Volatility only represents a high variability in a series over time.This article explains the issue of volatility in data using Autoregressive Conditional Heteroscedasticity (ARCH) model. It will identify the ARCH effect in a given time series in STATA.
STATA for data analysis, time series analysisThis article explains testing and diagnosing VECM in STATA to ascertain whether this model is correct or not. Among diagnostic tests, common ones are tested for autocorrelation and test for normality.
STATA for data analysis, time series analysisUnrestricted Vector Auto Regression (VAR) is not applicable in such cases. Vector Error Correction Model (VECM) is a special case of VAR which takes into account the cointegrating relations among the variables.
STATA for data analysis, time series analysisThe previous article showed lag selection and stationarity for Vector Auto Regression (VAR) with three variables; Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFC) and Private Final Consumption (PFC). This article shows the co-integration test for VAR with three variables.
STATA for data analysis, time series analysisThis article incorporates Gross Fixed Capital Formation (GFC) and again performs the lag selection test and check for stationarity for both, GFC and PFC. Thus this article incorporates the VAR with three variables in STATA.
STATA for data analysis, stationarity testThe previous article showed that the three-time series values Gross Domestic Product (GDP), Gross Fixed Capital Formation (GFC) and Private Final Consumption (PFC) are non-stationary. Therefore they may have long-term causality. The general assumption, in this case, is that consumption PFC affects GDP, therefore these variables might be cointegrated.
STATA for data analysis, time series analysis, trend analysisTo test cointegration, Johansen cointegration test is widely used which determines the number of independent linear combinations (k) for (m) time series variables set that yields a stationary process. The test gives the rank of cointegration.
STATA for data analysis, time series analysisGranger causality is a method to examine the causality between two variables in a time series. “Causality” is related to cause and effect notion, although it is not exactly the same. It is a statistical concept which is based on the prediction.
STATA for data analysis