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STATA: Data Analysis Software               STATA            Time Series Analysis             www.STATA.org.uk            ...
Datasets Used in Tutorial   – Datasets in these tutorials are based on examples in:        Stock and Watson (2006)        ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data          – Dickey-Fuller Test    ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data            » Open Dataset        ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data            » Open Dataset        ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data            » Open Dataset        ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data            » Open Dataset        ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data            » Open Dataset        ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data            » Open Dataset        ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data          – Dickey-Fuller Test    ...
Outline   – Statistical Analysis      • Time Series          – Dickey-Fuller Test             » DF Test on a variable     ...
Outline   – Statistical Analysis      • Time Series          – Dickey-Fuller Test             » DF Test on a variable     ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data          – Dickey-Fuller Test    ...
Outline   – Statistical Analysis      • Time Series          – ARIMA            » ARIMA Estimation            » Partial Co...
Outline   – Statistical Analysis      • Time Series          – ARIMA            » ARIMA Estimation            » Partial Co...
Outline   – Statistical Analysis      • Time Series          – ARIMA            » ARIMA Estimation            » Partial Co...
Outline   – Statistical Analysis      • Time Series          – ARIMA            » ARIMA Estimation            » Partial Co...
Outline   – Statistical Analysis      • Time Series          – ARIMA            » ARIMA Estimation            » Partial Co...
ARIMA: Challenge   Challenge   – Estimate ARIMA(2,0,2) for inflation   Method   – Use current data   – Generate inflation ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data          – Dickey-Fuller Test    ...
Outline  – Statistical Analysis     • Time Series          – VAR            » Declare Time Variable            » VAR Regre...
Outline  – Statistical Analysis     • Time Series          – VAR            » Declare Time Variable            » VAR Regre...
Outline  – Statistical Analysis     • Time Series          – VAR            » Declare Time Variable            » VAR Regre...
Outline  – Statistical Analysis     • Time Series          – VAR            » Declare Time Variable            » VAR Regre...
Outline  – Statistical Analysis     • Time Series          – VAR            » Declare Time Variable            » VAR Regre...
Outline  – Statistical Analysis     • Time Series          – VAR            » Declare Time Variable            » VAR Regre...
VAR: Challenge   Challenge   – Forecast unemployment using VAR with 4 lags   Method   – Use current data   – Run VAR with ...
Outline   – Statistical Analysis      • Time Series          – Managing Time Series Data          – Dickey-Fuller Test    ...
Outline   – Statistical Analysis      • Time Series          – ARCH            » ARCH Estimation            » Conditional ...
Outline   – Statistical Analysis      • Time Series          – ARCH            » ARCH Estimation            » Conditional ...
Outline   – Statistical Analysis      • Time Series          – ARCH            » ARCH Estimation            » Conditional ...
Outline   – Statistical Analysis      • Time Series          – ARCH            » ARCH Estimation            » Conditional ...
GARCH: Challenge   Challenge   – Estimate a GARCH(2,2) model   Method   – Use current data   – Run GARCH(2,2)   – Save con...
www.STATA.org.uk   – If you visit www.STATA.org.uk you can download     tutorials on these other topics:       Data Manage...
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
STATA - Time Series Analysis
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STATA - Time Series Analysis

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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

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