Stata: The language of choice for time-series analysis?

被引：48

作者：

Baum, CF ^{[1
]}

机构：

[1] Boston Coll, Chestnut Hill, MA 02167 USA

来源：

STATA JOURNAL | 2005年 / 5卷 / 01期

关键词：

st0080; time-series analysis; time-series data; time-series modeling; moving-window regression; rolling regression;

D O I：

10.1177/1536867X0500500110

中图分类号：

O1 [数学]; C [社会科学总论];

学科分类号：

03 ; 0303 ; 0701 ; 070101 ;

摘要：

This paper discusses the use of Stata for the analysis of time series and panel data. The evolution of time-series capabilities in Stata is reviewed. Facilities for data management, graphics, and econometric analysis from both official Stata and the user community are discussed. A new routine to provide moving-window regression estimates-rollreg-is described, and its use illustrated.

引用

页码：46 / 63

页数：18

共 17 条

[1]

Baum C. F., 2004, STATA J, V4, P224, DOI [10.1177/1536867X0400400214, DOI 10.1177/1536867X0400400214]

[2]

Baum C. F., 2000, STATA TECHNICAL B, V57, P39

[3]

Baum C. F., 2000, STATA TECHNICAL B, V57, P2

[4]

Baum C. F., 2000, STATA TECHNICAL B, V58, P35

[5] A review of Stata 8.1 and its time series capabilities [J].

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INTERNATIONAL JOURNAL OF FORECASTING, 2004, 20 (01) :151-161

[6]

BAUM CF, 2000, STATA TECHNICAL B RE, V10, P362

[7]

BAUM CF, 1999, J INT FINANC MARK I, V9, P359

[8]

BAUM CF, 2000, STATA TECHNICAL B RE, V10, P356

[9]

BAUM CF, 2000, STATA TECHNICAL B RE, V10, P360

[10]

BAUM CF, 2000, STATA TECHNICAL B RE, V10, P29

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