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

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  

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(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.