This page provides links to example programs for Econometrics, by Fumio Hayashi, (2000, Princeton University Press).
The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to actually run any of the examples, you should download the Zip file.
If you prefer just to view the code for a particular example, just click on the example name (the files are referenced by page number). Again, if you actually want to run these, you should download the zip file listed first to get the required data and procedure files.
Note that all of the textbook example, data, and procedure files currently available on our website are also included on the CD with the current release of the RATS software.
| File Name | Description |
| hayashi.zip | Zip file with all programs, data, procedure files |
| hayashi_Vers5.zip | Zip file with older versions of files (Version 5 compatible) |
| hayashi_pre700.zip | Zip file with older versions of files (pre Version 7.0) |
| hayp076.prg | Linear regressions, restricted regressions, Chow tests |
| hayp081.prg | Monte Carlo examination of a linear regression |
| hayp176.prg | Efficient markets hypothesis: dealing with heteroscedasticity |
| hayp182.prg | White test, weighted least squares |
| hayp183.prg | Monte Carlo examination of serial correlation tests |
| hayp250.prg | 2SLS, single equation GMM |
| hayp317.prg | Estimation of system of factor demands |
| hayp358.prg | Panel data |
| hayp438.prg | Efficient markets hypothesis: dealing with serial correlation |
| hayp440.prg | Efficient markets hypothesis |
| hayp611.prg | Monte Carlo examination of unit root tests |
| hayp613.prg | Unit root tests |
| hayp665.prg | Cointegration |