TSTSP.ZIP Download all the time series TSP examples as a single zip file

ARCHF download (July-94) forecasting h(t) from GARCH model (not GARCH-M though)

ARMAX download (May-95) regression with MA(1) error term, from Harvey EATS book

ARMAX7 download (Sept-95) ARMAX(12,2) estimation with 7 rhs variables

ARMAXC download (Sept-95) ARMA(12,2) estimation using Gauss-Newton

BDE download (Nov-92) Brown-Durbin-Evans CUSUM and CUSUMSQ tests (4.2B does this)

HPTREND download (Feb-94) Hodrick-Prescott trend decomposition

JOH1 download (Jan-94) Johansen-Juselius (1990) results for Finnish data

KALVT download (Dec-92) bootstraps the VT matrix for Kalman Filter

KWUNIT download (Jan-96,Oct-93) Kwiatkowski, et al unit root test (null is stationarity)

MARCH2 download (Jan-93) Multivariate ARCH with 2 equations (not GARCH)

MARCH3 download (Sept-92) Multivariate ARCH with 3 equations

MARCH4 download (Sept-92) Multivariate ARCH with 4 equations

PDLFARSU download (Apr-95) PDL with FAR restriction and coefs sum to 1

PDLFS143 download (Apr-95) same, with different number of lags and degree

PDLPANEL download (Sept-94) PDL in PANEL data

PDLSQ download (Jan-93) PDL for nonlinear or multiequation estimation

PDLSQAR2 download (Oct-92) PDL and AR(2) errors, using LSQ

PDLSQFAR download (Jan-93) PDL with FAR restriction, for NL/multiequation

PDLSUM1 download (Nov-94) PDL with restriction that coefficients sum to 1

VARSIML download (Aug-94), rev. (Jun-98) create different impulse response from VAR with SIML