Topics in time series regression modeling

This talk will discuss the use of a number of Stata commands, some "official" and some user-contributed, in the context of working with time-series and panel data. Testing for endogeneity/exogeneity of regressors, heteroskedasticity in an instrumental variables context, and fitting regression models with ARMA errors will be considered, as well as a number of tests for stationarity of single or multiple time series, including stationarity in the presence of structural breaks.