STATA: Data Analysis Software

STATA

Time Series Analysis

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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

Outline

Statistical Analysis
Time Series
Managing Time Series Data
Dickey-Fuller Test
ARIMA
VAR
ARCH

Outline
Statistical Analysis
Time Series
Managing Time Series Data
Open Dataset
Set Time Variable
Graph Data
Create Lags
Create Leads
Create Differences

Outline
Statistical Analysis
Time Series
Managing Time Series Data
Open Dataset
Set Time Variable
Graph Data
Create Lags
Create Leads
Create Differences

Outline
Statistical Analysis
Time Series
Managing Time Series Data
Open Dataset
Set Time Variable
Graph Data
Create Lags
Create Leads
Create Differences

Outline
Statistical Analysis
Time Series
Managing Time Series Data
Open Dataset
Set Time Variable
Graph Data
Create Lags
Create Leads
Create Differences

Outline
Statistical Analysis
Time Series
Managing Time Series Data
Open Dataset
Set Time Variable
Graph Data
Create Lags
Create Leads
Create Differences

Outline
Statistical Analysis
Time Series
Managing Time Series Data
Open Dataset
Set Time Variable
Graph Data
Create Lags
Create Leads
Create Differences

Outline

Statistical Analysis
Time Series
Managing Time Series Data
Dickey-Fuller Test
ARIMA
VAR
ARCH

Outline

Statistical Analysis
Time Series
Dickey-Fuller Test
DF Test on a variable
DF Test on differenced variable

Outline

Statistical Analysis
Time Series
Dickey-Fuller Test
DF Test on a variable
DF Test on differenced variable

Outline

Statistical Analysis
Time Series
Managing Time Series Data
Dickey-Fuller Test
ARIMA
VAR
ARCH

Outline

Statistical Analysis
Time Series
ARIMA
ARIMA Estimation
Partial Correlogram (PAC)
Correlogram (AC)
Info Criteria (AIC and BIC)
Challenge

Outline

Statistical Analysis
Time Series
ARIMA
ARIMA Estimation
Partial Correlogram (PAC)
Correlogram (AC)
Info Criteria (AIC and BIC)
Challenge

Outline

Statistical Analysis
Time Series
ARIMA
ARIMA Estimation
Partial Correlogram (PAC)
Correlogram (AC)
Info Criteria (AIC and BIC)
Challenge

Outline

Statistical Analysis
Time Series
ARIMA
ARIMA Estimation
Partial Correlogram (PAC)
Correlogram (AC)
Info Criteria (AIC and BIC)
Challenge

Outline

Statistical Analysis
Time Series
ARIMA
ARIMA Estimation
Partial Correlogram (PAC)
Correlogram (AC)
Info Criteria (AIC and BIC)
Challenge

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)

Outline

Statistical Analysis
Time Series
Managing Time Series Data
Dickey-Fuller Test
ARIMA
VAR
ARCH

Outline
Statistical Analysis
Time Series
VAR
Declare Time Variable
VAR Regression (Dinflation vs Unemployment)
Joint Significance Test
VAR Forecast Calculations
VAR Forecast Graphs
Challenge

Outline
Statistical Analysis
Time Series
VAR
Declare Time Variable
VAR Regression (Dinflation vs Unemployment)
Joint Significance Test
VAR Forecast Calculations
VAR Forecast Graphs
Challenge

Outline
Statistical Analysis
Time Series
VAR
Declare Time Variable
VAR Regression (Dinflation vs Unemployment)
Joint Significance Test
VAR Forecast Calculations
VAR Forecast Graphs
Challenge

Outline
Statistical Analysis
Time Series
VAR
Declare Time Variable
VAR Regression (Dinflation vs Unemployment)
Joint Significance Test
VAR Forecast Calculations
VAR Forecast Graphs
Challenge

Outline
Statistical Analysis
Time Series
VAR
Declare Time Variable
VAR Regression (Dinflation vs Unemployment)
Joint Significance Test
VAR Forecast Calculations
VAR Forecast Graphs
Challenge

Outline
Statistical Analysis
Time Series
VAR
Declare Time Variable
VAR Regression (Dinflation vs Unemployment)
Joint Significance Test
VAR Forecast Calculations
VAR Forecast Graphs
Challenge

VAR: Challenge

Challenge
Forecast unemployment using VAR with 4 lags

Method
Use current data
Run VAR with 4 lags
Forecast 20 steps ahead

Outline

Statistical Analysis
Time Series
Managing Time Series Data
Dickey-Fuller Test
ARIMA
VAR
ARCH

Outline

Statistical Analysis
Time Series
ARCH
ARCH Estimation
Conditional Variance
Conditional St. Deviation
Challenge

Outline

Statistical Analysis
Time Series
ARCH
ARCH Estimation
Conditional Variance
Conditional St. Deviation
Challenge

Outline

Statistical Analysis
Time Series
ARCH
ARCH Estimation
Conditional Variance
Conditional St. Deviation
Challenge

Outline

Statistical Analysis
Time Series
ARCH
ARCH Estimation
Conditional Variance
Conditional St. Deviation
Challenge

GARCH: Challenge

Challenge
Estimate a GARCH(2,2) model

Method
Use current data
Run GARCH(2,2)
Save conditional variance

www.STATA.org.uk

If you visit www.STATA.org.uk you can download

tutorials on these other topics:
Data Management

Statistical Analysis

Importing Data

Summary Statistics

Graphs

Linear Regressions

Presenting Output

Panel Regressions

Merge or Drop Data

Time Series Analysis

Instrumental Variables
Probit Analysis