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.
| 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 |
stock-watson_3.zip