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)) } Loops in Stata Tutorial: https://youtu.be/sT3gjnd9v-k 'putexcel' tutorial: https://youtu.be/BnUqoDyoP_8 Another Time-series topic: the "correlogram": https://youtu.be/GJukJBfImg0 Textbook Link Introductory Econometrics for Finance https://amzn.to/2YJc2Tu Link to tutorial on time series graphs in Stata: https://youtu.be/A7JaI-B5t-0 Amazon link for Baum's "Introduction to Stata Programming" https://amzn.to/2PpAqVe