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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Seasonal Variables-Differencing or Dummies |

Date |
Thu, 5 May 2005 19:12:56 +0100 |

I am probably missing the point of this question, but I don't think you can list the circumstances in which S. is useful or valid. For example, use http://www.stata-press.com/data/r9/air2.dta, clear tsline S.air I just used S. to help visualize the non-trend component, mostly seasonal. In short, S. is likely to be useful whenever you want it. No model need be in sight. There is a vast book on time series by Hipel and McLeod with environmental applications. I'm pretty sure they discuss seasonality. Franses is another author who springs to mind. A search on Amazon would no doubt yield others. Nick n.j.cox@durham.ac.uk REINERTSON, M YVONNE > Please help me clarify my understanding in the correct procedure > to use seasonal variables in time-series regressions. My very > basic understanding of the correct use of the seasonal > differencing technique (time series operator _S._ in Stata) is in > the autoregressive integrated moving average (ARIMA) models. For > other regression techniques in analyzing time-series, and panel > data, the seasonal dummy variables are used. > > Hamilton (my much dogged-eared version for Stata 7) explains how > to use _S._ in Stata, but not the ?why,? or the ?when? to use it. > Harvey explains briefly both procedures and says that the > differencing is used when the seasonal pattern changes over time. > Thus, in this sense, the differencing would cause the seasonal > pattern to become stationary. > > Is there ever an appropriate situation to use the _S._ time-series > operator outside of an ARIMA model? In answering this specific > Stata question, I ask that you extend your answer to an > explanation, and possible reference that I could research, in > controlling seasons (and cycles) in time-series data that goes > beyond the usual econometric textbook treatment. An example, which > does not necessarily need to be economic, would be very much > appreciated. > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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