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 |