Basic time series question

[Tom Lau]

Can non-stationary data used to test for normality and structural break in Stata? Moreover, how can we conclude a data have long memory and filter the long memory in Stata? Lastly, is that any test in Stata which has the same function as Breusch-God frey test in Eviews?

Thanks.

[Thong Nguyen]

Hi Tom Lau,
I am also learn more about time series analysis, however, I worked with that analytical approach for a long time ago. So, with your question, supposing that I really understand what you would like to have, I should recommend that you should use the following commands:
For choosing lags and parameters for your Arima model, type

acf or pacf for help

For discovering structural breaks in your time series, type

zandrews for help

For Breusch-Godfrey test: trying to use the following command for testing serial correlation

estat bgodfrey after regress command

Hope it helps!