Hello Everyone! Thanks for Watching! ✅ You can get the DO files + Slides + Dataset at jdeconomicstore.com/b/arimastata Video 2: ARIMA models in STATA - Part 2: Estimation 🌐Link: th-cam.com/video/mPDNH-rA4OQ/w-d-xo.html Video 3: ARIMA models in STATA - Part 3: Diagnostics and Forecasting. 🌐Link: th-cam.com/video/qavFKfUAZe4/w-d-xo.html 📣 Tutorial is also available in EViews: th-cam.com/video/ukGJ0sLgbqI/w-d-xo.html ------------------------------------------------------------------------------------------ ✅ If you liked the content and would like to support more free content creation, please subscribe to my TH-cam channel by clicking: th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html ✅ You can get access to all the EViews Workfiles, DO files (STATA) and Slides for any of my videos at: jdeconomicstore.com/ Thanks a lot! JD Economics.
my question is if we have to perform transfer function approach in our data set and the stata dont have a built in commands like "transfer" so we have to rely on ARIMA (p,d,q) approach. how we can perform it please guide us on transfer function approach as stata does not have built in features to conduct such operations
Very nice instructions that get to the points immediately. Just had to get use to your charming Spanish accent, but after overcoming this "obstacle" no problems whatsoever!
Hello! Thanks for your positive feedback. Giving a like to the video and sharing it with others already helps me a lot! If you still want to thank in a monetary way, there is a paypal link in the description or you can buy the Do File of the tutorial as well. Thanks again for watching and providing a nice feedback! Good luck! JD
Hi there, thank you for the video explanation! Cleared it up nicely for me! However, do you have a video where you go over the effect of parsimony or why we shouldn't include higher lags in our model, or is there a simple explanation?
Hi, thank you for the videos. However, I am wondering if the significance tests of the constant and the trend should not be read on the table of Dickey Fuller. If so, the trend is not significant as the t-value is less than that on the Dickey-Fuller table. Thanks!
Hi, Thanks. You should try with all the specifications. I just focused more on the arima model itself than the unit root test. Regardless of the specification, it will suggest that the series is non stationary. Thanks again! Regards,, JD
Hello @JDEconomics. How can I thank you, in my thesis? Today I received the approval for my Thesis to be published and therefore I shall received my degree. I used this series of videos throughout the whole process, and I want to thank you.
Hello Carlos, Thanks for your message! I am really happy to hear you have nailed your thesis! Knowing that you did great is the best payment I can receive. I am glad it helped you, and feel free to share the channel in your social media. You can contact me at jdeconomics.inquiries@gmail.com in case you need further details. Best Regards, and congratulations!
Hi, great video, in my case I am dealing with precipitation and discharge (flow) time records. However, I have some monthly and year missing values in my data historical records. So, I am not sure if I can apply some of the model that you applied in order to fillout missing values in my historical data. Regards
When I did this in stata for my data (inflation elsewhere) ADF gave me P-value greater than 0.05. But Phillips-Perron gave me p-value less than 0.05. So what does this mean? Is my data stationary or non-stationary?? Thank you (If anyone in the comments also knows please tell me!) Thanks
Hi, love your video, it's really helpful. I am trying to use ARIMA model to forecast the closing price of a stock. However, it is hard to tell the p and q through the acf and pacf plots because there are lots of lags exceeding the confidence band, and it's usually not the first few lags, but rather the latter ones. Same things happened using Eviews. Is there any other ways that I can determine the p and q?
interesting video about time series, is Box Jenkins nowadays widely used? if not what are the latest models in time series one can use for forecasting?
Hey, Arima models are widely used. The box jenkins method is just a guide for proper model selection. People who work with Arima, normally follow those foundations. Best, JD
Hello. Your content is very good. I want to consult you about something. What analysis should we do in the Stata program to find the average annual growth rate of per capita income in 2000-2020? For example, let's say we have a data set like this: Years; 2000 - 2001 - 2002 - 2003 - 2004, Revenue (thousand dollar); 10 - 12 - 13.5 - 14.2 - 17. If we want to comment on the average growth rate for these 5 years, which statistical model will we use in Stata?
