Springer Examples (1st ed)

Examples for the first 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.

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 2.1 Stochastic and deterministic trends Rcode-2-1.R
Rcode 2.2 ARMA versus ARFIMA model Rcode-2-2.R
Rcode 2.3 R/S-statistic Rcode-2-3.R
Rcode 2.4 Geweke and Porter-Hudak method Rcode-2-4.R
Rcode 3.1 Spurious Regression Rcode-3-1.R
Rcode 3.2 Engle-Granger procedure with generated data Rcode-3-2.R
Rcode 3.3 Johansen Method with artificially generated data Rcode-3.3.R
Rcode 4.1 ADF-test: Integration order for consumption in the United Kingdom Rcode-4-1.R
Rcode 4.2 PP-test: Integration order for consumption in the United Kingdom Rcode-4-2.R
Rcode 4.3 ERS-tests: Integration order for real GNP in the United States Rcode-4-3.R
Rcode 4.4 SP-test: Integration order for nominal GNP in the United States Rcode-4-4.R
Rcode 4.5 KPSS-test: Integration order for interest rate and nominal wages in the United States Rcode-4-5.R
Rcode 5.1 Random walk with drift and structural break Rcode-5-1.R
Rcode 5.2 Unit roots and structural break: Zivot and Andrews test Rcode-5-2.R
Rcode 5.3 HEGY-test for seasonal unit roots Rcode-5-3.R
Rcode 6.1 Engle-Granger: Long-run relationship of consumption, income and wealth in the United Kingdom Rcode-6-1.R
Rcode 6.2 Engle-Granger: Error-correction models for consumption and income functions in the United Kingdom Rcode-6-2.R
Rcode 6.3 Phillips-Ouliaris: Long-run relationship of consumption, income and wealth in the United Kingdom Rcode-6-3.R
Rcode 7.1 Johansen and Juselius: Unrestricted Cointegration Rcode-7-1.R
Rcode 7.2 H1 model: Transformations and cointegration relations Rcode-7-2.R
Rcode 7.3 H4 model: Testing for weak exogenity Rcode-7-3.R
Rcode 7.4 H3 model: Testing for restrictions in all cointegration relations Rcode-7-4.R
Rcode 7.5 H3 model: Testing for partly known cointegration relations Rcode-7-5.R
Rcode 7.6 H6 model: Testing of restrictions on r1 cointegration relations Rcode-7-6.R
Rcode 7.7 H1 model: Inference on cointegration rank for Danish money demand function allowing for structural shift Rcode-7-7.R
Rcode 8.1 Time Series objects of class ts Rcode-8-1.R