Time Series - Data and Statistical Services - Princeton University
Time Series - Data and Statistical Services - Princeton University
Time Series - Data and Statistical Services - Princeton University
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Lag operators (lag)<br />
Another set of time series comm<strong>and</strong>s are the lags, leads, differences <strong>and</strong> seasonal operators.<br />
It is common to analyzed the impact of previous values on current ones.<br />
To generate values with past values use the “L” operator<br />
generate unempL1=L1.unemp<br />
generate unempL2=L2.unemp<br />
list datevar unemp unempL1 unempL2 in 1/5<br />
. generate unempL1=L1.unemp<br />
(1 missing value generated)<br />
. generate unempL2=L2.unemp<br />
(2 missing values generated)<br />
. list datevar unemp unempL1 unempL2 in 1/5<br />
datevar unemp unempL1 unempL2<br />
1. 1957q1 3.933333 . .<br />
2. 1957q2 4.1 3.933333 .<br />
3. 1957q3 4.233333 4.1 3.933333<br />
4. 1957q4 4.933333 4.233333 4.1<br />
5. 1958q1 6.3 4.933333 4.233333<br />
In a regression you could type:<br />
regress y x L1.x L2.x<br />
or regress y x L(1/5).x<br />
10<br />
PU/DSS/OTR
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