Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: Seasonal Variables-Differencing or Dummies


From   "Thuy Le" <tl6775a@american.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Seasonal Variables-Differencing or Dummies
Date   Thu, 05 May 2005 14:36:36 -0400

These two books specifically deal with seasonality:
1/ Periodic time series model, Franses & Paap, 2004.
2/ The econometric analysis of seasonal time series, Ghysels & Osborn, 2001.
Another book, which is not dedicated to seasonality but has good discussion
about seasonality is Applied econometric time series, Enders, 2004.
Even though they are not using Stata for their examples, check them out if
you need to know how to handle seasonality.
Best,
TL

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of REINERTSON,M
YVONNE
Sent: Thursday, May 05, 2005 10:39 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Seasonal Variables-Differencing or Dummies

Dear Statalisters,

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.

Thanks,

Yvonne

M. Yvonne Reinertson
University of Florida, PhD Candidate
myvonne@ufl.edu

Version: Stata 7 (final update)
OS: WindowsXP

References Used:
Hamilton, L., 2003, ?Statistics with Stata,? (Duxbury-Thomson
Learning, Belmont).
Harvey, A, 1999, ?The Econometric Analysis of Time Series,? 2nd
ed., (MIT Press, Cambridge).


--
REINERTSON,M YVONNE

*
*   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/

-- 
No virus found in this incoming message.
Checked by AVG Anti-Virus.
Version: 7.0.308 / Virus Database: 266.11.5 - Release Date: 5/4/2005
 

-- 
No virus found in this outgoing message.
Checked by AVG Anti-Virus.
Version: 7.0.308 / Virus Database: 266.11.5 - Release Date: 5/4/2005
 


*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index