Econometric Modelling with Time Series

Specification, Estimation and Testing

PART ONE: Maximum Likelihood

Chapter 4: Hypothesis Testing

(1) The Linear Regression Model

test_regress.g
test_regress.m
test_regress.R

(2) The Weibull Distribution

test_weibull.g
test_weibull.m
test_weibull.R

(3) A Gamma Model of Interest Rates

test_interest.g test_interest.m test_interest.R

eurodollar.dat eurodollar.mat eurodollar.Rdata

(4) Simulating the Distribution of the Wald Statistic

test_asymptotic.g
test_asymptotic.m
test_asymptotic.R

(5) Simulating the Size and Power of the Wald Statistic

test_size.g
test_size.m
test_size.R
test_power.g
test_power.m
test_power.R

(6) Exponential Regression Model

test_expreg.g
test_expreg.m
test_expreg.R
test_gammareg.g
test_gammareg.m
test_gammareg.R

(7) Neyman’s Smooth Goodness of Fit Test

test_smooth.g
test_smooth.m
test_smooth.R

(8) A Copula Model of Asset Returns

test_copula.g test_copula.m test_copula.R

apple.csv ford.csv diversify.mat diversify.Rdata