Econometric Modelling with Time Series

Specification, Estimation and Testing

PART SIX: Nonlinear Time Series

Chapter 21: Discrete Time Series Models

(1) Finite Sample Properties of Qualitative Response Estimators

discrete_simulation.g
discrete_simulation.m
discrete_simulation.R

(2) A Probit Model of Monetary Policy

discrete_probit.g discrete_probit.m discrete_probit.R

usmoney.xls usmoney.dat usmoney.mat

(3) An Ordered Probit Model of Monetary Policy

discrete_ordered.g discrete_ordered.m discrete_ordered.R

usmoney.xls usmoney.dat usmoney.mat

(4) Hamiton-Jorda Ordered Probit Model of Monetary Policy

discrete_hamilton_jorda.g discrete_hamilton_jorda.m discrete_hamilton_jorda.R

hamilton_jorda.csv hamilton_jorda.mat hamilton_jorda.Rdata

(5) Simulating the Binomial Thinning Model

discrete_thinning.g
discrete_thinning.m
discrete_thinning.R

(6) Finite Sample Properties of the Binomial Thinning Model

discrete_poissonauto.g
discrete_poissonauto.m
discrete_poissonauto.R

(7) A Duration Model of Strikes

discrete_strike.g discrete_strike.m discrete_strike.R

strike.dat strike.mat

(8) Equivalence of ACD and GARCH Models

discrete_acd.g discrete_acd.m discrete_acd.R

amr_aug1.dat amr_aug1.mat

(9) An ACH Model of United States Airline Trades

discrete_trade.g discrete_trade.m discrete_trade.R

amr_aug1.dat amr_aug1.mat

(10) EMM Estimator of Integer Models

discrete_emm.g
discrete_emm.m
discrete_emm.R