| Intro |
Introduction to time-series manual |
| Time series |
Introduction to time-series commands |
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| arch |
Autoregressive conditional heteroskedasticity (ARCH) family of estimators |
| arch postestimation |
Postestimation tools for arch |
| arfima |
Autoregressive fractionally integrated moving-average models |
| arfima postestimation |
Postestimation tools for arfima |
| arfimasoc |
Obtain lag-order selection statistics for ARFIMAs |
| arima |
ARIMA, ARMAX, and other dynamic regression models |
| arima postestimation |
Postestimation tools for arima |
| arimasoc |
Obtain lag-order selection statistics for ARMAs |
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| corrgram |
Tabulate and graph autocorrelations |
| cumsp |
Graph cumulative spectral distribution |
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| dfactor |
Dynamic-factor models |
| dfactor postestimation |
Postestimation tools for dfactor |
| dfgls |
DF-GLS unit-root test |
| dfuller |
Augmented Dickey–Fuller unit-root test |
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| estat acplot |
Plot parametric autocorrelation and autocovariance functions |
| estat aroots |
Check the stability condition of ARIMA estimates |
| estat sbcusum |
Cumulative sum test for parameter stability |
| estat sbknown |
Test for a structural break with a known break date |
| estat sbsingle |
Test for a structural break with an unknown break date |
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| fcast compute |
Compute dynamic forecasts |
| fcast graph |
Graph forecasts after fcast compute |
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forecast |
Econometric model forecasting |
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forecast adjust |
Adjust variables to produce alternative forecasts |
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forecast clear |
Clear current model from memory |
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forecast coefvector |
Specify an equation via a coefficient vector |
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forecast create |
Create a new forecast model |
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forecast describe |
Describe features of the forecast model |
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forecast drop |
Drop forecast variables |
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forecast estimates |
Add estimation results to a forecast model |
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forecast exogenous |
Declare exogenous variables |
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forecast identity |
Add an identity to a forecast model |
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forecast list |
List forecast commands composing current model |
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forecast query |
Check whether a forecast model has been started |
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forecast solve |
Obtain static and dynamic forecasts |
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|
irf |
Create and analyze IRFs, dynamic-multiplier functions, and
FEVDs |
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irf add |
Add results from an IRF
file to the active IRF file |
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irf cgraph |
Combined graphs of
IRFs, dynamic-multiplier functions, and FEVDs |
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irf create |
Obtain
IRFs, dynamic-multiplier functions, and FEVDs |
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irf ctable |
Combined tables of
IRFs, dynamic-multiplier functions, and FEVDs |
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irf describe |
Describe an IRF file
|
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irf drop |
Drop IRF results from the
active IRF file |
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irf graph |
Graphs of IRFs, dynamic-multiplier functions, and FEVDs |
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irf ograph |
Overlaid graphs of
IRFs, dynamic-multiplier functions, and FEVDs |
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irf rename |
Rename an IRF result in an
IRF file |
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irf set |
Set the active IRF file
|
|
irf table |
Tables of
IRFs, dynamic-multiplier functions, and FEVDs |
|
ivlpirf |
Instrumental-variables local-projection impulse–response functions StataNow |
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ivlpirf postestimation |
Postestimation tools for ivlpirf StataNow |
| |
|
lpirf |
Local-projection impulse–response functions |
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lpirf postestimation |
Postestimation tools for lpirf |
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| mgarch |
Multivariate GARCH models |
| mgarch ccc |
Constant conditional correlation multivariate GARCH models |
| mgarch ccc postestimation |
Postestimation tools for mgarch ccc |
| mgarch dcc |
Dynamic conditional correlation multivariate GARCH models |
| mgarch dcc postestimation |
Postestimation tools for mgarch dcc |
| mgarch dvech |
Diagonal vech multivariate GARCH models |
| mgarch dvech postestimation |
Postestimation tools for mgarch dvech |
| mgarch vcc |
Varying conditional correlation multivariate GARCH models |
| mgarch vcc postestimation |
Postestimation tools for mgarch vcc |
| mswitch |
Markov-switching regression models |
| mswitch postestimation |
Postestimation tools for mswitch |
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| newey |
Regression with Newey–West standard errors |
| newey postestimation |
Postestimation tools for newey
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| |
| pergram |
Periodogram |
| pperron |
Phillips–Perron unit-root test |
| prais |
Prais–Winsten and Cochrane–Orcutt regression |
| prais postestimation |
Postestimation tools for prais |
| psdensity |
Parametric spectral density estimation after arima, arfima, and ucm |
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| rolling |
Rolling-window and recursive estimation |
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| sspace |
State-space models |
| sspace postestimation |
Postestimation tools for sspace |
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| threshold |
Threshold regression |
| threshold postestimation |
Postestimation tools for threshold |
| tsappend |
Add observations to a time-series dataset |
| tsfill |
Fill in gaps in time variable |
| tsfilter |
Filter a time series for cyclical components |
| tsfilter bk |
Baxter–King time-series filter |
| tsfilter bw |
Butterworth time-series filter |
| tsfilter cf |
Christiano–Fitzgerald time-series filter |
| tsfilter hp |
Hodrick–Prescott time-series filter |
| tsline |
Time-series line plots |
| tsreport |
Report time-series aspects of a dataset or estimation sample |
| tsrevar |
Time-series operator programming command |
| tsset |
Declare data to be time-series data |
| tssmooth |
Smooth and forecast univariate time-series data |
| tssmooth dexponential |
Double-exponential smoothing |
| tssmooth exponential |
Single-exponential smoothing |
| tssmooth hwinters |
Holt–Winters nonseasonal smoothing |
| tssmooth ma |
Moving-average filter |
| tssmooth nl |
Nonlinear filter |
| tssmooth shwinters |
Holt–Winters seasonal smoothing |
| |
| ucm |
Unobserved-components models |
| ucm postestimation |
Postestimation tools for ucm
|
| |
| var intro |
Introduction to vector autoregression models |
| var |
Vector autoregression models StataNow |
| var postestimation |
Postestimation tools for var |
| var ivsvar |
Instrumental-variables structural vector autoregressive models StataNow |
| var ivsvar postestimation |
Postestimation tools for ivsvar StataNow |
| var svar |
Structural vector autoregression models |
| var svar postestimation |
Postestimation tools for svar |
| varbasic |
Fit a simple VAR and graph IRFs or FEVDs |
| varbasic postestimation |
Postestimation tools for varbasic |
| vargranger |
Pairwise Granger causality tests |
| varlmar |
LM test for residual autocorrelation |
| varnorm |
Test for normally distributed disturbances |
| varsoc |
Obtain lag-order selection statistics for VARs and VEC models |
| varstable |
Check eigenvalue stability condition |
| varwle |
Obtain Wald lag-exclusion statistics |
|
vec intro |
Introduction to vector
error-correction models |
| vec |
Vector error-correction models |
| vec postestimation |
Postestimation tools for vec |
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veclmar |
LM test for residual autocorrelation after vec |
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vecnorm |
Test for normally distributed
disturbances after vec |
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vecrank |
Estimate the cointegrating
rank of a VECM |
|
vecstable |
Check the stability condition of VEC model estimates |
| |
| wntestb |
Bartlett's periodogram-based test for white noise |
| wntestq |
Portmanteau (Q) test for white noise |
| |
| xcorr |
Cross-correlogram for bivariate time series |
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| Glossary |
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| Combined author index |
| Combined subject index |
