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This page provides links to example programs for:
Econometric Modelling with Time Series: Specification, Estimation and Testing ,

The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to run any of the examples, you should download the Zip file. There may also be zip files for earlier editions of the text. If there are, those most likely are for earlier versions of the RATS software.

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Note that all of the textbook example, data, and procedure files currently available on our website are also included on the distribution (CD or download) with the current release of the RATS software.


File Name Description RATS Level
mhh.zipZip file with all programs
mhhp074.rpfPortfolio diversificationIntermediate
mhhp109.rpfStationary distribution of the CIR ModelIntermediate
mhhp183.rpfLinear Taylor RuleBasic
mhhp184.rpfKlein's Model IBasic
mhhp195.rpfSimulated exponential modelsBasic
mhhp204.rpfEstimating a non-linear consumption functionBasic
mhhp208.rpfTesting a non-linear consumption functionBasic
mhhp214.rpfVuong non-nested testBasic
mhhp215.rpfRobust estimation of CAPMBasic
mhhp229.rpfSimulated regression with autocorrelationBasic
mhhp234.rpfDynamic model of U.S. InvestmentBasic
mhhp253.rpfAutocorrelation Test in U.S. Investment ModelBasic
mhhp294.rpfHeteroscedasticity: The Great ModerationIntermediate
mhhp335.rpfHAC Standard Errors: Forward Market Efficiency RevisitedIntermediate
mhhp342.rpfMaximum Likelihood: CKLS ModelIntermediate
mhhp373.rpfGMM: Estimating the C-CAPMIntermediate
mhhp381.rpfGMM: CKLS ModelIntermediate
mhhp400.rpfKernel Density: FTSE All Ordinaries IndexBasic
mhhp468.rpfProperties of US Macro DataAdvanced
mhhp492.rpfVAR Estimates of a U.S. Macroeconomic ModelIntermediate
mhhp502.rpfCampbell-Shiller modelIntermediate
mhhp528.rpfVAR: SVAR with short-run restrictionsIntermediate
mhhp535.rpfVAR: Peersman's Model of Oil Price ShocksIntermediate
mhhp537.rpfVAR: Portfolio SVAR Model of AustraliaIntermediate
mhhp545.rpfTerm structure of US interest ratesBasic
mhhp563.rpfOne-factor model of the Term Structure (ML)Advanced
mhhp564.rpfAn F-VAR Model of the Term Structure (PC)Advanced
mhhp567.rpfHodrick-Prescott filterBasic
mhhp584.rpfNelson-Plosser dataIntermediate
mhhp625.rpfEffects of Different Detrending Methods on GDPBasic
mhhp635.rpfUnit Root Test of GDPBasic
mhhp646.rpfUnit Root Test with Known BreakIntermediate
mhhp651.rpfUnit Root Test with Unknown BreakAdvanced
mhhp663.rpfCointegration: Permanent Income HypothesisBasic
mhhp673.rpfCointegration: Term structureIntermediate
mhhp679.rpfCointegration: Term Structure, ML estimatesBasic
mhhp680.rpfCointegration: Permanent Income HypothesisBasic
mhhp682.rpfCointegration: Normalizing a Trivariate Term Structure modelIntermediate
mhhp691.rpfCointegration: Term structureBasic
mhhp693.rpfCointegration: Testing for the Spread in the Term StructureIntermediate
mhhp737.rpfMarkov Switching Model of the Business CycleAdvanced
mhhp744.rpfLSTAR Model of U.S. UnemploymentIntermediate
mhhp745.rpfBivariate Threshold ModelsIntermediate
mhhp766.rpfStatistics on series with GARCH variancesBasic
mhhp769.rpfARCH testsBasic
mhhp772.rpfUnivariate GARCH modelsBasic
mhhp775.rpfUnivariate GARCH with variance shift dummiesBasic
mhhp778.rpfGARCH-M with power transformation on "M" termIntermediate
mhhp790.rpfBEKK-GARCH modelsBasic
mhhp798.rpfDCC and DECO GARCH modelsAdvanced
mhhp799.rpfSVAR-GARCHAdvanced