Need help with exercise in an assignment

[Josh Hill]

Hello everyone I need some help understanding how to do certain things in STATA.

For a short-run causal analysis, use Eviews to compute the growth rates (first-differences in log) of the four variables: GDP, CPI, U, and GB10. Use the Box-Jenkins procedure to estimate a VAR model for the four variables. Report the impulse response functions and analyse the results.

My first question is, where exactly is the Box-jenkings procedure in STATA? I tried looking for it but didn't find it.
Is the Box-Jenkins procedure the same thing as doing a Vector Auto Regression in STATA or not?
My last question is, how do I create the Impulse Response Function of my VAR? I found something on google but it's not really helping. I know I have to create an IRF but how do I create an IRF of my VAR results?

Thank you for your time.

[Nick Cox]

Please see http://www.statalist.org/forums/help#adviceextras #4 for an informal policy on homework, here called an assignment.

I'm a teacher much of the time. I have to hope on your behalf that this assignment has been set with much more prior information that you're implying. That is, whatever I set my students is something I regard as a fair challenge. It's not in my interests any more than theirs to set them anything on which they will do poorly. If that's wrong, then your complaint is with your teachers and your institution. Support should exist in the form of TAs, academic staff or faculty office hours, etc.

That said, Googling for Stata advice when the entire manual is in .pdf form on whatever computer has Stata is like going to the library to look up a word when you have a dictionary on your desk. I'd start by looking through the [TS] manual and at the index of the manuals. I don't know more than you on VAR models, so I am not hiding further advice.

[Josh Hill]

Please see http://www.statalist.org/forums/help#adviceextras #4 for an informal policy on homework, here called an assignment.

I'm a teacher much of the time. I have to hope on your behalf that this assignment has been set with much more prior information that you're implying. That is, whatever I set my students is something I regard as a fair challenge. It's not in my interests any more than theirs to set them anything on which they will do poorly. If that's wrong, then your complaint is with your teachers and your institution. Support should exist in the form of TAs, academic staff or faculty office hours, etc.

That said, Googling for Stata advice when the entire manual is in .pdf form on whatever computer has Stata is like going to the library to look up a word when you have a dictionary on your desk. I'd start by looking through the [TS] manual and at the index of the manuals. I don't know more than you on VAR models, so I am not hiding further advice.

I'm only asking this because Eviews has a Box-Jenkins function, I don't see a Box-jenkins function in STATA. I'm using STATA because it's one of the licensed programs offered by the University that I can access remotely from my computer.

[Rich Goldstein]

I don't know what you mean by a "Box-Jenkins function" but Stata can certainly estimate many of what are traditionally thought of as Box-Jenkins time series estimators; start with

h time

[Josh Hill]

Never mind, found out the solution to my question. I meant Box-Jenkins procedure, for some reason I was saying function. I still need help though with how to pass my VAR results to obtain IRF.

[Carlo Lazzaro]

Josh:
see -help irf_create-.

[Marcos Almeida]

Hello Josh,

Please prefer to write Stata (with only S in upper case) as recommend in the FAQ. Thanks.

[Josh Hill]

To answer my own question, I am accessing STATA from a remote computer. This means that the computer in which I am using STATA does not have direct access on my C drive which is the default hard drive where STATA probably saves IRF files. Anyways, if you are accessing STATA remotely it is essential that you change the working directory to one you both see, in my case it was the D drive, after you changed the working directory you should be able to save IRF files.