Econometric Modelling with Time Series

Specification, Estimation and Testing

PART FOUR: Stationary Time Series

Chapter 13: Linear Time Series Models

(1) Time Series Properties of Macroeconomic Variables

stsm_properties.g stsm_properties.m stsm_properties.R

sims_data.xlsx sims_data.dat sims_data.mat

(2) Simulating ARMA Models

stsm_simulate.g stsm_simulate.m stsm_simulate.R

(3) Stationarity Properties of Macroeconomic Variables

stsm_roots.g stsm_roots.m stsm_roots.R

sims_data.xlsx sims_data.dat sims_data.mat

(4) ARMA Models for Macroeconomic Variables

stsm_arma.g stsm_arma.m stsm_arma.R

sims_data.dat sims_data.mat

(5) The Gauss-Newton Algorithm

stsm_gaussn.g
stsm_gaussn.m
stsm_gaussn.R

(6) Properties of LM Tests of ARMA Models

stsm_lm.g
stsm_lm.m
stsm_lm.R

(7) Estimating and Testing VARMA Models

stsm_varma.g
stsm_varma.m
stsm_varma.R

(8) Testing VARMA Models for Nonlinearities

stsm_varmab.g
stsm_varmab.m
stsm_varmab.R

(9) Finite Sample Distribution

stsm_finite.g
stsm_finite.m
stsm_finite.R

(10) Lag Length Determination

stsm_laglength.g
stsm_laglength.m
stsm_laglength.R

(11) Granger Causality

stsm_granger.g stsm_granger.m stsm_granger.R

sims_data.xlsx sims_data.dat sims_data.mat

(12) Impulse Responses and Variance Decompositions

stsm_recursive.g stsm_recursive.m stsm_recursive.R

sims_data.xls sims_data.dat sims_data.mat

(13) Diebold-Yilmaz Spillover Index

stsm_spillover.g stsm_spillover.m stsm_spillover.R

diebold_yilmaz.xls diebold_yilmaz.mat diebold_yilmaz.Rdata

(14) Campbell-Shiller Present Value Model

stsm_camshiller.g stsm_camshiller.m stsm_camshiller.R

campbell_shiller.dat campbell_shiller.mat campbell_shiller.Rdata