Econometric Modelling with Time Series

Specification, Estimation and Testing

PART TWO: Regression Models

Chapter 6: Nonlinear Regression Models

(1) Simulating Exponential Models

nls_simulate.g
nls_simulate.m
nls_simulate.R

(2) Estimating the Exponential Model by Maximum Likelihood

nls_exponential.g
nls_exponential.m
nls_exponential.R
nls_expdata.dat

(3) Estimating the Exponential Model by Gauss-Newton

nls_exponential_gn.g
nls_exponential_gn.m
nls_exponential_gn.R

(4) Nonlinear Consumption Function

nls_conest.g nls_conest.m nls_conest.R nls_contest.g nls_contest.m nls_contest.R

usdata.txt USdata.mat USdata.Rdata

(5) Nonlinear Regression 1

nls_regression1.g
nls_regression1.m
nls_regression1.R

(6) Nonlinear Regression 2

nls_regression2.g
nls_regression2.m
nls_regression2.R

(7) Testing for a Liquidity Trap

nls_liquiditytrap.g nls_liquiditytrap.m nls_liquiditytrap.R

us_liquiditytrap.xlsx us_liquiditytrap.mat us_liquiditytrap.Rdata

(8) Vuong’s Non-nested Test of Money Demand

nls_money.g nls_money.m nls_money.R

moneydemand.xls moneydemand.xlsx moneydemand.mat moneydemand.Rdata

(9) Robust Estimation of the CAPM

nls_capm.g
nls_capm.m
nls_capm.R

(10) Stochastic Frontier Model

nls_frontier.g
nls_frontier.m
nls_frontier.R