Econometric Modelling with Time Series

Specification, Estimation and Testing

PART FIVE: Non-stationary Time Series

Chapter 16: Nonstationary Distribution Theory

(1) Nelson-Plosser Data

nts_nelplos.g nts_nelplos.m nts_nelplos.R

nelson_plosser.dat nelson_plosser.mat nelson_plosser.Rdata

(2) Integration

nts_integration.g
nts_integration.m
nts_integration.R

(3) Properties of Moments for Alternative Models

nts_moment.g
nts_moment.m
nts_moment.R

(4) Sampling Distribution of the AR(1) Least Squares Estimator

nts_distribution.g
nts_distribution.m
nts_distribution.R

(5) Demonstrating the Functional Central Limit Theorem

nts_yts.g
nts_yts.m
nts_yts.R
nts_fclt.g
nts_fclt.m
nts_fclt.R

(6) Demonstrating the Continuous Mapping Theorem

nts_cmt.g
nts_cmt.m
nts_cmt.R

(7) Simulating the Distribution of Stochastic Integrals

nts_stochint.g
nts_stochint.m
nts_stochint.R

(8) Simulating a Mixed Normal Distribution

nts_mixednormal.g
nts_mixednormal.m
nts_mixednormal.R

(9) Spurious Regression Problem

nts_spurious1.g
nts_spurious1.m
nts_spurious1.R
nts_spurious2.g
nts_spurious2.m
nts_spurious2.R

(10) Trend Estimation in the Presence of a Random Walk

nts_trend.g
nts_trend.m
nts_trend.R