TIME Sereis Analysis Using Stata PDF

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“Welcome to meo school of research” WWW.SAEEDMEO.BLOGSPOT.COM Muhammad saeed AAS Khan Meo, Superior university Lahore Pakistan

TIME SEREIS ANALYSIS USING STATA How to run regression using stata

PLEASE DONT EDIT THIS FILE OR MY NAME , THANKS.

Step #1: Import data into STATA Setp#2: At first step, always set time otherwise u may get error, set time with the help of following command tsset years, yearly step#3: If u need to see summary of variables type in stata command bar summarize CO2 GDP OIL fdi PP or simpley write sum these are my variables)

(CO2 GDP OIL fdi PP

For detail of data give this command describe or list or br

(these are three different commands)

step #4: If u wishes to run correlation test then u may run by typing following command correlate CO2 GDP OIL fdi step#5: If u wishes to run regression then u can with the help of following command regress CO2 GDP OIL fdi {note: CO2 GDP OIL fdi are my variables first I wrote my dependent variable then all Independent variables} step#6 If u wants to check normality then u has to perform two steps after regression means run two commands consecutively  predict myResiduals, r  sktest myResiduals

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step#7 If u have run regression now, if u wish to check serial correlation then apply following command dwstat or estat bgodfrey step#7 Suppose now u want to test heteroskedasticity estat hettest, fstat or estat hettest step#8 Suppose u now want to test multicollenearity estat vif Setep#8 Suppose now u want to see either model is miss specified or not /either we have omitted variables or not/Ramsey RESET test estat ovtest Note all diagnostic tests can be run from post estimation option (statistics-----post estimation) How to test about structural breaks in data? Statistics > Postestimation

Step#1 At first step run simple regression, normally we check structural break individually in each variable, so run one by one regression like this, suppose I want to check structural breaks in my dependent variable co2. So first I should run simple regression with only co2 regress co2 step#2 Now set time with following command tsset year

(if u have monthly data then write month )

step#3 Run following command to know about structural breaks. PRAY FOR MY TEACHERS AND FAMILY VISIT MY BLOG FOR RESEAR TIPS AND ECONOMETRIC TECHNIQUES [email protected]

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estat sbsingle

Few old commands with new names Out-of-date commands These commands continue to work but are out-of-date as of Stata 9. Their replacements are Old command New command -----------------------------hettest estat hottest for HSK(HETEROSCADESTICITY) imtest estat imtest (meron & Trivedi's decomposition of IM-test) ovtest estat ovtest (Ramsey RESET test using powers of the fitted values of CO2 Ho: model has no omitted variables) szroeter estat szroeter vif estat vif -----------------------------See regress postestimation. Old command New command -----------------------------archlm estat archlm bgodfrey estat bgodfrey durbina estat durbinalt (FOR SERIAL CORRELATION ALTERNATIVE TO DURBINWATSON TEST) dwstat estat dwatson (DURBINWATSON TEST FOR S.C) -----------------------------How to run time series ARDL MODEL? Step#1 Import data into stata Step#2 set times first otherwise u will get error message for time write the following command.(if u have annually data otherwise u can change frequency like monthly etc. tsset years, yearly

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Step#2

First install following package

net install ardl, from(http://www.kripfganz.de/stata/) Write following command into command bar ardl P YU EX HE, lag(1 1 2 3) ec . ardl P YU EX HE, lag(1 1 2 3) ec ARDL regression Model: ec Sample: 1983 - 2013 Number of obs

= 31

This is error correction term

Log likelihood = -388.34477 R-squared

= .91635127

Adj R-squared

=

Root MSE

=

D.P

Conf. Interval]

ADJ P L1.

-

627

-.0023289

LR YU

1797.459

14701.89

0.12

0.904

-28870.14

32465.06

EX

.0646155

.0122439

5.28

0.000

.0390751

.0901558

HE

.6086697

1.082744

0.56

0.580

-1.649894

2.867234

30.83755

26.00734

1.19

0.250

-23.41281

85.08792

D1.

-.0001549

.0000722

-2.14

0.045

-.0003056

-4.17e-06

LD.

-.0002417

.0000773

-3.13

0.005

-.000403

-.0000804

D1.

-.0011703

.0065507

-0.18

0.860

-.0148348

.0124942

LD.

-.0027493

.002675

-1.03

0.316

-.0083294

.0028307

L2D.

.0003703

.0015138

0.24

0.809

-.0027874

.003528

_cons

3314510

169730.1

19.53

0.000

2960459

3668561

Long run results

SR YU D1.

Short run results

EX

HE

.

