Time-Series Reference Manual

This manual includes features that are part of StataNow.


Publisher: Stata Press
Copyright: 2023
ISBN-13: 978-1-59718-402-1
Pages: 1003
Suggested citation

StataCorp. 2023. Stata 18 Time-Series Reference Manual. College Station, TX: Stata Press.

Supplemental materials

Table of contents
Intro Introduction to time-series manual
Time series Introduction to time-series commands
 
arch Autoregressive conditional heteroskedasticity (ARCH) family of estimators
arch postestimation Postestimation tools for arch
arfima Autoregressive fractionally integrated moving-average models
arfima postestimation Postestimation tools for arfima
arfimasoc Obtain lag-order selection statistics for ARFIMAs
arima ARIMA, ARMAX, and other dynamic regression models
arima postestimation Postestimation tools for arima
arimasoc Obtain lag-order selection statistics for ARMAs
 
corrgram Tabulate and graph autocorrelations
cumsp Graph cumulative spectral distribution
 
dfactor Dynamic-factor models
dfactor postestimation Postestimation tools for dfactor
dfgls DF-GLS unit-root test
dfuller Augmented Dickey–Fuller unit-root test
 
estat acplot Plot parametric autocorrelation and autocovariance functions
estat aroots Check the stability condition of ARIMA estimates
estat sbcusum Cumulative sum test for parameter stability
estat sbknown Test for a structural break with a known break date
estat sbsingle Test for a structural break with an unknown break date
 
fcast compute Compute dynamic forecasts
fcast graph Graph forecasts after fcast compute
forecast Econometric model forecasting
forecast adjust Adjust variables to produce alternative forecasts
forecast clear Clear current model from memory
forecast coefvector Specify an equation via a coefficient vector
forecast create Create a new forecast model
forecast describe Describe features of the forecast model
forecast drop Drop forecast variables
forecast estimates Add estimation results to a forecast model
forecast exogenous Declare exogenous variables
forecast identity Add an identity to a forecast model
forecast list List forecast commands composing current model
forecast query Check whether a forecast model has been started
forecast solve Obtain static and dynamic forecasts
 
irf Create and analyze IRFs, dynamic-multiplier functions, and FEVDs
irf add Add results from an IRF file to the active IRF file
irf cgraph Combined graphs of IRFs, dynamic-multiplier functions, and FEVDs
irf create Obtain IRFs, dynamic-multiplier functions, and FEVDs
irf ctable Combined tables of IRFs, dynamic-multiplier functions, and FEVDs
irf describe Describe an IRF file
irf drop Drop IRF results from the active IRF file
irf graph Graphs of IRFs, dynamic-multiplier functions, and FEVDs
irf ograph Overlaid graphs of IRFs, dynamic-multiplier functions, and FEVDs
irf rename Rename an IRF result in an IRF file
irf set Set the active IRF file
irf table Tables of IRFs, dynamic-multiplier functions, and FEVDs
 
lpirf Local-projection impulse–response functions
lpirf postestimation Postestimation tools for lpirf
 
mgarch Multivariate GARCH models
mgarch ccc Constant conditional correlation multivariate GARCH models
mgarch ccc postestimation Postestimation tools for mgarch ccc
mgarch dcc Dynamic conditional correlation multivariate GARCH models
mgarch dcc postestimation Postestimation tools for mgarch dcc
mgarch dvech Diagonal vech multivariate GARCH models
mgarch dvech postestimation Postestimation tools for mgarch dvech
mgarch vcc Varying conditional correlation multivariate GARCH models
mgarch vcc postestimation Postestimation tools for mgarch vcc
mswitch Markov-switching regression models
mswitch postestimation Postestimation tools for mswitch
 
newey Regression with Newey–West standard errors
newey postestimation Postestimation tools for newey
 
pergram Periodogram
pperron Phillips–Perron unit-root test
prais Prais–Winsten and Cochrane–Orcutt regression
prais postestimation Postestimation tools for prais
psdensity Parametric spectral density estimation after arima, arfima, and ucm
 
rolling Rolling-window and recursive estimation
 
sspace State-space models
sspace postestimation Postestimation tools for sspace
 
threshold Threshold regression
threshold postestimation Postestimation tools for threshold
tsappend Add observations to a time-series dataset
tsfill Fill in gaps in time variable
tsfilter Filter a time series for cyclical components
tsfilter bk Baxter–King time-series filter
tsfilter bw Butterworth time-series filter
tsfilter cf Christiano–Fitzgerald time-series filter
tsfilter hp Hodrick–Prescott time-series filter
tsline Time-series line plots
tsreport Report time-series aspects of a dataset or estimation sample
tsrevar Time-series operator programming command
tsset Declare data to be time-series data
tssmooth Smooth and forecast univariate time-series data
tssmooth dexponential Double-exponential smoothing
tssmooth exponential Single-exponential smoothing
tssmooth hwinters Holt–Winters nonseasonal smoothing
tssmooth ma Moving-average filter
tssmooth nl Nonlinear filter
tssmooth shwinters Holt–Winters seasonal smoothing
 
ucm Unobserved-components models
ucm postestimation Postestimation tools for ucm
 
var intro Introduction to vector autoregression models
var Vector autoregression models StataNow
var postestimation Postestimation tools for var
var ivsvar Instrumental-variables structural vector autoregressive models StataNow
var ivsvar postestimation Postestimation tools for ivsvar StataNow
var svar Structural vector autoregression models
var svar postestimation Postestimation tools for svar
varbasic Fit a simple VAR and graph IRFs or FEVDs
varbasic postestimation Postestimation tools for varbasic
vargranger Pairwise Granger causality tests
varlmar LM test for residual autocorrelation
varnorm Test for normally distributed disturbances
varsoc Obtain lag-order selection statistics for VAR and VEC models
varstable Check eigenvalue stability condition
varwle Obtain Wald lag-exclusion statistics
vec intro Introduction to vector error-correction models
vec Vector error-correction models
vec postestimation Postestimation tools for vec
veclmar LM test for residual autocorrelation after vec
vecnorm Test for normally distributed disturbances after vec
vecrank Estimate the cointegrating rank of a VECM
vecstable Check the stability condition of VEC model estimates
 
wntestb Bartlett's periodogram-based test for white noise
wntestq Portmanteau (Q) test for white noise
 
xcorr Cross-correlogram for bivariate time series
 
Glossary
 
Combined author index
Combined subject index