Exercises

Home Organisation of the Book Computation Computer Code for Exercises Figures and Tables Meet the Authors Errata

2. Properties of Maximum Likelihood Estimators

5. Linear Regression Models 6. Nonlinear Regression Models 7. Autocorrelated Regression Models 8. Heteroskedastic Regression Models

PART THREE:
Other Estimation Methods

9. Quasi-Maximum Likelihood Estimation 10. Generalised Method of Moments 11. Nonparametric Estimation 12. Estimation by Simulation

PART FOUR: Stationary Time Series

13. Linear Time Series Models 14. Structural Vector Autoregressions 15. Latent Factor Models

PART FIVE:
Non-stationary Time Series

16. Nonstationary Distribution Theory 17. Unit Root Testing 18. Cointegration

PART SIX: Nonlinear Time Series

19. Nonlinearities in Mean 20. Nonlinearities in Variance 21. Discrete Time Series Models

The code used in these exercises requires the Matlab and R utility functions. These can be found in the full zip file on the Computation page or they can be download separately here . Once downloaded ensure that the functions can be found by MATLAB or R by placing them in the correct folders or by redefining the path.

Matlab functions

R functions

EMTSUtil.R is a set of common utility functions used by some of the R routines.

Code Disclaimer Information

Note that the computer code is provided for illustrative purposes only and although care has been taken to ensure that it works properly, it has not been thoroughly tested under all conditions and on all platforms. The authors and Cambridge University Press cannot guarantee or imply reliability, serviceability, or function of this computer code. All code is therefore provided `as is' without any warranties of any kind.

Econometric Modelling with Time Series

Specification, Estimation and Testing

Exercises