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Published byHunter Williams Modified over 2 years ago

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STATA Using the menu

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After starting Stata: Click on help (Top right menu bar) Then type var. You get a help page giving you info on this instruction. Half way down this page you see the following instructions: webuse lutkepohl2 tsset var dln_inv dln_inc dln_consump

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webuse lutkepohl2 tsset var dln_inv dln_inc dln_consump Tells the computer to open a data set (lutkepohl2) it has stored in its memory tsset declares the data in memory to be a time series. tssetting the data is what makes Stata's time-series operators such as L. and F. (lag and lead) work. (This comes from going into help and typing tsset) This tells STATA to do a var. The three variables involved are dln_inv, dln_inc and dln_consump

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Data definitions

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The output from: var dln_inv dln_inc dln_consump Coef.Std. Err.zP>z[95% Conf.Interval] dln_inv L L dln_inc L L dln_consump L L _cons This tells us the dependent variable this part of output relates to This tells us first right hand side variable Lagged once (L1) and twice (L2) dln_inc and dln_consump are the other two right hand side variables Both are lagged once and twice. The output shows coefficients and t statistics

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And the output for second equation, relating to dln_inc

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There is a third equation and also summary data This gives us summary data, e.g. R2s, for each regression

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