>
> On Fri, Sep 2, 2011 at 7:02 PM, Nick Cox <[email protected]> wrote:
> > 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 unpublished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 <[email protected]>:
> >> 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
> <[email protected]> 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
> <[email protected]> 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
> <[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/
> >
>
>
>
> --
>
>
> 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/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* 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:*Nick Cox <[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]>

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

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