A substantial update to Stata 8's time-series capabilities is now available.
This update includes new commands for fitting and analyzing cointegrated
vector error-correction models (VECMs). Many time-series, particularly in
economics, are cointegrated and require specialized statistical methods for
analysis. VECMs model relationships in which shocks to variables cause
permanent shifts but some linear combinations of these variables never
deviate too far from an equilibrium value.
This update is available free of charge: in Stata, just type
. update query
for instructions about how to download the software and the help files.
New facilities for estimating and analyzing VECMs include:
o Johansen's estimator for fitting cointegrated VECMs
o tests and statistics for determining the number of
cointegrating equations
o dynamic forecasting and forecast graphs
o impulse-response functions (IRFs) and their graphs
o forecast error-variance decompositions (FEVDs) and their graphs
o tests for autocorrelation
o tests for normally distributed disturbances
o statistics and graphs of stability conditions
o other enhancements to integrate the analysis of VECMs,
vector autoregressions (VARs), and structural VARs
You can find out more at http://www.stata.com/news/ts.html
The update is so significant that a second edition of the time-series manual
[TS] has been published to document VECMs and to strengthen coverage of
multivariate time series, see http://www.stata.com/bookstore/ts.html
--David
[email protected]
*
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* http://www.stata.com/support/faqs/res/findit.html
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* http://www.ats.ucla.edu/stat/stata/
