The attached zip has the programs and data from
Econometrics by Fumio Hayashi, (2000, Princeton University Press). This is a graduate level text which puts a heavy emphasis on asymptotics using modern central limit theorems (allowing for heteroscedasticity and autocorrelation).
hayashi_1.zip- Zip with programs/data
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| Example | Description | RATS Level |
| hayp076.rpf | Linear regressions, restricted regressions, Chow tests | Intermediate |
| hayp081.rpf | Monte Carlo examination of a linear regression | Intermediate |
| hayp176.rpf | Efficient markets hypothesis: dealing with heteroscedasticity | Intermediate |
| hayp182.rpf | White test, weighted least squares | Basic |
| hayp183.rpf | Monte Carlo examination of serial correlation tests | Intermediate |
| hayp250.rpf | 2SLS, single equation GMM | Intermediate |
| hayp317.rpf | Estimation of system of factor demands | Intermediate |
| hayp358.rpf | Panel data | Intermediate |
| hayp438.rpf | Efficient markets hypothesis: dealing with serial correlation | Advanced |
| hayp440.rpf | Efficient markets hypothesis | Basic |
| hayp611.rpf | Monte Carlo examination of unit root tests | Intermediate |
| hayp613.rpf | Unit root tests | Intermediate |
| hayp665.rpf | Cointegration | Intermediate |
