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Topics in time series regression modeling

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  • Christopher F. Baum

    () (Department of Economics, Boston College, Chestnut Hill, MA)

Abstract

This talk will discuss the use of a number of Stata commands, some "official" and some user-contributed, in the context of working with time-series and panel data. Testing for endogeneity/exogeneity of regressors, heteroskedasticity in an instrumental variables context, and fitting regression models with ARMA errors will be considered, as well as a number of tests for stationarity of single or multiple time series, including stationarity in the presence of structural breaks.

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File URL: http://fmwww.bc.edu/repec/usug2004/Baum_handout.pdf
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Bibliographic Info

Paper provided by Stata Users Group in its series United Kingdom Stata Users' Group Meetings 2004 with number 7.

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Date of creation: 30 Jun 2004
Date of revision: 26 Jul 2004
Handle: RePEc:boc:usug04:7

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Web page: http://www.stata.com/meeting/10uk
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References

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  1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2002. "Instrumental variables and GMM: Estimation and testing," Boston College Working Papers in Economics 545, Boston College Department of Economics, revised 14 Feb 2003.
  2. Christopher F. Baum, 2003. "A review of Stata 8.1 and its time series capabilities," Boston College Working Papers in Economics 581, Boston College Department of Economics.
  3. Christopher F. Baum & Vince Wiggins, 2001. "Tests for long memory in a time series," Stata Technical Bulletin, StataCorp LP, vol. 10(57).
  4. Baum, Christopher F. & Barkoulas, John T. & Caglayan, Mustafa, 1999. "Long memory or structural breaks: can either explain nonstationary real exchange rates under the current float?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 359-376, November.
  5. Clemente, Jesus & Montanes, Antonio & Reyes, Marcelo, 1998. "Testing for a unit root in variables with a double change in the mean," Economics Letters, Elsevier, vol. 59(2), pages 175-182, May.
  6. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  7. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  8. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
  9. Christopher F. Baum & Vince Wiggins, 2001. "Utility for time series data," Stata Technical Bulletin, StataCorp LP, vol. 10(57).
  10. Christopher F. Baum, 2001. "Tests for stationarity of a time series," Stata Technical Bulletin, StataCorp LP, vol. 10(57).
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Cited by:
  1. Mohamad, Shahriari & Aliandrina, Dessy & Feng, Yan, 2005. "Human Errors in Decision Making," MPRA Paper 8171, University Library of Munich, Germany.

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