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Re: st: Fwd: Seasonality in time series data
From
Robert A Yaffee <[email protected]>
To
[email protected]
Subject
Re: st: Fwd: Seasonality in time series data
Date
Sun, 1 Dec 2013 21:33:32 -0500
Nilay,
You can use the sin and cosine functions to perform a spectral
analysis in Stata.
If you have reason to believe that the continuous data conforms to longer wave
cycles, you can use ucm (Unobserved components models) with the model(cycle) for
formulate them.
You can use spectral density functions or periodograms to identify
periodicity in these
waveforms if the seasonality is not readily apparent. You should also
be aware that there
is an fft function for a fast Fourier transform if you prefer the
complex configuration
for your spectral analysis.
Cheers,
Robert Yaffee
On Sun, Dec 1, 2013 at 7:58 PM, Nick Cox <[email protected]> wrote:
> Nilay Kumar had difficulty in posting this to the list. This paper
> appears relevant.
>
> SJ-6-4 st0116 . . . . Speaking Stata: In praise of trigonometric predictors
> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox
> Q4/06 SJ 6(4):561--579 (no commands)
> discusses the use of sine and cosine as predictors in
> modeling periodic time series and other kinds of periodic
> responses
>
> A -signrank- test comparing summer and winter sounds a poor idea. It
> would throw away much of the information in the data, yet still face
> dependence problems.
>
> -lowess- in Stata is a command, not a function.
>
> Nick
> [email protected]
>
> On 1 December 2013 17:55, nilay kumar <[email protected]> wrote:
>
>> I have a time series dataset where I am trying to asses seasonal variations
>> in a var1. How can I use the signed rank test to do this? the signrank
>> command asks for two variables, what I'm trying to compare is var1 in summer
>> to var1 in winter. (all of these observations are from a single location and
>> hence related, which is why I'm using the signed rank test.)
>> Using the lowess function, this time series data seems to have a very strong
>> component of seasonality (visual estimate). I'm interested in assessing the
>> statistical significance of this finding using cosinor analysis. Is there a
>> method for performing cosinor analysis in stata?
>>
> *
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--
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
*
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* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/