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STATA - Time Series Analysis

Dec 03, 2014

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stataorguk

 

  • 1. STATA: Data Analysis Software STATATime Series Analysis www.STATA.org.uk Step-by Step Screenshot Guidesto help you use STATANot affiliated with Stata Corp.

2. Datasets Used in Tutorial Datasets in these tutorials are based on examples in:Stock and Watson (2006)Introduction to Econometrics You can obtain all of the datasets used in these tutorials by downloading a STATA command file from http://www.stata.org.uk/download-examples.html 3. Outline Statistical Analysis Time Series Managing Time Series Data Dickey-Fuller Test ARIMA VAR ARCH 4. Outline Statistical Analysis Time Series Managing Time Series Data Open Dataset Set Time Variable Graph Data Create Lags Create Leads Create Differences 5. Outline Statistical Analysis Time Series Managing Time Series Data Open Dataset Set Time Variable Graph Data Create Lags Create Leads Create Differences 6. Outline Statistical Analysis Time Series Managing Time Series Data Open Dataset Set Time Variable Graph Data Create Lags Create Leads Create Differences 7. Outline Statistical Analysis Time Series Managing Time Series Data Open Dataset Set Time Variable Graph Data Create Lags Create Leads Create Differences 8. Outline Statistical Analysis Time Series Managing Time Series Data Open Dataset Set Time Variable Graph Data Create Lags Create Leads Create Differences 9. Outline Statistical Analysis Time Series Managing Time Series Data Open Dataset Set Time Variable Graph Data Create Lags Create Leads Create Differences 10. Outline Statistical Analysis Time Series Managing Time Series Data Dickey-Fuller Test ARIMA VAR ARCH 11. Outline Statistical Analysis Time Series Dickey-Fuller Test DF Test on a variable DF Test on differenced variable 12. Outline Statistical Analysis Time Series Dickey-Fuller Test DF Test on a variable DF Test on differenced variable 13. Outline Statistical Analysis Time Series Managing Time Series Data Dickey-Fuller Test ARIMA VAR ARCH 14. Outline Statistical Analysis Time Series ARIMA ARIMA Estimation Partial Correlogram (PAC) Correlogram (AC) Info Criteria (AIC and BIC) Challenge 15. Outline Statistical Analysis Time Series ARIMA ARIMA Estimation Partial Correlogram (PAC) Correlogram (AC) Info Criteria (AIC and BIC) Challenge 16. Outline Statistical Analysis Time Series ARIMA ARIMA Estimation Partial Correlogram (PAC) Correlogram (AC) Info Criteria (AIC and BIC) Challenge 17. Outline Statistical Analysis Time Series ARIMA ARIMA Estimation Partial Correlogram (PAC) Correlogram (AC) Info Criteria (AIC and BIC) Challenge 18. Outline Statistical Analysis Time Series ARIMA ARIMA Estimation Partial Correlogram (PAC) Correlogram (AC) Info Criteria (AIC and BIC) Challenge 19. ARIMA: Challenge Challenge Estimate ARIMA(2,0,2) for inflation Method Use current data Generate inflation = (punew-L1.punew)/L1.punew Run Dickey-Fuller on inflation Use PAC and AC graphs Use AIC and BIC tests on ARIMA(3,0,2) Compare to AIC and BIC on ARIMA(2,0,2) 20. Outline Statistical Analysis Time Series Managing Time Series Data Dickey-Fuller Test ARIMA VAR ARCH 21. Outline Statistical Analysis Time Series VAR Declare Time Variable VAR Regression (Dinflation vs Unemployment) Joint Significance Test VAR Forecast Calculations VAR Forecast Graphs Challenge 22. Outline Statistical Analysis Time Series VAR Declare Time Variable VAR Regression (Dinflation vs Unemployment) Joint Significance Test VAR Forecast Calculations VAR Forecast Graphs Challenge 23. Outline Statistical Analysis Time Series VAR Declare Time Variable VAR Regression (Dinflation vs Unemployment) Joint Significance Test VAR Forecast Calculations VAR Forecast Graphs Challenge 24. Outline Statistical Analysis Time Series VAR Declare Time Variable VAR Regression (Dinflation vs Unemployment) Joint Significance Test VAR Forecast Calculations VAR Forecast Graphs Challenge 25. Outline Statistical Analysis Time Series VAR Declare Time Variable VAR Regression (Dinflation vs Unemployment) Joint Significance Test VAR Forecast Calculations VAR Forecast Graphs Challenge 26. Outline Statistical Analysis Time Series VAR Declare Time Variable VAR Regression (Dinflation vs Unemployment) Joint Significance Test VAR Forecast Calculations VAR Forecast Graphs Challenge 27. VAR: Challenge Challenge Forecast unemployment using VAR with 4 lags Method Use current data Run VAR with 4 lags Forecast 20 steps ahead 28. Outline Statistical Analysis Time Series Managing Time Series Data Dickey-Fuller Test ARIMA VAR ARCH 29. Outline Statistical Analysis Time Series ARCH ARCH Estimation Conditional Variance Conditional St. Deviation Challenge 30. Outline Statistical Analysis Time Series ARCH ARCH Estimation Conditional Variance Conditional St. Deviation Challenge 31. Outline Statistical Analysis Time Series ARCH ARCH Estimation Conditional Variance Conditional St. Deviation Challenge 32. Outline Statistical Analysis Time Series ARCH ARCH Estimation Conditional Variance Conditional St. Deviation Challenge 33. GARCH: Challenge Challenge Estimate a GARCH(2,2) model Method Use current data Run GARCH(2,2) Save conditional variance 34. www.STATA.org.uk If you visit www.STATA.org.uk you can download tutorials on these other topics: Data ManagementStatistical Analysis Importing Data Summary Statistics Graphs Linear Regressions Presenting OutputPanel Regressions Merge or Drop Data Time Series AnalysisInstrumental VariablesProbit Analysis