STATA - Time Series Analysis

39,304 views

Published on

Published in: Technology, Economy & Finance
4 Comments
27 Likes
Statistics
Notes
No Downloads
Views
Total views
39,304
On SlideShare
0
From Embeds
0
Number of Embeds
727
Actions
Shares
0
Downloads
2,155
Comments
4
Likes
27
Embeds 0
No embeds

No notes for slide

STATA - Time Series Analysis

  1. 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. 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. 3. Outline – Statistical Analysis • Time Series – Managing Time Series Data – Dickey-Fuller Test – ARIMA – VAR – ARCH
  4. 4. Outline – Statistical Analysis • Time Series – Managing Time Series Data » Open Dataset » Set Time Variable » Graph Data » Create Lags » Create Leads » Create Differences
  5. 5. Outline – Statistical Analysis • Time Series – Managing Time Series Data » Open Dataset » Set Time Variable » Graph Data » Create Lags » Create Leads » Create Differences
  6. 6. Outline – Statistical Analysis • Time Series – Managing Time Series Data » Open Dataset » Set Time Variable » Graph Data » Create Lags » Create Leads » Create Differences
  7. 7. Outline – Statistical Analysis • Time Series – Managing Time Series Data » Open Dataset » Set Time Variable » Graph Data » Create Lags » Create Leads » Create Differences
  8. 8. Outline – Statistical Analysis • Time Series – Managing Time Series Data » Open Dataset » Set Time Variable » Graph Data » Create Lags » Create Leads » Create Differences
  9. 9. Outline – Statistical Analysis • Time Series – Managing Time Series Data » Open Dataset » Set Time Variable » Graph Data » Create Lags » Create Leads » Create Differences
  10. 10. Outline – Statistical Analysis • Time Series – Managing Time Series Data – Dickey-Fuller Test – ARIMA – VAR – ARCH
  11. 11. Outline – Statistical Analysis • Time Series – Dickey-Fuller Test » DF Test on a variable » DF Test on differenced variable
  12. 12. Outline – Statistical Analysis • Time Series – Dickey-Fuller Test » DF Test on a variable » DF Test on differenced variable
  13. 13. Outline – Statistical Analysis • Time Series – Managing Time Series Data – Dickey-Fuller Test – ARIMA – VAR – ARCH
  14. 14. Outline – Statistical Analysis • Time Series – ARIMA » ARIMA Estimation » Partial Correlogram (PAC) » Correlogram (AC) » Info Criteria (AIC and BIC) » Challenge
  15. 15. Outline – Statistical Analysis • Time Series – ARIMA » ARIMA Estimation » Partial Correlogram (PAC) » Correlogram (AC) » Info Criteria (AIC and BIC) » Challenge
  16. 16. Outline – Statistical Analysis • Time Series – ARIMA » ARIMA Estimation » Partial Correlogram (PAC) » Correlogram (AC) » Info Criteria (AIC and BIC) » Challenge
  17. 17. Outline – Statistical Analysis • Time Series – ARIMA » ARIMA Estimation » Partial Correlogram (PAC) » Correlogram (AC) » Info Criteria (AIC and BIC) » Challenge
  18. 18. Outline – Statistical Analysis • Time Series – ARIMA » ARIMA Estimation » Partial Correlogram (PAC) » Correlogram (AC) » Info Criteria (AIC and BIC) » Challenge
  19. 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. 20. Outline – Statistical Analysis • Time Series – Managing Time Series Data – Dickey-Fuller Test – ARIMA – VAR – ARCH
  21. 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. 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. 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. 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. 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. 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. 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. 28. Outline – Statistical Analysis • Time Series – Managing Time Series Data – Dickey-Fuller Test – ARIMA – VAR – ARCH
  29. 29. Outline – Statistical Analysis • Time Series – ARCH » ARCH Estimation » Conditional Variance » Conditional St. Deviation » Challenge
  30. 30. Outline – Statistical Analysis • Time Series – ARCH » ARCH Estimation » Conditional Variance » Conditional St. Deviation » Challenge
  31. 31. Outline – Statistical Analysis • Time Series – ARCH » ARCH Estimation » Conditional Variance » Conditional St. Deviation » Challenge
  32. 32. Outline – Statistical Analysis • Time Series – ARCH » ARCH Estimation » Conditional Variance » Conditional St. Deviation » Challenge
  33. 33. GARCH: Challenge Challenge – Estimate a GARCH(2,2) model Method – Use current data – Run GARCH(2,2) – Save conditional variance
  34. 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

×