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st: RE: Seasonal Variables-Differencing or Dummies

From   "Thuy Le" <[email protected]>
To   <[email protected]>
Subject   st: RE: Seasonal Variables-Differencing or Dummies
Date   Thu, 05 May 2005 14:36:36 -0400

These two books specifically deal with seasonality:
1/ Periodic time series model, Franses & Paap, 2004.
2/ The econometric analysis of seasonal time series, Ghysels & Osborn, 2001.
Another book, which is not dedicated to seasonality but has good discussion
about seasonality is Applied econometric time series, Enders, 2004.
Even though they are not using Stata for their examples, check them out if
you need to know how to handle seasonality.

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of REINERTSON,M
Sent: Thursday, May 05, 2005 10:39 AM
To: [email protected]
Subject: st: Seasonal Variables-Differencing or Dummies

Dear Statalisters,

Please help me clarify my understanding in the correct procedure
to use seasonal variables in time-series regressions. My very
basic understanding of the correct use of the seasonal
differencing technique (time series operator _S._ in Stata) is in
the autoregressive integrated moving average (ARIMA) models. For
other regression techniques in analyzing time-series, and panel
data, the seasonal dummy variables are used.

Hamilton (my much dogged-eared version for Stata 7) explains how
to use _S._ in Stata, but not the ?why,? or the ?when? to use it.
Harvey explains briefly both procedures and says that the
differencing is used when the seasonal pattern changes over time.
Thus, in this sense, the differencing would cause the seasonal
pattern to become stationary.

Is there ever an appropriate situation to use the _S._ time-series
operator outside of an ARIMA model? In answering this specific
Stata question, I ask that you extend your answer to an
explanation, and possible reference that I could research, in
controlling seasons (and cycles) in time-series data that goes
beyond the usual econometric textbook treatment. An example, which
does not necessarily need to be economic, would be very much



M. Yvonne Reinertson
University of Florida, PhD Candidate
[email protected]

Version: Stata 7 (final update)
OS: WindowsXP

References Used:
Hamilton, L., 2003, ?Statistics with Stata,? (Duxbury-Thomson
Learning, Belmont).
Harvey, A, 1999, ?The Econometric Analysis of Time Series,? 2nd
ed., (MIT Press, Cambridge).


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