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Economics 584
Time Series Econometrics

Winter 1999

Homework and Computer Labs

Last updated: March 9, 1999

Assignment

Programs

Data

• 584lab1.pdf. ARMA estimation of detrended log real gdp

• ARPROCS.G: Procedures to compute AR companion matrix, impulse response function from AR model and the eigenvalues of the AR companion matrix F. This program will be illustrated in the Friday computer lab.
• 584hw1b.txt: Another GAUSS program, more detailed than ARPROCS.G, that describes the simulation of a number of AR processes.

• Postwar quarterly real GDP.(Eviews .db file)

• 584lab299.pdf. Monte Carlo Simulation of AR(1) Model.

• simar1.prg. Example GAUSS program to estimate the finite sample distribution of the OLS estimate in a stationary AR(1) model by Monte Carlo methods.

• No data for this lab.

• 584hw399.pdf. Testing for unit roots.
• Optional: KPSS stationarity test

• Wiener.prg. Example GAUSS program to simulate critical values for Dickey-Fuller distribution.
• kpss.prc. GAUSS procedure to compute KPSS statistic.
• ltcrits.prc. GAUSS procedure to compute left-tail critical values.
• rtcrits.prc. GAUSS procedure to compute right-tail critical values.
• econ584.lcg. GAUSS library file containing information on the procedures listed above. To use this library file on a particular machine running GAUSS, copy the .prc files to the directory c:\gauss\src and copy the file econ584.lcg to the directory c:\gauss\lib.
• kpsstest.prg. Example GAUSS program to compute KPSS statistic for a vector of data. This program uses the procedures in the library econ584.
• kpssdist.prg. GAUSS program to simulate KPSS asymptotic critical values. This program uses the procedures in the library econ584.

• IP Industrial production index
• FM1 Nominal M1
• PWFSA Producer price index
• FYGM3 90 day US T-bill rate

• Compute the BN decomposition of log real gdp

• bn.prg: An example GAUSS program to compute the BN decomposition for an AR(1) model fitted to the first difference of log real gdp. The program takes as input the residuals from the estimated AR(1) model computed from EVIEWS.

• Structural Breaks and Unit roots: 584lab499.pdf

• break.prg. An example GAUSS program to simulate data from an AR(1) with a change in mean, to estimate the break date and to test for unit roots.

• No data for this lab.

• VAR models: 584lab5_99.pdf

• No programs for this lab

• Same data as lab 3 above

• Regression with nonstationary variables: 584hw799.pdf

• lab7.prg. GAUSS program to replicate Stock and Watson's Monte Carlo experiment. This is the revised version (3/3/97) and it should work without modifications.

• No data for this lab

• Cointegration: 584lab899.pdf

• No programs for this lab.

• usuks.db. log of monthly US/UK spot rates.
• usukf.db. log of monthly US/UK forward rates.
• usukfp.db. log of monthly US/UK forward premium.