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Re: st: Package -ghansen- now available in SSC
From
Jorge Eduardo Pérez Pérez <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Package -ghansen- now available in SSC
Date
Fri, 2 Sep 2011 14:41:30 -0400
I tested Nick Cox's fix on Stata 9.2 and it works perfectly. I just
submitted a updated version of the command to SSC. It should be up
soon, if not today, then after the SSC hiatus.
Once again, thank you Muhammad and Nick for helping me to identfy this bug.
Regards,
_______________________
Jorge Eduardo Pérez Pérez
On Fri, Sep 2, 2011 at 1:13 PM, Nick Cox <[email protected]> wrote:
> In addition, reinstalling the same package from SSC will predictably
> produce the same result. As I write, the version of -ghansen- on SSC
> is precisely the one that caused you problems. The author, Jorge, has
> yet to fix it.
>
> Muhammad: You either wait for it to be fixed or fix it by hand on your
> own machine, as I did. Sorry if you thought that I had fixed the
> package on SSC, but that's not for me to do, as I am not the author.
>
> . mata mata clear
>
> flushes any Mata code in memory.
>
> Nick
>
> On Fri, Sep 2, 2011 at 4:10 PM, Schaffer, Mark E <[email protected]> wrote:
>> 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.
>>> >
>>> > *
>
> *
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