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Re: Lumsdaine-Papell Unit Root Test
Posted: Mon Jun 01, 2009 3:17 am
by tcfoon
Dear Trubador,
Thank you very much for the revision code and you are really smart. The code is running well now.. Is it plausible to let me know your full name as I would like to acknowledge you when I am using the codes for my research.
Thank you,
Regards,
tcfoon
Re: Lumsdaine-Papell Unit Root Test
Posted: Mon Oct 05, 2009 4:49 am
by wolly77
Hi guys, I'm new in this forum. I have some problem with running the Zivot-Andrews in the code published by trubador on Jun 01 2009 (that is, the last one code which appears in this discussion). I create a group of variables and then, when I run the model, appears the following script: "Syntax error in for !kk = 1 to g.@count".
I describe my estimation problem. I want to run the Zivot-Andrews test for the following variables: pce (the dependent variable), fedf_n, ylyt, stnw, nstnw (all in log form excluding fedf_n). I run the code of trubadr, but it appears the above message of error ( "Syntax error in for !kk = 1 to g.@count"). Anyone can help me, please? Thanks ina advance.
Hi,
Davide
Re: Lumsdaine-Papell Unit Root Test
Posted: Mon Oct 05, 2009 9:46 am
by trubador
EViews codes regarding the Zivot-Andrews unit root rest under this thread are not fully functional and do not produce the desired results. Please use the following (accurate and more complete) version of the code:
Zivot-Andrews Unit Root Test
Re: Lumsdaine-Papell Unit Root Test
Posted: Sat Nov 21, 2009 5:16 am
by donihue
Following up on this very helpful exchange:
Would either of you have written a code for the Clemente-Montanes-Reyes unit root test, which also alows for two structural breaks (it is implemented in Stata as "clemao" or "clemio", depending on form)?
Many thanks
Regards
Donihue
Re: Lumsdaine-Papell Unit Root Test
Posted: Tue Jan 12, 2010 11:10 pm
by xuehe
Dear expert:
Could you tell me how to compute critcial valure of LP test
Thanks!
Dear Trubador,
Thank you very much for the coding. I am really appreciate your help..
Warmest regards,
CF Tang
Re: Lumsdaine-Papell Unit Root Test
Posted: Tue Jan 12, 2010 11:14 pm
by xuehe
Dear Trubador
Could you tell me how to compute critcal value of LP test.
Best Regards
cass
joe xu
joe_3xu(at)sina.com
[quote="trubador"]I have modified your code and added a simulation exercise into the beginning. Although the following code seems to be working and identifying the structural breaks correctly, you can make all the necessary modifications and revisions for more efficient and accurate use.
Code: Select all
'Simulate a series that has two level shifts
!N=10000
workfile rollingdfvalue u 1 !N
series adf
wfcreate u 100
!b1=17 'First break
!b2=45 'Second break
smpl @first !b1-1
series sy=@trend + 10*nrnd
smpl !b1 !b2-1
sy = 5*@trend + 20*nrnd
smpl !b2 @last
sy = 7*@trend + 30*nrnd
'Apply Lumsdaine-Papell unit-root test
smpl @all
!trim = 0.1 'Trimming parameter
!t_min = 1000
vector(2) breaks
for !i = @round(@obs(sy)*!trim) to @round(@obs(sy)*(1-!trim))
for !k = !i+2 to @round(@obs(sy)*(1-!trim))-2
series DSY = D(SY)
equation temp.ls DSY c SY(-1) (@trend>!i) (@trend>!i)*(@trend-!i) (@trend>!k) (@trend>!k)*(@trend-!k) DSY(-1 TO -2)
if temp.@tstats(2) < !t_min then
!t_min = temp.@tstats(2)
breaks(1) = !i+2 'Identified first break point.
breaks(2) = !k+2 'Identified second break point
series DU1 = @trend> !i
series DT1 = DU1*(@trend-!i)
series DU2 = @trend>!k
series DT2 = DU2*(@trend-!k)
equation LPA.ls DSY c SY(-1) DU1 DT1 DU2 DT2 DSY(-1 TO -2) 'Selected equation
endif
adf(!i)=LPA.@stats(1)
next
show adf.hist
matrix(2,3)cvalue
cvalue.fill(b=r)0.01,0.05,0.10
!k=1
for %1 0.01 0.05 .0.10
cvalue(2,!k)=@quantile(adf,%1)
!k=!k+1
next
show cvalue
Re: Lumsdaine-Papell Unit Root Test
Posted: Tue Jan 12, 2010 11:28 pm
by xuehe
Please help set a monte carlo simulation to compute cretical value of lp test.
I have modified your code and added a simulation exercise into the beginning. Although the following code seems to be working and identifying the structural breaks correctly, you can make all the necessary modifications and revisions for more efficient and accurate use.
Code: Select all
'Simulate a series that has two level shifts
wfcreate u 100
!b1=17 'First break
!b2=45 'Second break
smpl @first !b1-1
series sy=@trend + 10*nrnd
smpl !b1 !b2-1
sy = 5*@trend + 20*nrnd
smpl !b2 @last
sy = 7*@trend + 30*nrnd
'Apply Lumsdaine-Papell unit-root test
smpl @all
!trim = 0.1 'Trimming parameter
!t_min = 1000
vector(2) breaks
for !i = @round(@obs(sy)*!trim) to @round(@obs(sy)*(1-!trim))
for !k = !i+2 to @round(@obs(sy)*(1-!trim))-2
series DSY = D(SY)
equation temp.ls DSY c SY(-1) (@trend>!i) (@trend>!i)*(@trend-!i) (@trend>!k) (@trend>!k)*(@trend-!k) DSY(-1 TO -2)
if temp.@tstats(2) < !t_min then
!t_min = temp.@tstats(2)
breaks(1) = !i+2 'Identified first break point.
breaks(2) = !k+2 'Identified second break point
series DU1 = @trend> !i
series DT1 = DU1*(@trend-!i)
series DU2 = @trend>!k
series DT2 = DU2*(@trend-!k)
equation LPA.ls DSY c SY(-1) DU1 DT1 DU2 DT2 DSY(-1 TO -2) 'Selected equation
endif
next
next
delete temp
Re: Lumsdaine-Papell Unit Root Test
Posted: Thu Sep 23, 2010 3:33 am
by jfgeli
Hi, I've been following the thread on the Lumsdaine-Papell URT. I must admit that you guys are far beyond of what I could ever dream to do in Eviews. I tried to use the code posted here (and its several modifications) but I always get the same error when estimating the temporary regression:
equation temp.ls DY y(-1) C @trend (@trend>!i-2) (@trend>!i-2)*(@trend-!i+2) DY(-1 to -!best_lag)
I get near singular matrix...
Y in my case is the public debt as a share of GDP of a country. The numbers are not weird, so I actually do not know what could be not working.
I appreciate any advice on this.
Regards,
Federico.
Re: Lumsdaine-Papell Unit Root Test
Posted: Wed Oct 06, 2010 6:22 pm
by jjaa
Hi,
if i want to run the lumsdaine-papell unit root test without the simulation, which code may i use?
Thank you