Hill, Griffiths, Lim, Principles of Econometrics
Posted: Thu Jun 28, 2012 10:46 amThe zip file has the worked examples from Hill, Griffiths and Lim, Principles of Econometrics, 3rd ed, Wiley 2008. Most of these are based on the built-in RATS instructions like LINREG, SUR, PREGRESS, etc.
hill-griffiths-lim_3.zip- Zip with programs/data
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| Example | Description | RATS Level |
| hillp018.rpf | Simple regression | Basic |
| hillp052.rpf | Simple regression;Test coefficient = non-zero | Basic |
| hillp079.rpf | Simple regression;Fitted values | Basic |
| hillp112.rpf | Multiple regression;One-tailed coefficient test | Basic |
| hillp137.rpf | Multiple regression;Test of linear restriction | Basic |
| hillp147.rpf | Multiple regression;Restricted regression | Basic |
| hillp149.rpf | Multiple specifications;RESET test | Basic |
| hillp154.rpf | Multiple regression;Collinearity | Basic |
| hillp169.rpf | Non-linear functions of coefficients | Basic |
| hillp174.rpf | Multiple regression | Basic |
| hillp176.rpf | Subsamples;Chow test | Basic |
| hillp183.rpf | Interaction effects | Basic |
| hillp185.rpf | Non-linear functions of coefficients | Basic |
| hillp199.rpf | Heteroskedasticity robust standard errors;Weighted least squares | Basic |
| hillp208.rpf | Weighted least squares | Basic |
| hillp210.rpf | Goldfeld-Quandt test | Basic |
| hillp212.rpf | Heteroscedasticity tests | Basic |
| hillp230.rpf | Serial correlation | Basic |
| hillp245.rpf | Forecasts with dynamic model | Basic |
| hillp248.rpf | Distributed lag | Basic |
| hillp251.rpf | ARDL model | Intermediate |
| hillp280.rpf | Instrumental variables | Basic |
| hillp281.rpf | Two-stage least squares;testing endogeneity and overidentification | Basic |
| hillp312.rpf | Two-stage least squares | Basic |
| hillp314.rpf | Two-stage least squares | Basic |
| hillp326.rpf | Time series graphs (stationarity issues) | Basic |
| hillp333.rpf | Spurious regression | Basic |
| hillp337.rpf | Dickey-Fuller test | Basic |
| hillp340.rpf | Cointegration;Engle-Granger test | Basic |
| hillp349.rpf | VECM | Basic |
| hillp351.rpf | VAR | Basic |
| hillp366.rpf | Time series graphs (fat-tails;heteroscedasticity issues) | Basic |
| hillp369.rpf | ARCH/GARCH models | Basic |
| hillp386.rpf | SUR | Intermediate |
| hillp391.rpf | Fixed effects | Basic |
| hillp396.rpf | Fixed effects;random effects | Intermediate |
| hillp424.rpf | Probit model | Basic |
| hillp429.rpf | Multinomial logit | Basic |
| hillp433.rpf | Conditional logit | Intermediate |
| hillp437.rpf | Ordered probit | Basic |
| hillp440.rpf | Poisson count model | Basic |
| hillp446.rpf | Tobit model | Basic |
| hillp449.rpf | Heckit model (sample selection) | Basic |