Stata: The language of choice for time series analysis?

Over time, Stata has come to incorporate more and more features for effective analysis of time series data, either pure time series or panel data with emphasis placed on the time series dimension of the panel. In this context, ‘time series modeling’ should be taken in the broad sense, referring to multivariate models built with data organized as time series, rather than the narrow sense of “Box–Jenkins” or ARIMA univariate time series models. This paper considers modeling performed in only the time domain rather than in the frequency domain.