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

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

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 * save it as a Stata dataset, if it has not done yet save "\course14\ec572\data\gdp2009"

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) * time series line plots tsline rgdp, name(rgdp) tsline gq ga, name(growth) * time regression reg lrgdp time

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

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?