Chapter 11: Vector Parametric Models and Methods
Data Sets
Chapter-11-data.zip
Con_inc.dat
Data-application.zip
Data-example_11-6.zip
Enlh1.dat
Enlh3.dat
Enlh6.dat
Ice.dat
Intraday.dat
Mhsets-LaMarche.zip
Treering.dat
Chapter-11-data.zip
Con_inc.dat
Data-application.zip
Data-example_11-6.zip
Enlh1.dat
Enlh3.dat
Enlh6.dat
Ice.dat
Intraday.dat
Mhsets-LaMarche.zip
Treering.dat
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Computer Codes
Examples: Example_11-1.zip Example_11-2.zip Example_11-3.zip Example_11-4.zip Example_11-5.zip Example_11-6.zip Application.zip Exercises: Exercise_11-5c.zip Exercise_11-6.zip Miscellanea: Appendix_11A.zip MTARfor.f Quantile-residuals.zip Robust-VSETAR.zip TEVCM.zip V-ARasMA-asQGARCH.zip Files Figures-Chapter-11-exercises.zip Figures-Chapter-11-exercises-jpg.zip |
(M code) (M code) (M code) (M code) (F code) (F & M code) (F code and renamed exe files) (R code) (R code) (M code) (F code) (M code) (M code) (F code) (RATS code) (EPS format) (JPEG format) |
Links to Websites with Supplementary Material
- R codes for testing linearity against various vector LSTAR models can be found in the Appendix of Yukai Yang's PhD thesis.
- Berner Larsen (A threshold cointegration analysis of Norwegian interest rates, 2012, Appendix B) generalizes the source code of the Hansen-Seo SupLM test in the R-tsDyn package to the case of three regimes under the alternative hypothesis. New: TVECM_HSTest (R code) and TVECM_XHSTest (R code).
Note (New): The program ST.R calculates the stationarity condition for a given multivariate BL model with the coefficient of X_{t-i}*e(t-j) equal zero if i<j. See also the MATLAB codes in the file Example_11-1.zip for checking the invertibility and stationarity conditions.