How to Import Data Series into Stata and Tsset a Time Variable

In this article, we will be discussing how to generate time series variables using Stata. At the end of the article, there is a step-by-step video tutorial that demonstrates how to execute the commands. Additionally, there is a link to download the DO file for free to generate time series variables. 

 Time series analysis is a crucial component of data analysis, as it allows us to investigate the patterns and trends over time in our data. However, before we can begin analyzing our time series data, we first need to create a time variable. 

The first step in generating a time series variable in Stata is to tsset a time variable. This tells Stata that we will be working with time series data, and enables us to use various time series analysis tools. For example, if we try to create a graph without setting a time variable, Stata will prompt us to do so.

Yearly Data 

To generate yearly data, start by using the "generate" command followed by a variable name of your choice. For example, if you want to create a variable called "years," type "generate years." Then, specify the start year of your data by typing the year in the following format: "1960." To increase the observations by one year, add a plus sign followed by an underscore and minus one (+_-1) at the end. Finally, use the "tset" command to set the time variable to "years."

Quarterly Data 

To generate quarterly data, use the "generate" command followed by a variable name of your choice, such as "quarters." Then, specify the start year and quarter of your data by typing "1960q1" (for the first quarter of 1960). To increase the observations by one quarter, add a plus sign followed by an underscore and minus one (+_-1) at the end. Stata will assign numbers to represent each quarter, so use the "format" command with the "tq" option to give your variable a quarterly format. Finally, use the "tset" command to set the time variable to "quarters."

Monthly Data 

To generate monthly data, use the "generate" command followed by a variable name of your choice, such as "months." Then, specify the start year and month of your data by typing "1960m1" (for the first month of 1960). To increase the observations by one month, add a plus sign followed by an underscore and minus one (+_-1) at the end. Stata will assign numbers to represent each month, so use the "format" command with the "tm" option to give your variable a monthly format. Finally, use the "tset" command to set the time variable to "months."

Daily Data 

To generate daily data, use the "generate" command followed by a variable name of your choice, such as "days." Then, specify the start date of your data by typing "1jan1960" (for the first day of January 1960). To increase the observations by one day, add a plus sign followed by an underscore and minus one (+_-1) at the end. Use the "format" command with the "td" option to give your variable a daily format. Finally, use the "tset" command to set the time variable to "days."