Econometric Modelling with Time Series

Specification, Estimation and Testing

PART THREE: Other Estimation Methods

Chapter 12: Estimation by Simulation

(1) Method of Moments Estimation of a MA(1)

sim_mom.g
sim_mom.m
sim_mom.R

(2) Computing Autocorrelation Coefficients by Simulation

sim_accuracy.g
sim_accuracy.m
sim_accuracy.R

(3) Simulation Estimation of a MA(1)

sim_ma1indirect.g
sim_ma1indirect.m
sim_ma1indirect.R
sim_ma1emm.g
sim_ma1emm.m
sim_ma1emm.R

(4) Over-identification Test of a MA(1)

sim_ma1overid.g
sim_ma1overid.m
sim_ma1overid.R

(5) Simulating a Stochastic Differential Equation

sim_brown.g
sim_brown.m
sim_brown.R

(6) Brownian Motion

sim_brownind.g
sim_brownind.m
sim_brownind.R
sim_brownemm.g
sim_brownemm.m
sim_brownemm.R

(7) Geometric Brownian Motion

sim_geobrind.g
sim_geobrind.m
sim_geobrind.R

(8) Ornstein-Uhlenbeck Process

sim_ouind.g
sim_ouind.m
sim_ouind.R

(9) Business Cycles

sim_bcycle.g sim_bcycle.m sim_bcycle.R sim_stockwatson.g sim_stockwatson.m sim_stockwatson.R

bcycle.dat bcycle.mat bcycle.Rdata