(not p,yu ex and he I have my variable first p is dependent variable while remaining are independent variables , further I have space between all variables, and after comma I have also space and after bracket close I have also space good luck,,, lags 1,1,2,3 indicating for dependent variable there must be one lag and after dependendent variable for the first independent variable also must be lag 1 and so one ) Step#4 If u wants to conform long run relationship to the help of bound test then write following command in command box. estat btest PRAY FOR MY TEACHERS AND FAMILY VISIT MY BLOG FOR RESEAR TIPS AND ECONOMETRIC TECHNIQUES [email protected]

“Welcome to meo school of research” WWW.SAEEDMEO.BLOGSPOT.COM Muhammad saeed AAS Khan Meo, Superior university Lahore Pakistan

second method of running ardl model step#1 import data into STATA Step#2 ardl CO2 GDP OIL fdi , lags(. . . 3) maxlag(3 3 3 3) (note: here co2 is my dependent variable while other are independent variables, while lags(. . . 3) is showing that for the first three variables means one dependent and other two independent variable’s I am saying to stata that ,it’s all up to stata ,program itself can select optimal lags but 3 indicating that for last independent variable I’m limiting program that there must be lag 3 for last variable, maxlag (3 3 3 3) showing we can add maximum lags 3333 for all variable’s but it is ignorable Step#3 If want to see how stata chose optimal lags then run following command matrix list e(lags) step#4 Suppose now you want to see error correction term, long run as well as short run results then apply follow owing command ardl CO2 GDP OIL fdi , ec now you want to see bound test, estat btest Third Method of running ARDL in STATA Step#1 first of all install package again command is here “net install ardl, from(http://www.kripfganz.de/stata/)” Step#2 or search ARDL package through stata command box using “help ardl” or “findit ardl” Setp#3 here we are going to run simple ardl like in eviews we get ardl results before bounds tests and long run and short run , run following command in comamd bar first write your dependent variable then all independent variables “ardl co2 he pop , aic”

Step#3 As before going to long run and short run we go for bound tests values to conform long run cointegration. PRAY FOR MY TEACHERS AND FAMILY VISIT MY BLOG FOR RESEAR TIPS AND ECONOMETRIC TECHNIQUES [email protected]

“Welcome to meo school of research” WWW.SAEEDMEO.BLOGSPOT.COM Muhammad saeed AAS Khan Meo, Superior university Lahore Pakistan

“ardl, noctable btest” Step#4 as in step 3 we conform about long run cointegration now we are going to run long run and short run results with error correction term(ADJ) here first I wrote my dependent variables then all independent . “ardl co2 he pop , aic ec regstore(ecreg)” Step#5 as now we have generate all results but we have need now of diagnostic test for the store your step#4 results with this command “estimates restore ecreg” Step#6 after restoring your results in step 5 ,,, now run “regres” command you will see your step 4 results will appear and after this you may run following diagnostic test, Step#7 Frequently ask question about ARDL USING STATA , it is acknowledge that i have copied this post from Aymen Ammari time line “estat dwatson” (Durbin Watson statistics, at 1st order autocorrelation). “estat archlm” (ARCH LM test for higher order autocorrelation) “estat bgodfrey” (Breusch Godfrey LM test for higher order autocorrelation) “estat hottest” (Breusch Pagan Heteroscedasticity test) “estat ovtest” (Ramsey RESET test) “estat vif” (Test for the Multicollinearity)

And finally run after ARDL for the parameters stability .CUSUM TEST Now If you want to run cusum test (parameters stability test) then run following command  

first install this package “ssc install cusum6” (note: internet is necessary for installation) now type this command “cusum6 variable1 variable2 variable3,cs(cusum) lw(lower) uw(upper)

 How to select optimal lags Statistics > Multivariate time series > VAR diagnostics and tests > Lag-order selection statistics (preestimation) Or select optimal lags through following command varsoc LOGFDI LOGGDP LOGDD LOGINF LOGEXCHRT, maxlag(8) PRAY FOR MY TEACHERS AND FAMILY VISIT MY BLOG FOR RESEAR TIPS AND ECONOMETRIC TECHNIQUES [email protected]

“Welcome to meo school of research” WWW.SAEEDMEO.BLOGSPOT.COM Muhammad saeed AAS Khan Meo, Superior university Lahore Pakistan . tsset year, yearly time variable: delta:

year, 1984 to 2013 1 year

. varsoc LOGFDIGDP LOGGDP LOGDD LOGINF LOGEXCHRT, maxlag(8) Selection-order criteria Sample:

1992 - 2013

lag

LL

LR

Number of obs df

p

FPE

AIC

HQIC

=

22 SBIC

0

-165.706

3.77983

15.5187

15.5772

15.7667

1

-53.6883

224.04

25

0.000

.001488

7.60803

7.95851

9.09582

2

-15.9819

75.413

25

0.000

.000715

6.4529

7.09544

9.1805

3

68.8475

169.66

25

0.000

.000013

1.01387

1.94847

4.98129

4

1703.49

3269.3

25

0.000

5.6e-66* -145.318

-144.091

-140.11

5

3236.36

3065.7

25

0.000

.

