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Econometrics (NA3011). Reza Mortazavi 2014 Stata Lecture 4. Explaining ice cream demand. use http ://users.du.se/~ rem/icecream.dta Browse tsset time

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Econometrics (NA3011)

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## Econometrics (NA3011)

Reza Mortazavi

2014

Stata Lecture 4

### Explaining ice cream demand

• use http://users.du.se/~rem/icecream.dta

• Browse

• tsset time

• Note: ”tsset ” is the commandthatinforms the data aretime series, the variable ”time” in this data set is the timevariable.

• Do we have any reason to suspect autocorrelation (also called serial correlation)?

• regr cons price income

• predict resid,residual

### Explaining ice cream demand

• twoway (scatter resid time, yline(0))

• regr cons price income temp

• predict ehat,residual

• twoway (scatter ehat time, yline(0))

• Still autocorrelation

• estatdwatson

• H0: H1:

• At 5% significancelevelwehave (for T=30, K=4), . So werejectH0: .

### GLS

• estatbgodfrey

• This so called Breusch-Godfrey test is more general and is sufficient for this course. What is the conclusion?

• prais cons price income temp, rhotype(regress) corc

### Introducing dynamics

• gen lagtemp=L.temp

• regr cons price income temp lagtemp

• estatdwatson

• estatbgodfrey

### Robust (Newey-West HAC) standard errors

• newey cons price income temp, lag(1)

• newey cons price income temp, lag(2)