Basic Time Series in Stata: Finite Distributed Lag Models

We cover the following topics:
1. How to estimate the FDL model using OLS and the lag operator in Stata.
2. Testing and calculating the Long Run Propensity.
3. Using the Information Criterion to optimize lag length.
4. Creating a foreach loop in Stata to cycle through multiple lag orders, exporting the information criterion to Excel using 'putexcel'.

//Data command//
freduse TB3MS FEDFUNDS
gen t=_n
asset t
//Loop Commands//
putexcel set results1
foreach i of num 1/20 {
reg D.TB3MS L(0/`i').D.FEDFUNDS
estat ic
putexcel A`i' =matrix(r(S))
}

Textbook Link
Introductory Econometrics for Finance

Amazon link for Baum's "Introduction to Stata Programming"

[tombic]

Extremely useful video for quickly and insightfully learning how to set up a lag model, determining its optimal lags, and the marginal and cumulative effects of lags. Even more valuable is Mike showing us how to create and use a valuable short loop command to generate multiple regressions, summarize results, and display them in an automatically generated excel file. This video will save me tons of time when using stata. Awesome video. Thanks.

[cyberdevil]

Thank you so much for making these! These videos have helped me so much with my econometrics homework and these tutorials are always so clear and helpful

[stephenchan]

Thank you for providing this insightful tutorial, Mike!

[ismaelfoshangee]

Thank you. it is very useful for me, though i couldn't download fed fund . As i am in Afghanistan may be not allowed.

[siyavashmonajem]

so much useful and very great, thank you so much

[achudakhinkudachin]

What is r5? It doesn't work in my Stata

[kylmaz]

Hello Jonas. Your content is very good. I want to consult you about something. What analysis should we do in the Stata program to find the average annual growth rate of per capita income in 2000-2020? For example, let's say we have a data set like this: Year; 2000 - 2001 - 2002 - 2003 - 2004, Revenue (thousand dollar); 10 - 12 - 13.5 - 14.2 - 17. If we want to comment on the average growth rate for these 5 years, which statistical model will we use in Stata?

[faithpark]

Would this work for a panel data set? Meaning you set up an xtset in your regression?

[Alex-unzm]

Is the OLS output for standard errors not wrong? Shouldnt you use the newey command and use HAC?