Hi i wanna know what does L in the dickey fuller and the other tests stand for ? U didn’t talk about it u only talked about trend and constant. And how is it interpreted ? Can it tell whether the serie is stationary or not ? Thanks ?
Hi, that’s the coefficient of the lag. By default Stata will use one lag, but you can specify as many lags as you wish. The option is “, lags(n)”. You can review the manual for the commands, here it is: www.stata.com/manuals/tsdfuller.pdf Also. I suggest that you read how the Dickey Fuller statistic is obtained, as you will see what the lags specifically are. The software Eviews uses some statistics criterions to automatically select the lags. Kind Regards, JD
Yes. here is the link: www.jdeconomics.com/stata-tutorials/arima-models-in-stata Please note that the link was already in the decription of the video. Have a nice day! JD
Hi, ARIMA is just one type of estimation method for the mean. You can always try other methodolgies (i.e., multiple linear regression, vector autoregression, etc.) Warm Regards, JD
Hello Everyone! Thanks for Watching!
✅ You can get the DO files + Slides + Dataset at
jdeconomicstore.com/b/arimastata
Video 2: ARIMA models in STATA - Part 2: Estimation
🌐Link: th-cam.com/video/mPDNH-rA4OQ/w-d-xo.html
Video 3: ARIMA models in STATA - Part 3: Diagnostics and Forecasting.
🌐Link: th-cam.com/video/qavFKfUAZe4/w-d-xo.html
📣 Tutorial is also available in EViews: th-cam.com/video/ukGJ0sLgbqI/w-d-xo.html
------------------------------------------------------------------------------------------
✅ If you liked the content and would like to support more free content creation, please subscribe to my TH-cam channel by clicking:
th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html
✅ You can get access to all the EViews Workfiles, DO files (STATA) and Slides for any of my videos at:
jdeconomicstore.com/
Thanks a lot!
JD Economics.
my question is if we have to perform transfer function approach in our data set and the stata dont have a built in commands like "transfer" so we have to rely on ARIMA (p,d,q) approach. how we can perform it please guide us on transfer function approach as stata does not have built in features to conduct such operations
This video is so clear and well explained. Thank you so much!
Glad it was helpful!
This video deserve so much more views and likes it has now! It is well structured and clear, thank you so much!
Thanks for your kind feedbacks! Feel free to share the video with your close ones! Best regards, JD
Very nice instructions that get to the points immediately. Just had to get use to your charming Spanish accent, but after overcoming this "obstacle" no problems whatsoever!
Thanks!
Excellent video, very well explained, absolute clarity of concepts. Keep it up. Looking forward to more such videos.
Thanks for your message! I am Glad you liked it! Feel free to subscribe to my channel for more videos coming!
Kind Regards,
JD Econ.
Great. This video is very helpful. Thank you very much. Very much appreciate your time and effort
Glad it was helpful!
Love this! Absolute Great Video!
Thanks! Good luck! Jd
Well explained. Time series demystified
Thanks!
Absolutely amazing videos. Thank you very much
Thanks for your feedback! I am glad you like them. Regards, JD
How to say thanks.
Content Excellent
Presentation Excellent
Video / Audio Excellent
Everything Excellent
Hello! Thanks for your positive feedback. Giving a like to the video and sharing it with others already helps me a lot! If you still want to thank in a monetary way, there is a paypal link in the description or you can buy the Do File of the tutorial as well. Thanks again for watching and providing a nice feedback! Good luck! JD
I Agree! Great Tutorial!
In my model, no lag is exceeding the confidence band, both in acf and pacf. What should I do?
Hi there, thank you for the video explanation! Cleared it up nicely for me! However, do you have a video where you go over the effect of parsimony or why we shouldn't include higher lags in our model, or is there a simple explanation?
Hi, thank you for the videos. However, I am wondering if the significance tests of the constant and the trend should not be read on the table of Dickey Fuller. If so, the trend is not significant as the t-value is less than that on the Dickey-Fuller table.
