Stata: The language of choice for time-series analysis?

Abstract

This paper discusses the use of Stata for the analysis of time series and panel data. The evolution of time-series capabilities in Stata is reviewed. Facilities for data management, graphics, and econometric analysis from both official Stata and the user community are discussed. A new routine to provide moving-window regression estimates - rollreg - is described, and its use illustrated. © 2005 StataCorp LP.