Название: Introduction to Time Series Using Stata, Revised Edition
Автор: Sean Becketti
Издательство: Stata Press
Год: 2020
Страниц: 446
Язык: английский
Формат: epub
Размер: 15.1 MB

Introduction to Time Series Using Stata, Revised Edition provides a step-by-step guide to essential time-series techniques–from the incredibly simple to the quite complex– and, at the same time, demonstrates how these techniques can be applied in the Stata statistical package. The emphasis is on an understanding of the intuition underlying theoretical innovations and an ability to apply them. Real-world examples illustrate the application of each concept as it is introduced, and care is taken to highlight the pitfalls, as well as the power, of each new tool. The Revised Edition has been updated for Stata 16.

I wrote this book to provide a step-by-step guide to essential time-series techniques—from the incredibly simple to the quite complex—and, at the same time, to demonstrate how these techniques can be applied in the Stata statistical package. Why Stata? There are, after all, a number of established, powerful statistical packages offering time-series tools. Interestingly, the conventions adopted by these programs for describing and analyzing time series vary widely, much more widely than the conventions used for cross-section techniques and classical hypothesis testing. Some of these packages focus primarily on time series and can be used on non-time-series questions only with a bit of difficulty. Others have to twist their time-series procedures into a form that fits the rest of the structure of their package.

I helped out in a small way when Stata was first introduced. At that time, the most frequent question posed by users (and potential users) was, “When will time series be available?” For a long time, we would tell users (completely sincerely) that these techniques would appear in the next release, in six to twelve months. However, we repeatedly failed to deliver on this promise. Version after version appeared with many new features, but not time series. I moved on to other endeavors, remaining a Stata user but not a participant in its production. Like other users, I kept asking for time-series features—I needed them in my own research. I finally became frustrated and, using Stata’s programming capabilities, cobbled together some primitive Stata functions that helped a bit.