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RE: st: Trend, Cycles and Seasonality in Time series


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Trend, Cycles and Seasonality in Time series
Date   Wed, 30 Sep 2009 13:23:52 +0100

I support Maarten's suggestion of a smoothing/filtering approach. The exponential smoothers under -tssmooth- are a step towards simple modelling. 

On seasonality, see

SJ-6-3  gr0025  . . . . . . . . . . . . Speaking Stata: Graphs for all seasons
        (help cycleplot, sliceplot if installed)  . . . . . . . . .  N. J. Cox
        Q3/06   SJ 6(3):397--419
        illustrates producing graphs showing time-series seasonality

That 2006 paper has _just_ become accessible to all on the Stata Journal website following a move of the three-year window. 

A sequel is available in 

SJ-9-2  gr0037  . . . . . . . .  Stata tip 76: Separating seasonal time series
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N. J. Cox
        Q2/09   SJ 9(2):321--326                                 (no commands)
        tip on separating seasonal time series

Nick 
n.j.cox@durham.ac.uk 

Maarten buis

--- On Tue, 29/9/09, syed@sas.upenn.edu wrote:
> I'm working on terrorism incident data from 1970-2007
> aggregated on daily, weekly, monthly and yearly basis. I'm 
> interested to know trend, cycles, and seasonality in the
> data. Can you please tell me some simple but reliable
> procedure in STATA. I would also like to display the trend
> and cycles, seasonality on graph.

You could look at the various filtering techniques out there, 
see in Stata the entries returned by -findit filter-, or the
talk by Kit Baum at the 2006 UK Stata Users' Group meeting: 
http://ideas.repec.org/p/boc/usug06/17.html


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