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Unit Root Test: An Introduction using Stata
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This video explains Unit Root Tests and illustrates their use using a time series of Bitcoin prices. We discuss the visual inspection of time series. Then we discuss the Dickey-Fuller test and implement the test in Stata. Finally, first-differencing removes the unit root, leading to a stationary time series that can be analysed.
*GitHub*
*The course*
This video belongs to the course "Applied Time Series", which covers univariate and multivariate time series models. The course covers the following topics:
Unit 0: Mathematical toolkit
Unit 1: Time series analysis and forecasting
Unit 2: ARIMA and seasonality
Unit 3: Intervention analysis
Unit 4: Vector autoregression (VAR)
Unit 5: Cointegration and VECM
Unit 6: Modelling conditional volatility
Unit 7: Structural breaks
Unit 8: Panel VAR and cointegration
*The channel*
YUNIKARN focuses on publishing educational content in applied statistics, mathematics, and data science. In these fields, programming skills have become essential. Hence, we cover various programming languages including Python, Stata, and C++ to tackle problems and for fun.
*Stay in touch*
*Hashtags*
#datascience #stata #timeseries
This video explains Unit Root Tests and illustrates their use using a time series of Bitcoin prices. We discuss the visual inspection of time series. Then we discuss the Dickey-Fuller test and implement the test in Stata. Finally, first-differencing removes the unit root, leading to a stationary time series that can be analysed.
*GitHub*
*The course*
This video belongs to the course "Applied Time Series", which covers univariate and multivariate time series models. The course covers the following topics:
Unit 0: Mathematical toolkit
Unit 1: Time series analysis and forecasting
Unit 2: ARIMA and seasonality
Unit 3: Intervention analysis
Unit 4: Vector autoregression (VAR)
Unit 5: Cointegration and VECM
Unit 6: Modelling conditional volatility
Unit 7: Structural breaks
Unit 8: Panel VAR and cointegration
*The channel*
YUNIKARN focuses on publishing educational content in applied statistics, mathematics, and data science. In these fields, programming skills have become essential. Hence, we cover various programming languages including Python, Stata, and C++ to tackle problems and for fun.
*Stay in touch*
*Hashtags*
#datascience #stata #timeseries
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