Econometric Modelling with Time Series

Specification, Estimation and Testing

PART TWO: Regression Models

Chapter 8: Heteroskedastic Regression Models

(1) Properties of Heteroskedastic Regression Models

hetero_simulate.g
hetero_simulate.m
hetero_simulate.R

(2) Estimating and Testing Heteroskedastic Models

hetero_estimate.g hetero_estimate.m hetero_estimate.R

hetero_test.g hetero_test.m hetero_test.R

(3) Business Cycles

hetero_g7.g hetero_g7.m hetero_g7.R

G7Data.RData g7Data.xlsx g7_canada.dat g7_france.dat g7_uk.dat g7_us.dat g7_japan.dat g7_italy.dat g7_germany.dat

(4) Testing for Vector Heteroskedasticity

hetero_system.g
hetero_system.m
hetero_system.R

(5) Monetary Policy and Asset Market Volatility

hetero_event.g hetero_event.m hetero_event.R

usasset.mat usasset.dat

(6) Testing for Vector Heteroskedasticity and Autocorrelation

hetero_general.g
hetero_general.m
hetero_general.R

(7) The Great Moderation

hetero_moderation.g
hetero_moderation.m
hetero_moderation.R

(8) Sampling Properties of Heteroskedasticity Estimators

hetero_sampling.g
hetero_sampling.m
hetero_sampling.R

(9) Size and Power Properties of the Wald Heteroskedasticity Test

hetero_power.g
hetero_power.m
hetero_power.R