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: "
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"

5. gdp2.do * use graph to represent the data
* a graph is worth of thousand words
clear
use
* 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

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?