Example Programs from Econometrics Textbooks

rats 9.0 includes example programs for the worked examples from more than a twenty popular textbooks.
Assuming you have done a standard installation of the program, your main rats directory will include a sub-
directory entitled TextbookExamples.
Within that directory, youll find additional subdirectories for each textbook, based on the name of the author(s).
For example, the directory greene contains the examples for Econometric Analysis, by William H. Greene.
Note that we use hyphens as separators in directory names for books with multiple authors (for example,
johnston-dinardo), and underscores for some directory names that include additional descriptive information
(wooldridge_cross_section).
The names of the individual program files begin with a prefix based on the authors name. For most books,
this is followed by an indication of the page number where the example begins. For example, the program
grnp055.rpf refers to the example in the Greene book which begins on page 55. In most cases, the data files
required to run the programs are also supplied.
Examples are included for the following textbooks.

Econometrics, by Badi H. Baltagi

3rd Edition, (2002, Springer-Verlag). In the directory baltagi_econometrics.

Econometric Analysis of Panel Data, by Badi H. Baltagi

4th Edition, (2008, Wiley). In the directory baltagi_paneldata.

Intro to Time Series and Forecasting, by Brockwell and Davis

2nd Edition (2002, Springer-Verlag). In the directory brockwell-davis.

An Introduction to State Space Time Series Analysis, by Commandeur and Koopman

(2007, Oxford University Press). In the directory commandeur-koopman.

Forecasting Principles and Applications, by Stephen DeLurgio

(1998, Irwin/McGraw-Hill). In the directory delurgio.

Elements of Forecasting, by Francis X. Diebold

3rd Edition, (2004, South-Western). In the directory diebold.

Introduction to Econometrics, by Christopher Dougherty

4th edition (2011, Oxford University Press). In the directory dougherty.

Time Series Analysis by State Space Methods, by Durbin and Koopman

2nd edition (2012, Oxford University Press). In the directory durbin-koopman.

Applied Econometric Time Series, by Walter Enders

3rd edition (2010, Wiley). In the directory enders.

Econometric Analysis, by William H. Greene

7th Edition, (2012, Prentice Hall). In the directory greene.

Basic Econometrics, by Damodar N. Gujarati

4th Edition, (2003, McGraw-Hill). In the directory gujarati.
 RATS 9.0: Textbook Example Programs
Time Series Analysis, by James D. Hamilton
(1994, Princeton University Press). In the directory hamilton.

Forecasting, Structural Time Series Models and the Kalman Filter, by Andrew Harvey
(1989, Cambridge University Press). In the directory harvey.

Econometrics, by Fumio Hayashi

(2000, Princeton University Press). In the directory hayashi.

Principles of Econometrics, by Hill, Griffiths and Lim

3rd Edition, (2008, Wiley). In the directory hill-griffiths-lim.

Econometric Methods, by Johnston and DiNardo

4th Edition, (1996, McGraw-Hill/Irwin). In the directory johnston-dinardo.

State-space Models with Regime Switching, Kim and Nelson

(1999, MIT Press). In the directory kim-nelson.

Bayesian Econometrics, by Gary Koop

(2003, Wiley). In the directory koop_bayesian.

New Introduction to Multiple Time Series Analysis, by Helmut Ltkepohl

(2005, Springer-Verlag). In the directory lutkepohl.

Forecasting: Methods and Applications, by Makridakis, Wheelwright, and Hyndman

3rd Edition, (1998, Wiley). In the directory makridakis-wheelwright-hyndman.

Econometric Modelling with Time Series: Specification, Estimation and Testing, by Martin,
Hurn and Harris
(2013, Cambridge University Press). In the directory martin-hurn-harris

Economic Growth: Theory and Numerical Solution Methods, by Novales, Fernandez and
Ruiz
(2009, Springer-Verlag). In the directory novales-fernandez-ruiz

Econometric Models and Economic Forecasts, by Pindyck and Rubinfeld

4th Edition, (1998, Irwin/McGraw-Hill). In the directory pindyck-rubinfeld.

Introduction to Econometrics, by Stock and Watson

3rd Edition (2011, Pearson). In the directory stock-watson.

Using Econometrics: A Practical Guide, by A. H. Studenmund

6th Edition (2011, Addison-Wesley). In the directory studenmund.

Analysis of Financial Time Series, by Ruey Tsay

3rd Edition (2010, John Wiley and Sons). In the directory tsay.

A Guide to Modern Econometrics, by Marno Verbeek

3rd Edition (2008, John Wiley and Sons). In the directory verbeek.
 RATS 9.0: Textbook Example Programs
Bayesian Forecasting and Dynamic Models, by West and Harrison
2nd edition (1997, Springer). In the directory west-harrison.

Econometric Analysis of Cross Sections and Panel Data, by Jeffrey Wooldridge

2nd Edition (2010, MIT Press). In the directory wooldridge_cross_section.

Introductory Econometrics: A Modern Approach, by Jeffrey Wooldridge

4th Edition (2009, Thomson-South-Western). In the directory wooldridge_introduction.