| Example |
Description |
Download |
| Rcode |
Gzipped tarball of examples |
tarball |
| Rcode 1.1 |
Simulation of an AR(1) process with φ = 0.9 |
Rcode-1-1.R |
| Rcode 1.2 |
Estimation of an AR(2) process with φ = 0.6 and φ =
0.28 |
Rcode-1-2.R |
| Rcode 1.3 |
Box-Jenkins: U.S. unemployment rate |
Rcode-1-3.R |
| Rcode 1.4 |
Box-Jenkins: Predictions of the U.S. unemployment rate |
Rcode-1-4.R |
| Rcode 2.1 |
Simulation of VAR(2)-process |
Rcode-2-1.R |
| Rcode 2.2 |
Diagnostic tests of VAR(2)-process |
Rcode-2-2.R |
| Rcode 2.3 |
Empirical fluctuation processes |
Rcode-2-3.R |
| Rcode 2.4 |
Causality analysis of VAR(2)-process |
Rcode-2-4.R |
| Rcode 2.5 |
Forecasts of VAR-process |
Rcode-2-5.R |
| Rcode 2.6 |
IRA of VAR-process |
Rcode-2-6.R |
| Rcode 2.7 |
FEVD of VAR-process |
Rcode-2-7.R |
| Rcode 2.8 |
SVAR: A-model |
Rcode-2-8.R |
| Rcode 2.9 |
SVAR: B-model |
Rcode-2-9.R |
| Rcode 2.10 |
SVAR: Impulse response analysis |
Rcode-2-10.R |
| Rcode 2.11 |
SVAR: Forecast error variance decomposition |
Rcode-2-11.R |
| Rcode 3.1 |
Stochastic and deterministic trends |
Rcode-3-1.R |
| Rcode 3.2 |
ARMA versus ARFIMA model |
Rcode-3-2.R |
| Rcode 3.3 |
R/S-statistic |
Rcode-3-3.R |
| Rcode 3.4 |
Geweke and Porter-Hudak method |
Rcode-3-4.R |
| Rcode 4.1 |
Spurious Regression |
Rcode-4-1.R |
| Rcode 4.2 |
Engle-Granger procedure with generated data |
Rcode-4-2.R |
| Rcode 4.3 |
Johansen Method with artificially generated data |
Rcode-4-3.R |
| Rcode 4.4 |
VECM as VAR in levels |
Rcode-4-4.R |
| Rcode 5.1 |
ADF-test: Integration order for consumption in the United
Kingdom |
Rcode-5-1.R |
| Rcode 5.2 |
PP-test: Integration order for consumption in the United
Kingdom |
Rcode-5-2.R |
| Rcode 5.3 |
ERS-tests: Integration order for real GNP in the United
States |
Rcode-5-3.R |
| Rcode 5.4 |
SP-test: Integration order for nominal GNP in the United
States |
Rcode-5-4.R |
| Rcode 5.5 |
KPSS-test: Integration order for interest rate and nominal
wages in the United States |
Rcode-5-5.R |
| Rcode 6.1 |
Random walk with drift and structural break |
Rcode-6-1.R |
| Rcode 6.2 |
Unit roots and structural break: Zivot and Andrews test |
Rcode-6-2.R |
| Rcode 6.3 |
HEGY-test for seasonal unit roots |
Rcode-6-3.R |
| Rcode 7.1 |
Engle-Granger: Long-run relationship of consumption, income and
wealth in the United Kingdom |
Rcode-7-1.R |
| Rcode 7.2 |
Engle-Granger: Error-correction models for consumption and
income functions in the United Kingdom |
Rcode-7-2.R |
| Rcode 7.3 |
Phillips-Ouliaris: Long-run relationship of consumption, income
and wealth in the United Kingdom |
Rcode-7-3.R |
| Rcode 8.1 |
Johansen and Juselius: Unrestricted Cointegration |
Rcode-8-1.R |
| Rcode 8.2 |
H1 model: Transformations and cointegration relations |
Rcode-8-2.R |
| Rcode 8.3 |
H4 model: Testing for weak exogenity |
Rcode-8-3.R |
| Rcode 8.4 |
H3 model: Testing for restrictions in all cointegration
relations |
Rcode-8-4.R |
| Rcode 8.5 |
H3 model: Testing for partly known cointegration
relations |
Rcode-8-5.R |
| Rcode 8.6 |
H6 model: Testing of restrictions on r1 cointegration
relations |
Rcode-8-6.R |
| Rcode 8.7 |
H1 model: Inference on cointegration rank for Danish money
demand function allowing for structural shift |
Rcode-8-7.R |
| Rcode 8.8 |
Canadian data set: Preliminary analysis |
Rcode-8-8.R |
| Rcode 8.9 |
Canadian data set: ADF-test regressions |
Rcode-8-9.R |
| Rcode 8.10 |
Canada VAR: Lag-order selection |
Rcode-8-10.R |
| Rcode 8.11 |
Diagnostic tests for VAR(p) specifications for Canadian data |
Rcode-8-11.R |
| Rcode 8.12 |
Johansen cointegration tests for Canadian system |
Rcode-8-12.R |
| Rcode 8.13 |
VECM with r=1 and normalization with respect to real wages |
Rcode-8-13.R |
| Rcode 8.14 |
Estimation of SVEC with bootstrapped t statistics |
Rcode-8-14.R |
| Rcode 8.15 |
SVEC: Overidentification test |
Rcode-8-15.R |
| Rcode 8.16 |
SVEC: Impulse response analysis |
Rcode-8-16.R |
| Rcode 8.17 |
Forecast error variance decomposition of Canadian unemployment |
Rcode-8-17.R |