This page provides links to selected example programs (see list below) and sample data sets for Econometrics, by Fumio Hayashi, (2000, Princeton University Press). See our Econometrics Textbooks page for details on this book, which is available for purchase from Estima.
The Zip file linked below includes all the sample programs, data files, and several useful procedures. If you want to actually run any of the examples, you should download the Zip file:
Below are the list of examples for which we have written example programs. You can view (and save) any of these by simply clicking on the example name. The files are referenced by page number (e.g., hayp076.prg refers to an example beginning on page 76). Again, if you actually want to run these, you should download the zip file listed above to get the required data and procedure files.
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Linear regressions, restricted regressions, Chow tests |
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Monte Carlo examination of a linear regression |
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Efficient markets hypothesis: dealing with heteroscedasticity |
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White test, weighted least squares |
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Monte Carlo examination of serial correlation tests |
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2SLS, single equation GMM |
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Estimation of system of factor demands |
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Panel data |
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Efficient markets hypothesis: dealing with serial correlation |
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Efficient markets hypothesis |
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Monte Carlo examination of unit root tests |
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Unit root tests |
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Cointegration |