Re: st: Time series question

[Michael Hanson <mshanson@mac.com>]

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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