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Examples for the second edition

The table below provides an overview of the available examples. For downloading the files do a right-click with your mouse on the link in the far right column. These R code examples are also contained in the packages urca and vars in the respective subfolders book-ex.

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

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