Stata: The language of choice for time–series analysis?
Christopher F. Baum
Boston College
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Abstract. This paper discusses the use of Stata for the analysis of time series and
panel data. The evolution of time-series capabilities in Stata is reviewed.
Facilities for data management, graphics, and econometric analysis from both
official Stata and the user community are discussed. A new routine to
provide moving-window regression estimates—rollreg—is
described, and its use illustrated.
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Christopher F. Baum
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time-series analysis, time-series data, time-series modeling, moving-window regression, rolling regression
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