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set verbose off
function scalar perron_test (series y, int maxlag, scalar testsig,
int verbose)
# generate trend, first lag, first difference
genr time
series y_1 = y(-1)
series dyt = diff(y)
# starting year for the series (the first non-missing obs)
scalar startyr = firstobs(y)
scalar t_a_min = 1.0E20
scalar Tbstar = 0
scalar Tbk = 0
# loop across possible breakpoints
scalar Tbmin = startyr + maxlag + 2
scalar Tbmax = max(time) - 3
loop for (Tb=Tbmin; Tb<=Tbmax; Tb+=1)
if verbose > 1
printf "Trying break in %s:\n", obslabel(Tb)
endif
series DU = (time > Tb)
series DT = (time == (Tb + 1))
scalar kstar = 0
# Try trimming the list of lags
loop for (k=maxlag; k>0; k-=1)
ols y 0 DU time DT y_1 dyt(-1 to -k) --quiet
# test significance of the last lag
scalar tstat = $coeff(dyt_$k) / $stderr(dyt_$k)
scalar pv = 2 * pvalue(z, abs(tstat))
if verbose > 2
printf "\tlast lag (%2d): t = %8.4f, asy. p-value = %6.4f\n", \
k, tstat, pv
endif
if pv < testsig
kstar = k
break
endif
endloop
# Re-run the regression with zero lags if need be
if kstar == 0
ols y 0 DU time DT y_1 --quiet
endif
scalar t_alpha = ($coeff(y_1) - 1.0) / $stderr(y_1)
if verbose > 1
printf "\tt_alpha = %8g (k=%d)\n\n", t_alpha, kstar
endif
if t_alpha < t_a_min
t_a_min = t_alpha
Tbstar = Tb
Tbk = kstar
endif
endloop
series DU = time > Tbstar
series DT = time == (Tbstar + 1)
# print -o time yr DU DT
string breakper = obslabel(Tbstar)
printf "\n*** minimized t_alpha = %g in %s (k=%d) ***\n", \
t_a_min, breakper, Tbk
printf "\nRegression with break at %s", breakper
# print the regression ("Model 1") with the selected break year
if verbose > 0
if Tbk > 0
ols y 0 DU time DT y_1 dyt(-1 to -Tbk)
else
ols y 0 DU time DT y_1
endif
else
if Tbk > 0
ols y 0 DU time DT y_1 dyt(-1 to -Tbk) --quiet
else
ols y 0 DU time DT y_1 --quiet
endif
endif
# just checking
scalar t_alpha = ($coeff(y_1) - 1.0) / $stderr(y_1)
printf "check: t_alpha = %g\n", t_alpha
return t_alpha
end function
# -------------------------------------------------------------------
/*
Replicate the analysis of Perron, "Further evidence on
breaking trend functions in macroeconomic variables" (Journal
of Econometrics, 1997, pp. 355-385), Table 3.
*/
# Open Nelson-Plosser data (supplied with gretl)
open np.gdt
# Select the variable to test (here, the natural log of real GNP)
series y = log(rgnp)
# Maximum lag to try for the first difference of y
scalar maxlag = 10
# Max significance level for retaining the last lag
scalar testsig = 0.10
# Verbosity level (2 = moderate)
scalar verbosity = 2
perron_test(y, maxlag, testsig, verbosity)
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