edm implements a series of tools that can be used for empirical dynamic modeling in Stata. The command keyword is
edm, and should be immediately followed by the subcommand
xmap. A dataset must be declared as time-series or panel data by the tsset or xtset command prior to using the edm command, and time-series operators including
s. can be used (the last for seasonal differencing).
To install the stable version directly through Stata:
ssc install edm, replace
To install the latest development version directly through Stata:
net install edm, from("https://jinjingli.github.io/edm/") replace
Example Data and Do File
This paper describes the use of edm in Stata. The slides for the talk given at the QMNET seminar series is available here.
The Chicago crime dataset used in the edm paper can be downloaded here.
This do file contains the a series of examples of the edm command using both a synthetic dataset and the Chicago crime dataset.