help ghansen
-------------------------------------------------------------------------------

Title

    ghansen -- Gregory-Hansen test for cointegration with regime shifts

Syntax

        ghansen depvar indepvars [if] [in] , break(string) lagmethod(string)
                [maxlags(integer) trim(real) level(real)]


    options               Description
    -------------------------------------------------------------------------
    Main
      break                type of structural break of cointegration vector
      lagmethod            Method for lag selection in adf test
      maxlags              Maximum lags to search in adf test
      trim                 fraction of data range to skip at either end when
                            examining possible break points
      level                confidence level for downward t statistic lag
                            selection in adf test
    -------------------------------------------------------------------------
    by is allowed; see [D] by.
    You must tsset your data before using ghansen; see [TS] tsset.
    depvar and indepvars may contain time-series operators; see tsvarlist.

Description

    ghansen performs the Gregory-Hansen test for cointegration with regime
    shifts proposed in Gregory and Hansen (1996) on a dependent variable 
    depvar and up to four independent variables in indepvars . The test's
    null hypothesis is no cointegration against the alternative of
    cointegration with a single shift at an unknown point in time.  ghansen
    does not allow gaps within the observations of the time series.

Options

        +------+
    ----+ Main +-------------------------------------------------------------

    break(string) is required and specifies the type of break in the
        cointegration vector. Details are provided in Gregory and Hansen
        (1996) and Gregory and Hansen (1996a).

        break(level) specifies a break in the constant term.

        break(trend) specifies a break in the constant and the trend.

        break(regime) specifies a break in the constant and the slope.

        break(regimetrend) specifies a break in the constant, the slope and
            the trend (Gregory and Hansen 1996a)

    lagmethod(string) is required and specifies the algorithm to choose the
        number of lags in the Augmented Dickey Fuller tests.

        lagmethod(fixed) sets the number of lags equal to the maximum lags
            specified in maxlag(integer)

        lagmethod(aic) chooses the number of lags that minimize the Akaike
            information criterion.

        lagmethod(bic) chooses the number of lags that minimize the Bayesian
            information criterion.

        lagmethod(downt) chooses the number of lags such that the last lag is
            significant according to its t-statistic, starting from a maximum
            number of lags.

    maxlags(integer) is optional and specifies the maximum number of lags to
        include in the Augmented Dickey Fuller test, or the number of lags to
        include if lagmethod is fixed. maxlags is required if lagmethod is
        fixed. Default is T^0.25, where T is the sample size.

    trim(real) is optional and specifies the fraction of the data range to
        skip at either end when examining possible break points. Default is
        0.15. trim must be a positive real number between 0 and 0.25.

    level(real) is optional and specifies the cutoff confidence level for the
        downt lag selection method. Default is 0.95.

Examples

    . webuse balance2 ,clear

    Break in level, lags chosen by Akaike criterion, maximum of 5 lags.

    . ghansen y i c, break(level) lagmethod(aic) maxlags(5)

    Change in regime , 5 lags chosen by user.

    . ghansen y i c, break(regime) lagmethod(fixed) maxlags(5)

    Change in regime and trend , downward t lag selection at the 99%
    confidence level, trim 10% of sample.

    . ghansen y i c, break(regimetrend) lagmethod(downt) level(0.99)
    trim(0.1)

Saved results

    ghansen saves the following in r():

    Scalars        
      r(tstat)            t-statistic for adf test
      r(lag)              lags for adf test
      r(breakptadf)       estimated breakpoint for adf test
      r(za)               za statistic
      r(breakptza)        estimated breakpoint for za test
      r(zt)               zt statistic
      r(breakptzt)        estimated breakpoint for zt test

    Macros         
      r(break)            Type of break
      r(badfdate)         estimated break date for adf test
      r(bzadate)          estimated break date for za test
      r(bztdate)          estimated break date for zt test



Author

    Jorge Pérez, Inter-American Development Bank
    jperezperez@iadb.org

References

    Gregory, Allan W. and Bruce E. Hansen (1996). "Residual-Based Tests for
    Cointegration in Models with Regime Shifts", Journal of Econometrics
    70(1), pp. 99-126.

    Gregory, Allan W. and Bruce E. Hansen (1996a). "Tests for Cointegration
    in Models with Regime and Trend Shifts", Oxford Bulletin of Economics and
    Statistics 58 (3), pp. 555-60.

    Hansen, Bruce E. (n.d.) Residual-based tests for cointegration in models
    with regime shifts.  Programs -- Cointegration. Retrieved August 1, 2011
    from http://www.ssc.wisc.edu/~bhansen/progs/joe_96.html

Acknowledgements 

    This command is based on R code provided in Hansen (n.d.) I am grateful
    to Muhammad Anees and Nicholas Cox for help in identifying a bug in a
    previous version of the program.

Disclaimer

    This program is provided without warranty of any kind. The author is not
    responsible for any cost derived by the usage of this program.

Also see

      Help:  [TS] vec, [TS] vecrank, zandrews (if installed),