IDEAS home Printed from https://ideas.repec.org/p/boc/usug04/7.html
   My bibliography  Save this paper

Topics in time series regression modeling

Author

Listed:
  • 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.

Suggested Citation

  • Christopher F. Baum, 2004. "Topics in time series regression modeling," United Kingdom Stata Users' Group Meetings 2004 7, Stata Users Group, revised 26 Jul 2004.
  • Handle: RePEc:boc:usug04:7
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/usug2004/Baum_handout.pdf
    File Function: lecture handout
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/usug2004/BaumSUGUK2004.do
    File Function: program to generate files for presentation
    Download Restriction: no

    References listed on IDEAS

    as
    1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2003. "Instrumental variables and GMM: Estimation and testing," Stata Journal, StataCorp LP, vol. 3(1), pages 1-31, March.
    2. Baum, Christopher F., 2004. "A review of Stata 8.1 and its time series capabilities," International Journal of Forecasting, Elsevier, vol. 20(1), pages 151-161.
    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. Perron, Pierre & Vogelsang, Timothy J, 1992. "Nonstationarity and Level Shifts with an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 301-320, July.
    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).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran & Rehman, Ijaz Ur, 2014. "Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 190-205.
    2. Mohamad, Shahriari & Aliandrina, Dessy & Feng, Yan, 2005. "Human Errors in Decision Making," MPRA Paper 8171, University Library of Munich, Germany.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:usug04:7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum). General contact details of provider: http://edirc.repec.org/data/stataea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.