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Econometric Analysis Using Stata

Econometric Analysis Using Stata. Introduction Time Series Panel Data. Time Series Analysis Using Stata. Declare time series data and variables tsset Time series operators L.; F.; D.; S. Commands with time series options regress …, if tin(.,.) generate summarize .

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Econometric Analysis Using Stata

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  1. Econometric Analysis Using Stata Introduction Time Series Panel Data

  2. Time Series Analysis Using Stata • Declare time series data and variables • tsset • Time series operators • L.; F.; D.; S. • Commands with time series options • regress …, if tin(.,.) • generate • summarize

  3. Example: U.S. GDP Growth gdp2009.txt gdp2009.dta • Time series setup • Time series operators • Time series line plot (graphics) • Time series regression

  4. gdp1.do * Read text data file (.txt) and covert it to Stats dataset file (.dta) infile year quarter gdp gdpdef using “\course14\ec572\data\gdp2009.txt" describe summarize label data "U. S. GDP: 1947.1-2013.3" label variable gdp "GDP (billion of current dollars)" label variable gdpdef "Implicit GDP price deflator (year 2009 = 100)" * delete the 1st line of variable names drop in 1 * create a time series dataset generate time=yq(year,quarter) tsset time, quarterly label variable time "Time" drop year quarter describe summarize * save it as a Stata dataset, if it has not done yet save "\course14\ec572\data\gdp2009"

  5. gdp2.do * use graph to represent the data * a graph is worth of thousand words clear use http://web.pdx.edu/~crkl/ec572/data/gdp2009.dta * is this time series data? tsset d su * generate new variable gen rgdp=100*gdp/gdpdef gen lrgdp=ln(rgdp) gen gq=100*D.lrgdp gen ga=100*(lrgdp-L4.lrgdp) su * time series line plots tsline rgdp, name(rgdp) tsline gq ga, name(growth) * time regression reg lrgdp time

  6. Example: SP-500 sp500new.xml • Reading from an Excel XML database file • Time series (daily) data setup • Time series line plot (graphics) • Time series analysis

  7. sp500new0.do /* ** Time Series Analysis of U.S. SP500 Stock Market Index ** Latest update: 12/31/2013 ** Retrieve monthly data, converted from daily format */ clear set more off xmluse "\Course14\EC572\data\sp500new.xml", doctype(excel) sheet(Monthly) cells(A2:G769) clear save "\Course14\EC572\data\sp500m", replace gen date=var1 gen vol=var6 gen idx=var7 sort date drop var* gen month=mofd(date) tsset month, monthly gen r=100*(ln(idx)-ln(L.idx)) //gen r=100*(ln(idx)-ln(idx[_n-1])) summarize tsline idx, name(SP500m_INDEX,replace) tsline r, name(SP500m_Returns,replace) * Is IDX stationary? IDX~I(1) * Is R stationary? R~I(0) * ARMA and ARCH structures of R * SP500 Forecasts?

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