A library of time series programs 			         (STB-17: sts7)
---------------------------------

The Stata time series library is a group of interconnected ado-files for time
series analysis. These programs are continually being updated and are in
various stages of completion and reliability. In the list of programs below,
each program's status is indicated by a letter grade.  These grades have the
following interpretation:


Status	Interpretation
------  --------------

  A     The program is safe for general use and has been documented in the 
        Stata Technical Bulletin (STB).

  B 	The program produces accurate results. However, the program may not
        be adequately documented, there may be deficiencies in the user or
	interprogram interface, or the program may not meet all the 
        requirements of an estimation command. This program is likely to be
	updated soon. 

  C 	This program is incomplete in significant ways. However, an advanced
  	Stata user (a user who is fluent in reading ado-files and has some
  	experience in writing them) may be able to use this program 
        successfully with some modifications or work-arounds.

  D 	This program has serious deficiencies. Advanced Stata users may,
  	nonetheless, wish to review this program for ideas on designing
  	their own ado-files to provide this function.

  O	Obsolete.  This program has been superseded by newer code.  This 
	grade is typically assigned to old utilities that are still used by
	one or two user-level programs.












User-level programs
-------------------

The following table lists the user-level programs in the time series library
along with their current status. Separate on-line help is available for each
of these programs.


Program Status Description
------- ------ -----------
ac        A    display a correlogram
chow      C    Chow and Farley-Hinich-McGuire tests for a shift in regression
               coefficients 
coint     B    Engle-Granger test for cointegration
csunits   A    set cross-section indexes for a panel data set
datevars  A    set date variables for a time series data set
date2obs  A    return observation number corresponding to a date
dickey    B    Dickey-Fuller test for a unit root
dif       A    generate differences
downame   A    converts day-of-the-week code to a name
dropoper  A    drop operator variables
faketemp  A    create temporary variable names that can be lagged safely
filldate  A    fill in missing date values in projection period
finddate  A    display dates of data availability
findlag   B    find optimal lag length
findsmpl  B    find sample coverage
growth    A    generate growth rate
growthi   A    immediate form of growth
hansen    A    Hansen's test for parameter instability
lag       A    generate lags
lastday   A    calculates the last day of the month
lead      A    generate leads
lstbday   A    calculates the last business day of the month
mdytodow  A    calculates day-of-the-week from month/day/year
mnthname  A    converts month code to a name
namedow   A    converts a name to a day-of-the-week code
namemnth  A    converts a name to a month code
pac       A    display a partial autocorrelation plot
pearson   A    Pearson correlation with p-value
period    A    set period of time series data
ppunit    B    Phillips-Perron test for a unit root
projdate  A    specify initial projection date
quandt    B    calculate Quandt statistics for a break in a regression
regdiag   B    calculate regression diagnostics
scenario  A    generate ad hoc scenario for RHS variable
spear     A    Spearman correlation with p-value
tauprob   A    p-values for unit root and cointegration tests
testsum   B    test the sum of a set of regression coefficients
today     A    calculates today
tsfit     A    estimate a time series regression
tsload    B    load an ad hoc time series equation into memory
tsmult    A    calculate dynamic multipliers after a time series regression
tspred    A    dynamically forecast or simulate a time series regression
tsreg     A    estimate a time series regression, display dynamic multipliers,
               and calculate diagnostic tests
unitroot  B    unit root tests
xcorr     A    cross correlations
ystrday   A    calculates yesterday from today





Utility programs
----------------

The time series library is built on a core of common utility programs. These
programs are useful to advanced Stata users who wish to write their own time
series programs.  These utilities include:


Program Status Description
------- ------ -----------
_ac       B    calculate autocorrelations, standard errors, and Q-statistics
_addl     B    "add" a lag operator to a variable name
_addop    B    "add" an arbitrary operator to a variable name
_getrres  B    calculate recursive residuals for a regression model
_gtrank   B    provide "trank" for the egen command, i.e., calculate ranks
               over non-missing observations respecting "if" and "in" and
               without sorting the data
_inlist   B    determine whether a token appears in a token list
_invlist  B    determine whether a varname appears in a varlist
_opnum    B    decode the operators and their powers in a varname
_parsevl  B    parse a varlist to replace abbreviations
_partset  B    partition two sets of tokens into their intersection and 
               complements
_sfran    B    replacement for sfrancia that preserves the data order
_subchar  B    replace one character in a string with another
_ts_dsmp  B    display sample coverage for estimation command
_ts_flag  B    calculate lag length statistics
_ts_gdat  B    format a date value for a given observation
_ts_meqn  B    parse a time series command and generate lags
_ts_pars  B    parse a time series command into useful macros
_ts_peri  B    obtain periodicity of data


Support
-------

        Sean Becketti, Stata Technical Bulletin
        FAX (913)-888-6708


Also see
--------

    STB:  dm6   (STB-5) ;  dm20  (STB-20);  ip5   (STB-17);  sg5.1 (STB-13);
          sts1  (STB-5) ;  sts2  (STB-7) ;  sts3  (STB-13);  sts4  (STB-15);  sts4  (STB-15);  
          sts6  (STB-17);  sts7  (STB-17);  sts8  (STB-20);
          
On-line:  ^help^ for user-level programs listed above

