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 |