STATA - Time Series Analysis
Upcoming SlideShare
Loading in...5
×
 

Like this? Share it with your network

Share

STATA - Time Series Analysis

on

  • 20,731 views

 

Statistics

Views

Total Views
20,731
Views on SlideShare
20,285
Embed Views
446

Actions

Likes
9
Downloads
677
Comments
2

5 Embeds 446

http://www.stata.org.uk 436
http://sitebuilder.yola.com 5
http://muneebaercian.yolasite.com 2
https://twitter.com 2
http://www.weebly.com 1

Accessibility

Upload Details

Uploaded via as Microsoft PowerPoint

Usage Rights

© All Rights Reserved

Report content

Flagged as inappropriate Flag as inappropriate
Flag as inappropriate

Select your reason for flagging this presentation as inappropriate.

Cancel
  • Full Name Full Name Comment goes here.
    Are you sure you want to
    Your message goes here
    Processing…
  • It's Great
    Are you sure you want to
    Your message goes here
    Processing…
  • Great!
    Are you sure you want to
    Your message goes here
    Processing…
Post Comment
Edit your comment

STATA - Time Series Analysis Presentation Transcript

  • 1. STATA: Data Analysis Software STATA Time Series Analysis www.STATA.org.uk Step-by Step Screenshot Guides to help you use STATA Not 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 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