The attached zip has the programs and data for James Hamilton,
Time Series Analysis, 1994, Princeton University Press. Because it was written before many of these techniques were included directly in much of the working software, the later examples show the detailed calculations that are now included in procedures just as
@DFUNIT,
@PPUNIT and
@JOHMLE. We show both the use of those procedures and the step-by-step calculations.
hamilton_1.zip- Zip with programs/data
- (49.73 KiB) Downloaded 113 times
| Example | Description | RATS Level |
| hamp005.rpf | Graph examples for dynamic multipliers | Intermediate |
| hamp050.rpf | Autocorrelation functions for ARMA processes | Intermediate |
| hamp055.rpf | Graphs of realizations of AR(1) processes | Basic |
| hamp112.rpf | Autocorrelation/partial autocorrelations of actual data | Basic |
| hamp167.rpf | Spectral analysis | Intermediate |
| hamp376.rpf | State space models;Stock Watson factor model | Advanced |
| hamp410.rpf | GMM | Intermediate |
| hamp448.rpf | Fractional integration | Basic |
| hamp489.rpf | Dickey-Fuller tests w/o serially correlated residuals | Basic |
| hamp511.rpf | Phillips-Perron tests for unit roots | Intermediate |
| hamp528.rpf | Augmented Dickey-Fuller tests | Intermediate |
| hamp582.rpf | Cointegration: Regression based tests | Intermediate |
| hamp599.rpf | Cointegration: Regression based tests of hypotheses | Intermediate |
| hamp647.rpf | Cointegration:Likelihood based estimation and testing | Advanced |
| hamp660.rpf | ARCH/GARCH models | Intermediate |
| hamp697.rpf | Markov switching model | Intermediate |
