Step-by-Step: Transforming Data & Applying Unit Root Tests in Stata
Автор: Learning Simplified
Загружено: 2025-04-18
Просмотров: 116
📌 Description:
In this tutorial, you’ll learn how to test for stationarity (unit root) in Stata using the ADF (Augmented Dickey-Fuller) test. We'll walk through the full process — from transforming data to running unit root tests at levels and first differences. Ideal for econometrics students and researchers!
🧾 Steps Covered in This Video:
Select key variables (e.g., GDP, labor, capital)
Download your dataset in Excel with at least 30 years of time-series data
Transform all series into natural log form (log-levels)
Copy and paste your data into Stata
Declare your data as a time series using:
tsset year
Apply Unit Root Test at Level using:
dfuller y, drift lags(1)
Generate the First Difference with:
gen dy = y - L1.y
Test Unit Root at First Difference using:
dfuller dy, drift lags(1)
💡 Bonus Tip: Always check stationarity before running regression models in time-series analysis. It’s a crucial step in avoiding spurious results!
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