Question about command for model 2 in George Hansen test with structural break

[Jessica Marques]

Dear Statalist,

I am trying to find break point and cointegration . I applied the Geroge Hansen test , according to the link ,http://www.stata.com/statalist/archi.../msg00075.html

The commands for 3 models provided in the link above work perfectly. However ,George Hansen test consists of 4 models . Model 2 (level shift and trend) for George Hansen test is still missing
Model 2: Cointegration with a level shift and trend
Yt = α + β*Xt + γ*dumt + μ*t + εt

May I ask if any of you knows the command for model 2, could you please give me any advice?.Thank you so much!!

I am writing down the equation for each model and corresponding command in the above link for your reference

Model 1: Cointegration with a level shif
Yt = α + β*Xt + γ*dumt + εt (1)

ghansen y x, break(level) lagmethod(aic) maxlags(5)

Model 3: Cointegration with a regime shift
Yt = α + β*Xt + γ*dumt + μ*t + δ* Xt*dumt + εt (3)

ghansen y x, break(regime) lagmethod(fixed) maxlags(5)

Model 4: Cointegration with a regime shift and trend
Yt = α + β₁*Xt + γ*dumt + μ*t + φ *dumt *t + δ* Xt*dumt + εt (4)

ghansen y x, break(regimetrend) lagmethod(downt) level(0.99) trim(0.1)

[Nick Cox]

The test in question appears to be the Gregory-Hansen test. (One well-known Stata user, who might not want to be named in this context, quipped that to a good first approximation all tests were developed by two economists, regardless of any evidence that someone else got there first.)

I don't know the answer here.

[Tullio Gregori]

I'm sorry to be very late and I guess useless for Jessica, but 4 options are available as you can read in the file ghansen.hlp;

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)

maybe Jesssica looked at examples only.

Beware of the error code yet:

di as text _col(4) "Zt" as result _col(9) %10.2f `zt' _col(29) %10.0f "`breakptza'" _col(38) "`bzadate'" _col(43) %10.2f `r(a1)' _col(56) %10.2f `r(a2)' _col(68) %10.2f `r(a3)'
di as text _col(4) "Za" as result _col(9) %10.2f `za' _col(29) %10.0f "`breakptza'" _col(38) "`bzadate'" _col(43) %10.2f `r(z1)' _col(56) %10.2f `r(z2)' _col(68) %10.2f `r(z3)'

fix it and your screen output will be OK