Econometric Modelling with Time Series

Specification, Estimation and Testing

PART TWO: Regression Models

Chapter 5: Linear Regression Models

(1) Simulating a Simultaneous System

linear_simulation.g
linear_simulation.m
linear_simulation.R

(2) ML Estimation of a Regression Model

linear_estimate.g
linear_estimate.m
linear_estimate.R

(3) FIML Estimation of a Structural Model

linear_fiml.g
linear_fiml.m
linear_fiml.R
linear_fimldata.dat

(4) Weak Instruments

linear_weak.g
linear_weak.m
linear_weak.R

(5) Regression Model with Gamma Disturbances

linear_gamma.g
linear_gamma.m
linear_gamma.R

(6) Relationship Between FIML and IV Estimators

linear_iv.g
linear_iv.m
linear_iv.R

(7) Recursive Structural Models

linear_recursive.g
linear_recursive.m
linear_recursive.R

(8) Seemingly Unrelated Regression

linear_sur.g
linear_sur.m
linear_sur.R

(9) Linear Taylor Rule

linear_taylor.g linear_taylor.m linear_taylor.R

taylor.dat taylor.mat taylor.Rdata

(10) Klein’s Macroeconomic Model of the United States

linear_klein.g linear_klein.m linear_klein.R

klein.dat