Econometric Modelling with Time Series

Specification, Estimation and Testing

PART FIVE: Non-stationary Time Series

Chapter 18: Cointegration

(1) Graphical Analysis of Long-Run Economic Theories

coint_lrgraphs.g coint_lrgraphs.m coint_lrgraphs.R

permincome.xlsx permincome.dat permincome.mat moneydemand.xlsx moneydemand.dat moneydemand.mat usmacro.xlsx usmacro.dat usmacro.mat

(2) Time Series Properties of a VECM

coint_ecmsim.g
coint_ecmsim.m
coint_ecmsim.R

(3) Term Structure of Interest Rates

coint_bivterm.g coint_bivterm.m coint_bivterm.R coint_triterm.g coint_triterm.m coint_triterm.R

usmacro.dat usmacro.xlsx usmacro.mat

(4) Permanent Income Hypothesis

coint_permincome.g coint_permincome.m coint_permincome.R

permincome.xlsx permincome.dat permincome.mat

(5) Simulating the Eigenvalue Distribution

coint_simevals.g
coint_simevals.m
coint_simevals.R

(6) Computing the Quantiles of the Trace Statistic by Simulation

coint_tracecv.g
coint_tracecv.m
coint_tracecv.R

(7) Demand for Money

coint_impulse.g coint_impulse.m coint_impulse.R

moneydemand.xlsx moneydemand.mat moneydemand.Rdata

(8) Information Criteria Test of Cointegration

coint_ic.g
coint_ic.m
coint_ic.R

(9) Heteroskedasticity and the Distribution of the Trace Statistic

coint_hetero.g
coint_hetero.m
coint_hetero.R

(10) Likelihood Ratio Test of a Deterministic Time Trends

coint_trend.g
coint_trend.m
coint_trend.R

(11) Identification of VECMs

coint_ident.g
coint_ident.m
coint_ident.R

(12) Exogeneity Testing

coint_exogeneity.g
coint_exogeneity.m
coint_exogeneity.R

(13) Term Structure of Interest Rates with Level Effects

coint_level.g coint_level.m coint_level.R

usmacro.xlsx usmacro.dat usmacro.mat

(14) Cointegrating Regression

coint_reg.g
coint_reg.m
coint_reg.R