-284.214

-282.929

-278.759

3336.8

6

200.88

25

0.000

.

-293.345

-292.06

-287.89

7

3297.68 -78.245

25

.

.

-289.789

-288.504

-284.333

8

3354.19

25

0.000

.

-294.927* -293.642* -289.471*

Endogenous: Exogenous:

113.04*

LOGFDIGDP LOGGDP LOGDD LOGINF LOGEXCHRT _cons

Or Step#1

Step#2

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Set time first otherwise u may get error Write ur all variables

Chose maximum lags Normally use in between 5-10 and keep all thing unchanged

How to test cointegration Statistics > Multivariate time series > Cointegrating rank of a VECM Step#1

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Step#2

Write ur variables, like first dependent then all indep Chose optimal lags, which u deicide form lag length criteria and ok

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How to run VECM MODEL? Statistics > Multivariate time series > Vector error-correction model (VECM) Step#1

And ok

Step#2

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Write your variabels,first dependent then all independent variables Write here number of cointegration equations which u finds from Johansson test but I would like to suggest u add all the time 1 for simplisticity

Add here maximum lags or optimal

Step#3

Coef.

Std. Err.

z

P>|z|

[95% Conf. Interval]

D_P _ce1 L1.

.000211

P LD.

2.64131

L2D.

-2.63159

L3D.

1.0019

Long run causality value must be negative and in between 01..which indicate error correction term ,speed of adjustment

YU LD.

-17.4436

L2D.

-10.7826

L3D.

-2.69289

.310434

-2.76

0.006

-29.81187

-5.075422

ort run causality

EX LD.

-4.32e-0

L2D.

-1.80e-0

L3D.

.000011

HE LD.

.003208

0011028

2.91

0.004

.0010467

.0053698

L2D.

.001145

0005591

2.05

0.040

.0000496

.0022414

L3D.

.000596

0003585

1.67

0.096

-.0001057

.0012996

_cons

-164710.

7151.86

-2.88

0.004

-276726

-52694.85

Step#4 PRAY FOR MY TEACHERS AND FAMILY VISIT MY BLOG FOR RESEAR TIPS AND ECONOMETRIC TECHNIQUES [email protected]

“Welcome to meo school of research” WWW.SAEEDMEO.BLOGSPOT.COM Muhammad saeed AAS Khan Meo, Superior university Lahore Pakistan

Wald test for short run causalities if you want to see jointly impact of lags variabels on dependent variables Go to statistics----post estimation---test, contrast, and comparison of parameters,---linear test of parameters How to run IMPULSE RESPONSE FUNTION If u want to run through MANU,, follow these steps Statistics > Multivariate time series > IRF and FEVD analysis > Graphs by impulse or response Step#1 (actually impulse response functions used after VAR models) Run VECM model Step#2 Then use irf create to estimate the IRFs and FEVDs and save them in a file, and finally use irf graph or any of the other irf analysis commands to examine results:, like run following command irf create order1, step(10) set(myirf1) Step#3 now I want to see impulse response function, the following function will show over all impulse response function results irf graph irf, irf(order1) step#4 suppose you are not interest in all variables response function ,I mean to say I just want to see only independent variables shock’s effect on dependent then apply following command. irf graph irf, irf(order1) impulse(GDP OIL fdi) response(CO2) (note here GDP,OIL and fdi are my independent variables and co2 dependent . How to run var model? Statistics > Multivariate time series > Vector autoregression (VAR) Step#1

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Step#2

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Step#3 Equation

Parms

RMSE

R-sq

chi2

P>chi2

P

11

43425.6

1.0000

2.14e+07

0.0000

YU

11

580.764

0.7792

112.9032

0.0000

EX

11

2.3e+08

0.9691

1003.692

0.0000

HDI

11

1.01628

0.9989

6665.462

0.0000

HE

11

9.9e+06

0.3616

18.12447

0.0529

Coef.

Std. Err.

z

P>|z|

[95% Conf. Interval]

P P L1.

1.859308

.0743769

25.00

0.000

1.713532

2.005084

L2.

-.8601668

.0746806

-11.52

0.000

-1.006538

-.7137955

L1.

4.900434

11.82905

0.41

0.679

-18.28407

28.08494

L2.

.6010501

6.50086

0.09

0.926

-12.1404

13.3425

L1.

.0000743

.0000315

2.36

0.018

.0000125

.000136

L2.

.0000507

.0000366

1.39

0.166

-.000021

.0001223

L1.

10483.9

7579.004

1.38

0.167

-4370.678

25338.47

L2.

-13216.11

7908.145

-1.67

0.095

-28715.79

2283.57

L1.

-.0013774

.0007436
...