Econometric Modelling with Time Series

Specification, Estimation and Testing

PART ONE: Maximum Likelihood

Chapter 1: The Maximum Likelihood Principle

(1) Sampling Data

basic_sample.g
basic_sample.m
basic_sample.R

(2) Poisson Distribution

basic_poisson.g
basic_poisson.m
basic_poisson.R

(3) Exponential Distribution

basic_exp.g
basic_exp.m
basic_exp.R

(4) Normal Distribution

basic_normal.g basic_normal.m basic_normal.R

basic_normal_like.g basic_normal_like.m basic_normal_like.R

(5) A Model of the Number of Strikes

basic_count.g basic_count.m basic_count.R

strike.dat strike.mat strike.RData

(6) A Model of the Duration of Strikes

basic_strike.g basic_strike.m basic_strike.R

strike.dat strike.mat strike.Rdata

(7) Asset Prices

basic_assetprices.g basic_assetprices.m basic_assetprices.R

assetprices.xls assetprices.mat assetprices.RData

(8) Stationary Distribution of the Vasicek Model

basic_stationary.g basic_stationary.m basic_stationary.R

eurodata.dat eurodata.mat eurodata.RData

(9) Transitional Distribution of the Vasicek Model

basic_transitional.g basic_transitional.m basic_transitional.R

eurodata.dat eurodata.mat eurodata.RData