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This page provides links to example programs for:
Econometrics , by Fumio Hayashi, (2000, Princeton University Press)

This textbook is also available for purchase from Estima

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 run any of the examples, you should download the Zip file. There may also be zip files for earlier editions of the text. If there are, those most likely are for earlier versions of the RATS software.

If you prefer just to view the code for a particular example, just click on the example name. 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 distribution (CD or download) with the current release of the RATS software.

File Name Description RATS Level
hayashi_1.zipZip file with all programs, data, procedure files
hayp076.rpfLinear regressions, restricted regressions, Chow testsIntermediate
hayp081.rpfMonte Carlo examination of a linear regressionIntermediate
hayp176.rpfEfficient markets hypothesis: dealing with heteroscedasticityIntermediate
hayp182.rpfWhite test, weighted least squaresBasic
hayp183.rpfMonte Carlo examination of serial correlation testsIntermediate
hayp250.rpf2SLS, single equation GMMIntermediate
hayp317.rpfEstimation of system of factor demandsIntermediate
hayp358.rpfPanel dataIntermediate
hayp438.rpfEfficient markets hypothesis: dealing with serial correlationAdvanced
hayp440.rpfEfficient markets hypothesisBasic
hayp611.rpfMonte Carlo examination of unit root testsIntermediate
hayp613.rpfUnit root testsIntermediate