Lütkepohl, New Introduction to Multiple Time Series Analysis

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Lütkepohl, New Introduction to Multiple Time Series Analysis

Postby TomDoan » Thu Jun 28, 2012 12:52 pm

The attached zip has most of the examples from Helmut Lütkepohl's, New Introduction to Multiple Time Series, 1995, Springer-Verlag. Most of the examples here are for various aspects of VAR analysis. Many of the examples do diagnostics of various types on a VAR with multivariate tests for normality, autocorrelation and stability.

lutkepohl_1.zip
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Example Description RATS Level
lutkp077.rpf VAR; roots of companion matrix Intermediate
lutkp087.rpf VAR; Yule-Walker estimates Basic
lutkp098.rpf VAR; forecasts Basic
lutkp118.rpf VAR; error bands with delta method Intermediate
lutkp129.rpf VAR; error bands with bootstrapping Advanced
lutkp145.rpf VAR; lag length selection Basic
lutkp148.rpf VAR; lag length selection Basic
lutkp173.rpf VAR; test for white noise Advanced
lutkp181.rpf VAR; test for Normality Basic
lutkp184.rpf VAR; Chow test Intermediate
lutkp188.rpf VAR; multiple step forecast test Intermediate
lutkp217.rpf VAR; restricted equations Advanced
lutkp227.rpf VAR; Bayesian prior, zero mean Advanced
lutkp312.rpf VAR;Bayesian with unit root priors Advanced
lutkp477.rpf VARMA model Advanced
lutkp497.rpf AR model Intermediate
lutkp602.rpf VAR; sample split test Intermediate
lutkp608.rpf VAR; sample split test Intermediate
lutkp637.rpf Time-varying coefficients model Advanced


Last bumped by TomDoan on Thu Jun 28, 2012 12:52 pm.
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