The attached zip has the examples and data from Pindyck and Rubinfeld,
Econometric Models and Economic Forecasts, 4th ed, 1998, Irwin-McGraw Hill. Most of these are fairly basic RATS programs, relying mainly upon the main instructions like
LINREG and
BOXJENK.
pindyck_4.zip- Zip with examples/procedures
- (262.24 KiB) Downloaded 159 times
| Example | Description | RATS Level |
| pr03-2.rpf | Simple regression | Basic |
| pr03-3.rpf | Simple regression | Basic |
| pr03-5.rpf | Simple regression | Basic |
| pr04-1.rpf | Multiple regression | Basic |
| pr04-2.rpf | Multiple regression with lagged explanatory variables | Basic |
| pr04-3.rpf | Multiple regression with lagged dependent variable | Basic |
| pr04-5.rpf | Multiple regression; partial correlations | Basic |
| pr05-3.rpf | Multiple regression, dummy variables | Basic |
| pr06-1.rpf | Heteroscedasticity: Weighted least squares | Basic |
| pr06-2.rpf | Heteroscedasticity: Goldfeld-Quandt test | Basic |
| pr06-3.rpf | Heteroscedasticity: White and Breusch-Pagan tests | Basic |
| pr06-4.rpf | Heteroscedasticity: Feasible Weighted Least Squares | Basic |
| pr06-6.rpf | Serial Correlation: Cochrane-Orcutt | Basic |
| pr06-7.rpf | Serial Correlation: Durbin's h test | Basic |
| pr07-3.rpf | Hausman specification test | Basic |
| pr08-2.rpf | Forecasting with single linear equation | Basic |
| pr08-3.rpf | Forecasting with AR1 equation | Basic |
| pr09-1.rpf | Distributed lags | Basic |
| pr09-2.rpf | Distributed lags | Basic |
| pr09-6.rpf | Panel data estimation | Basic |
| pr10-1.rpf | Non-linear least squares | Basic |
| pr10-3.rpf | Non-linear least squares: hypothesis testing | Basic |
| pr10-4.rpf | GARCH model | Basic |
| pr12-4.rpf | 2SLS, 3SLS, Klein's Model I | Basic |
| pr13-1.rpf | VAR; forecasting | Basic |
| pr13-3.rpf | Simultaneous equations system, forecasting | Intermediate |
| pr14-4.rpf | VAR; impulse responses | Basic |
| pr15-1.rpf | Extrapolation models | Basic |
| pr15-2.rpf | Filtering and smoothing | Basic |
| pr15-3.rpf | Seasonal adjustment by ratio to moving average | Intermediate |
| pr16-1.rpf | ARIMA models: choosing differencing | Basic |
| pr16-4.rpf | Unit root tests | Basic |
| pr16-5.rpf | Cointegration test; Engle-Granger | Basic |
| pr17-1.rpf | ACF, partial ACF | Basic |
| pr17-3.rpf | ARIMA models: choosing a model | Basic |
| pr18-1.rpf | ARIMA models: estimation | Basic |
| pr18-3.rpf | ARIMA models: forecasting | Intermediate |
| pr19-6.rpf | ARIMA-X Models | Basic |
Posted: Thu Jun 28, 2012 3:33 pm