Stock and Watson, Introduction to Econometrics, 3rd ed

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Stock and Watson, Introduction to Econometrics, 3rd ed

Postby TomDoan » Thu Jun 28, 2012 10:31 am

The attached zip has the examples and data files from Stock and Watson, Introduction to Econometrics, 3rd edition, Addison-Wesley, 2011. Most of the examples are based upon linear regressions done with LINREG. The examples are often fairly long because they look at more than one possible set of explanatory variables, but are repeating the same basic instructions. In some (though not all) of these, we demonstrate how to organize the results into tables using the REPORT instruction. Among other instructions highlighted through the examples are SUMMARIZE and PRJ for doing predictions and SPGRAPH for creating graphs with multiple panes.

stock-watson_3.zip
Zip with programs and data
(2.42 MiB) Downloaded 313 times


Example Description RATS Level
swchap02.rpf Probability, statistics, graphs Basic
swchap03.rpf Basic statistics, subsamples, using REPORT Intermediate
swchap04.rpf Simple linear regression, scatter plots, REPORT Intermediate
swchap05a.rpf Regression, scatter with regression line Basic
swchap05b.rpf Regression, scatter with regression line Basic
swchap06.rpf Regression Basic
swchap07.rpf Comparison of model specifications Intermediate
swchap08a.rpf Nonlinearities in multiple regression Intermediate
swchap08b.rpf Nonlinearities in multiple regression Basic
swchap08c.rpf Nonlinearities in multiple regression Basic
swchap09.rpf Multiple regressions Basic
swchap10.rpf Panel data, individual effects, difference in differences Intermediate
swchap11.rpf Probit, logit, linear probability model Intermediate
swchap12.rpf Instrumental variables Basic
swchap13.rpf Analysis of experimental data Intermediate
swchap14a.rpf Autocorrelations, forecasting with regression models Advanced
swchap14b.rpf Phillips Curve Basic
swchap14c.rpf AR and ARDL models Intermediate
swchap15.rpf HAC standard errors, stability tests, dynamic multipliers Advanced
swchap16a.rpf Multiple time series, ERS test, cointegration Intermediate
swchap16b.rpf GARCH model Basic


Last bumped by TomDoan on Thu Jun 28, 2012 10:31 am.
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