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Re: st: Time series question


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Time series question
Date   Sun, 4 Mar 2007 22:28:17 -0500

On Mar 4, 2007, at 6:04 PM, mdelliot@ucsd.edu wrote:

Sorry, this is probably an obvious question, but I'm new at this.
Since you're new at this, let me ask a not so obvious question: This isn't for a homework assignment, is it? If so, please read first:

<http://www.stata.com/support/faqs/res/statalist.html#advice>

If not, then I would suggest starting with -help time-.



I have a dataset that contains years, a dependent variable, and an
independent variable.
Then I would recommend you tell Stata that you have time-series data. See help -tsset-. If your years are not in Stata date format, see -help tdates-.



I would like to allow for possible time-delays in the relationship, ...
Presumably by "time-delays" you mean a relationship between current values of y (your dependent variable) and lagged values of x (your independent variable, as you called it). Stata uses L.x to represent x_{t-1}, that is the first lag of the x series. L2.x represents x_ {t-2}, and so on. See -help tsvarlist- for additional information.



...and I would like to test correlation. What is the best function to accomplish this?
What specifically do you have in mind with "test correlation"? - xcorr- will generate cross-correlations, but no test statistics. You can find rules-of-thumb in any introductory graduate-level time series textbook, however.

Perhaps you have a "Granger causality" test in mind? This can be accomplished in Stata after estimating a -var-, but it really is just a test of joint significance of the lags of x. That is, for example,

var y x, lags(1/3) small dfk
vargranger

and

reg y L(1/3).y L(1/3).x
testparm L(1/3).x

should give you exactly the same answer. You'll have to consider what is the appropriate number of lags (as it ain't necessarily 3); - varsoc- may assist here. Hope that helps.

-- Mike



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