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Stata Technical Bulletin

STB-20

Table 1: User-level programs

Command	Status	Documentation	Description
ac	A	sts1	display autocorrelation plot
chow	C	—	perform Chow test for a shift in regression coefficients
coint	B	sts2	perform Engle-Granger cointegration test
cusum	B	—	perform CUSUM test of regression stability. (Note: this name
			conflicts with Stata’s cusum command for binary variables.)
datevars	A	sts4	specify date variables
dickey	B	sts2	perform unit root tests
dif	A	sts2	generate differences
downame	A	dm20	convert code to day-of-week name
dropoper	A	sts2	drop operator variables
findlag	B	sts2	find optimal lag length
findsmpl	B	sts4	display sample coverage
growth	A	sts2	generate growth rates
growthi	A	sts2	immediate form of growth
lag	A	sts2	generate lags
last day	A	dm20	calculate last day of month
lead	A	sts2	generate leads
Istbday	A	dm20	calculate last business day of month
mdytodow	A	dm20	calculate day of week from month/day/year
mnthname	A	dm20	convert code to month name
name do w	A	dm20	convert name to day of week code
namemnth	A	dm20	convert name to month code
рас	A	sts1	display partial autocorrelation plot
pearson	A	sg5.1	calculate Pearson correlation with ρ-value
period	A	sts2	specify period (frequency) of data
quandt	B	—	calculate Quandt statistics for a break in a regression
regdiag	B	sg20	calculate regression diagnostics
spear	A	sg5.1	Spearman correlation with ρ-value
tauprob	A	sts6	approximate ρ-values for unit root and cointegration tests
testsum	B	—	test whether the sum of a set of regression coefficients is zero
today	A	dm20	calculate today
tsf it	A	sts4	estimate a time series regression
tsload	B	—	load an ad hoc time series equation into memory
tsmult	A	sts4	display information about lag polynomials
tspred	B	—	dynamically forecast or simulate a time series regression
tsreg	A	sts4	combined tsfit, tsmult, and regdiag
xcorr	A	sts3	calculate cross correlations
ystrday	A	dm20	calculate yesterday from today

For more information

on these programs, type ‘help ts’ or ‘heIp command-name’.

Table 2: Utility programs

Command

Description

_ac

_addl

.addop

-getrres
_inlist
.invlist

calculate autocorrelations, standard errors, and Q-statistics
“add” a lag operator to a variable name

“add” an arbitrary operator to a variable name
calculate recursive residuals for a regression model
determine whether a token appears in a token list
determine whether a varname appears in a varlist

.opnum
.parsevl
.subchar

_t SJneqn
.ts.pars
faketemp

decode the operators (and their powers) in a varname
parse a varlist to replace abbreviations

replace one character in a string with another

parse a time series command and generate lags
parse a time series command into useful macros
generate temporary variable names that can be lagged

Reference

Becketti, S. 1994. sts7: A library of time series programs for Stata. Stata Technical Bulletin 17: 28-32.

sts8 Hansen’s test for parameter instability

Ken Heinecke and Charles Morris, Federal Reserve Bank of Kansas City, FAX 816-881-2199

In order to conduct statistical inference and prediction with a regression model, the parameters of the model must be stable.
A large number of statistics have been developed to test the null hypothesis of parameter stability. Among the most popular of

CorPapers

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