Econometric Modelling with Time Series

Specification, Estimation and Testing

PART TWO: Regression Models

Chapter 7: Autocorrelated Regression Models

(1) Simulating a Regression Model with Autocorrelation

auto_simulate.g
auto_simulate.m
auto_simulate.R

(2) A Dynamic Model of United States Investment

auto_invest.g auto_invest.m auto_invest.R auto_test.g auto_test.m auto_test.R

usinvest.dat usinvest.mat usinvest.txt

(3) Asymptotic Distribution

auto_distribution.g
auto_distribution.m
auto_distribution.R

(4) Efficiency of the Sample Mean

auto_mean.g
auto_mean.m
auto_mean.R

(5) Relative Efficiency of Maximum Likelihood and Least Squares

auto_efficiency.g
auto_efficiency.m
auto_efficiency.R

(6) Hatanaka Estimator

auto_hatanaka.g
auto_hatanaka.m
auto_hatanaka.R

(7) Systems with Autocorrelation

auto_system.g
auto_system.m
auto_system.R
system.mat
system.dat

(8) Illiquidity and Hedge Funds

auto_hedge.g auto_hedge.m auto_hedge.R

hedge.mat hedge.Rdata hedge.xls

(9) Beach-MacKinnon Monte Carlo Study

auto_beachmack.g
auto_beachmack.m
auto_beachmack.R