Thanks!
Hi, Thanks. You should try with all the specifications. I just focused more on the arima model itself than the unit root test. Regardless of the specification, it will suggest that the series is non stationary. Thanks again! Regards,, JD
Well explained
Thanks for your feedback! Feel free to subscribe to the channel for more content and check my website www.jdeconomics.com
Kind regards,
JD
Hello @JDEconomics. How can I thank you, in my thesis? Today I received the approval for my Thesis to be published and therefore I shall received my degree. I used this series of videos throughout the whole process, and I want to thank you.
Hello Carlos, Thanks for your message! I am really happy to hear you have nailed your thesis! Knowing that you did great is the best payment I can receive. I am glad it helped you, and feel free to share the channel in your social media. You can contact me at jdeconomics.inquiries@gmail.com in case you need further details.
Best Regards, and congratulations!
THANK YOU VERY MUCH 🤩🤩🤩
Thanks!
Hi, great video, in my case I am dealing with precipitation and discharge (flow) time records. However, I have some monthly and year missing values in my data historical records. So, I am not sure if I can apply some of the model that you applied in order to fillout missing values in my historical data. Regards
When I did this in stata for my data (inflation elsewhere) ADF gave me P-value greater than 0.05. But Phillips-Perron gave me p-value less than 0.05. So what does this mean? Is my data stationary or non-stationary?? Thank you (If anyone in the comments also knows please tell me!)
Thanks
Hi, love your video, it's really helpful. I am trying to use ARIMA model to forecast the closing price of a stock. However, it is hard to tell the p and q through the acf and pacf plots because there are lots of lags exceeding the confidence band, and it's usually not the first few lags, but rather the latter ones. Same things happened using Eviews. Is there any other ways that I can determine the p and q?
It may have a seasonal component. You may need a sarima model. Cheers
interesting video about time series, is Box Jenkins nowadays widely used? if not what are the latest models in time series one can use for forecasting?
Hey, Arima models are widely used. The box jenkins method is just a guide for proper model selection. People who work with Arima, normally follow those foundations. Best, JD
@@JDEconomics thank you so much
Hello. Your content is very good. I want to consult you about something. What analysis should we do in the Stata program to find the average annual growth rate of per capita income in 2000-2020? For example, let's say we have a data set like this: Years; 2000 - 2001 - 2002 - 2003 - 2004, Revenue (thousand dollar); 10 - 12 - 13.5 - 14.2 - 17. If we want to comment on the average growth rate for these 5 years, which statistical model will we use in Stata?
Love you Sir.
Thanks!
Hi i wanna know what does L in the dickey fuller and the other tests stand for ? U didn’t talk about it u only talked about trend and constant. And how is it interpreted ? Can it tell whether the serie is stationary or not ? Thanks ?
Hi, that’s the coefficient of the lag. By default Stata will use one lag, but you can specify as many lags as you wish. The option is “, lags(n)”. You can review the manual for the commands, here it is: www.stata.com/manuals/tsdfuller.pdf Also. I suggest that you read how the Dickey Fuller statistic is obtained, as you will see what the lags specifically are. The software Eviews uses some statistics criterions to automatically select the lags. Kind Regards, JD
Dear sir, can I get this dataset,that you use here??
Yes. here is the link: www.jdeconomics.com/stata-tutorials/arima-models-in-stata
Please note that the link was already in the decription of the video.
Have a nice day! JD
@@JDEconomics thank you.
Hi, Could you pls help me learning bayer & hanck cointegration in stata or eviews. thanx
Hi, thanks for your message. I will add your request to the list of videos to make. Thanks!
Dear sir, could you explain for me about arimax model in stata?
Hi! My dissertation is due in 2 days, I reallyyyyyyyy hope you see my question
I have subscribed :)
Thanks!
Hi please what can do when we can't apply an arima models???? Thanks
Hi, ARIMA is just one type of estimation method for the mean. You can always try other methodolgies (i.e., multiple linear regression, vector autoregression, etc.) Warm Regards, JD
@@JDEconomics thank you