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cd "E:Drivefilesupftaterm 1econometrics iiseminar 3stataempirical"
import excel "UsMacro_Quarterly.xlsx", sheet("Sheet1") firstrow clear
gen date = yq(Year,Quarter)
order date
tsset date, quarterly
* sample 1955-2006
keep if tin(1955q1,2006q4)
gen Y = RealGDP
gen lnY = log(Y)
* growth rate (log-differences)
gen dlnY = d.lnY
* annualized growth rate
gen AdlnY = 400*dlnY
* ----------------------------------- a.-b. ------------------------------------
sum AdlnY
* ------------------------------------- c. -------------------------------------
corrgram AdlnY, lags(8)
ac AdlnY
* ------------------------------------- d. -------------------------------------
foreach p of num 1/4 {
reg dlnY l(1/`p').dlnY,r
estimates store AR`p'
}
estimates table AR1 AR2 AR3 AR4, stats(N aic bic) star(0.1 0.05 0.01) b(%9.3f)
* ------------------------------------- e. -------------------------------------
tsappend, add(1)
* model selected by AIC and BIC
reg dlnY l(1/1).dlnY
predict dlnY_hat_1
* model selected by autocorrelations
reg dlnY l(1/2).dlnY
predict dlnY_hat_2
list date dlnY_hat_1 dlnY_hat_2 if date == tq(2007q1)
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