This page provides links to example programs for A Guide to Modern Econometrics, by Marno Verbeek (2004, Wiley).
Use the menu below to view the examples from a different textbook:
The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to actually run any of the examples, you should download the Zip file.
If you prefer just to view the code for a particular example, just click on the example name (the files are referenced by page number). Again, if you actually want to run these, you should download the zip file listed first to get the required data and procedure files.
Note that all of the textbook example, data, and procedure files currently available on our website are also included on the CD with the current release of the RATS software.
| File Name | Description |
| verbeek.zip | Zip file with all programs, data, procedure files |
| verbeek_pre700.zip | Zip file with older versions of files (pre Version 7.0) |
| verp020.prg | Linear regression |
| verp040.prg | Linear regression: CAPM |
| verp065.prg | Linear regression: hedonic price function |
| verp068.prg | Linear regression: linear vs log-linear |
| verp077.prg | Data setup for exercise |
| verp092.prg | Heteroscedasticity: testing and estimation |
| verp103.prg | Serial correlation: testing and estimation |
| verp112.prg | Serial correlation: overlapping samples |
| verp137.prg | Instrumental variables |
| verp154.prg | GMM |
| verp197.prg | LPM, logit, probit |
| verp205.prg | Estimation with interval data |
| verp215.prg | Count data models |
| verp222.prg | Tobit models |
| verp274.prg | Unit root testing |
| verp276.prg | Unit root testing |
| verp286.prg | ARIMA models |
| verp293.prg | ARIMA models for the term structure |
| verp303.prg | ARCH/GARCH models |
| verp319.prg | Cointegration |
| verp331.prg | Cointegration |
| verp333.prg | Cointegration |
| verp358.prg | Panel data estimation; fixed and random effects |