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From |
"REINERTSON,M YVONNE" <myvonne@ufl.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Seasonal Variables-Differencing or Dummies |

Date |
Sun, 8 May 2005 12:02:31 -0400 (EDT) |

Dear Nick and Thuy, I have decided to begin my study of seasonality with the purchase of the Ghysels & Osborn book. I thank you both for your help and for the given suggestions. Yvonne Reply from Nick Cox: 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 Reply from Thuy Le: 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 To my original message: 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/

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