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:    • Introduction to Programming Loops in ...  
'putexcel' tutorial:    • Using PUTEXCEL to export Stata output...  

Another Time-series topic: the "correlogram":    • Time Series Econometrics: The CORRGRA...  

Textbook Link
Introductory Econometrics for Finance
https://amzn.to/2YJc2Tu

Link to tutorial on time series graphs in Stata:    • Time Series Plots in Stata  

Amazon link for Baum's "Introduction to Stata Programming"
https://amzn.to/2PpAqVe