Hello guys,
I am currently trying to train myself on non-stationarity, seen as I will probably have to help one of my supervisors at work with it in may/june. I have been given some old sets from work to work with, however I am having some trouble and would love some assistance. I asked one of my colleagues at work and he recommended me this forum, so here goes nothing :-)
I have currently written down 150 observations in stata in the do-file editor by writing:
set obs 150
i have two independent variables x and y, which i have set to x0 = 0 and y0 = 0 by writing:
generate xt = 0
generate yt = 0
I then have the following formulas:
xt = 1.004 * xt-1 + ut (where xt-1 is x at time t-1) and yt = 1.04 * yt-1 + vt
ut and vt are independent normally distributed white noise processes with mean 0 and standard deviation 0.01
I now want to find out whether x and y are stationary and why/why not as well as explaining which time series processes x and y come from.
However, it is at this point that I get quite lost. I think this is an MA(p) model (right?). How do I continue from here in Stata? I would really love some help! Thank you so much everybody and please let me know if you want more inforamtion/pictures etc.
Kind regards,
Austin
Related Posts with Stata stationarity
Insert empty row by group conditionallyHi, I have a survey data like this: Code: input id sequence q1 q2 q3 q4 q5 001 1 1 3 2 1 5 001 …
Looping with both `var' and `i' simultaneouslyHello, I want to loop over my variable list, but also be able to have a number `i' that reflects th…
Fixed and random effects WITHOUT using clustered robust standard errors (CRSE)Hi Statalist users. I'm new to this forum and would love to get some help from you guys. I'm worki…
I would like some help with coding and generating faultline variable in StataHello everyone, I'm a student and I'm currently having some issues with coding and generating the v…
Looping through a list of strings; combining variables within stringsI have a series of household consumption surveys, each for every year, and I want to process each fi…
Subscribe to:
Post Comments (Atom)
0 Response to Stata stationarity
Post a Comment