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Re: st: Slope of a univariate time series


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Slope of a univariate time series
Date   Sat, 9 Jun 2012 20:13:29 +0500

Hello,

Looking like the case for Sen's Slope which is a nonparametric
alternative for estimating a slope for a univariate time series. This
approach involves computing slopes for all the pairs of ordinal time
points and then using the median of these slopes as an estimate of the
overall slope. Sen's slope is insensitive to outliers and can be used
to detect if there is a trend in the data.

(from Minitab: http://www.minitab.com/en-US/support/macros/default.aspx?action=code&id=88)

and I suspect if Stata's -censlope- is an extended version of
-somersd-, which also calculates confidence intervals for the
Theil-Sen median slope. Parameter can do that job.

Best
AneEs.



On Sat, Jun 9, 2012 at 6:37 PM, Tashi Lama <ltashi32@hotmail.com> wrote:
> Three thoughts
> 1. I have never looked at any distribution as a measure to find slope or rate for that matter. I looked distribution more of finding probability, mean and deviation. How it generates slope is sth i need to go back and do some reading but i do see that the data spread in my dataset resembles that of a poisson.
> 2. I was actually thinking of running regression which will give me "beta" which is a slope mathematically. But i suspect that would be a overkill. Honestly, i don't even know i use regression although mathematically speaking it could.
> 3. May be i can find slope at each two consecutive data points and find median or mean.
>
> In any case, what is the most common way of finding slope or a decay rate in a univariate time series in stata?
>
> Thanx.
>
>
>
> On Jun 9, 2012, at 9:11 AM, Nick Cox <njcoxstata@gmail.com> wrote:
>
>> Yes, but Tashi's context implies that linear decline is not a good
>> model. I earlier recommended Poisson regression, for which see
>> -poisson-.
>>
>> Nick
>>
>> On Sat, Jun 9, 2012 at 2:00 PM, Muhammad Anees <anees@aneconomist.com> wrote:
>>> Do you mean d(x)/d(t)?
>>> Then I guess simple OLS will do that
>>>
>>> reg x t
>>> b is the slope then assuming above.
>>
>> On Sat, Jun 9, 2012 at 5:51 PM, Tashi Lama <ltashi32@hotmail.com> wrote:
>>
>>>>  Is there a stata command or a module to find the slope of a univariate time series?
>>
>> *
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>>
>
> *
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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

*
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