26
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 |
calculate autocorrelations, standard errors, and Q-statistics “add” an arbitrary operator to a variable name |
.opnum _t SJneqn |
decode the operators (and their powers) in a varname replace one character in a string with another parse a time series command and generate lags |
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
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