Learn about univariate time-series analysis with an emphasis on
the practical aspects most needed by practitioners and applied
researchers. Written for a broad array of users, including
economists, forecasters, financial analysts, managers, and
anyone who wants to analyze time-series data. Become expert in
handling date and date–time data, time-series operators,
time-series graphics, basic forecasting methods, ARIMA, ARMAX,
and seasonal models.
Course content of NetCourse 101 or equivalent knowledge
Familiarity with basic cross-sectional summary statistics and linear regression
Internet web browser, installed and working (course is platform independent)
Course content
Expand all sections
Lesson 1: Introduction
Course outline
Follow along
What is so special about time-series analysis?
Time-series data in Stata
The basics
Clocktime data
Time-series operators
The lag operator
The difference operator
The seasonal difference operator
Combining time-series operators
Working with time-series operators
Parentheses in time-series expressions
Percentage changes
Drawing graphs
Basic smoothing and forecasting techniques
Four components of a time series
Moving averages
Exponential smoothing
Holt–Winters forecasting
Lesson 2: Descriptive analysis of time series
The nature of time series
Stationarity
Autoregressive and moving-average processes
Moving-average processes
Autoregressive processes
Stationarity of AR processes
Invertibility of MA processes
Mixed autoregressive moving-average processes
The sample autocorrelation and partial autocorrelation functions
A detour
The sample autocorrelation function
The sample partial autocorrelation function
A brief introduction to spectral analysis—The periodogram
Lesson 3: Forecasting II: ARIMA and ARMAX models
Basic ideas
Forecasting
Two goodness-of-fit criteria
More on choosing the number of AR and MA terms
Seasonal ARIMA models
Additive seasonality
Multiplicative seasonality
ARMAX models
Intervention analysis and outliers
Final remarks on ARIMA models
Lesson 4: Regression analysis of time-series data
Basic regression analysis
Autocorrelation
The Durbin–Watson test
Other tests for autocorrelation
Estimation with autocorrelated errors
The Newey–West covariance matrix estimator
ARMAX estimation
Cochrane–Orcutt and Prais–Winsten methods
Lagged dependent variables as regressors
Dummy variables and additive seasonal effects
Test for structural break
Nonstationary series and OLS regression
Unit-root processes
ARCH
A simple ARCH model
Testing for ARCH
GARCH models
Extensions
Markov-switching models
Markov-switching dynamic regression
Markov-switching autoregression
Threshold regression
A self-exciting threshold model
A second threshold model
Letting threshold choose the number of regimes
Bonus lesson: Overview of multivariate time-series analysis using Stata
Note:
The previous four lessons constitute the core material of the course. The following lesson is optional and introduces Stata’s multivariate time-series capabilities.
VARs
The VAR(p) model
Lag-order selection
Diagnostics
Granger causality
Forecasting
Impulse–response functions
Orthogonalized IRFs
VARX models
VECMs
A basic VECM
Fitting a VECM in Stata
Impulse–response analysis
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