Topics in time series regression modeling

Christopher Baum

United Kingdom Stata Users' Group Meetings 2004 from Stata Users Group

Abstract: This talk will discuss the use of a number of Stata commands, some "official" and some user-contributed, in the context of working with time-series and panel data. Testing for endogeneity/exogeneity of regressors, heteroskedasticity in an instrumental variables context, and fitting regression models with ARMA errors will be considered, as well as a number of tests for stationarity of single or multiple time series, including stationarity in the presence of structural breaks.

Date: 2004-06-30, Revised 2004-07-26
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://fmwww.bc.edu/repec/usug2004/Baum_handout.pdf lecture handout (application/pdf)
http://fmwww.bc.edu/repec/usug2004/BaumSUGUK2004.do program to generate files for presentation (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:usug04:7

Access Statistics for this paper

More papers in United Kingdom Stata Users' Group Meetings 2004 from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().