Dynamic Econometrics for Empirical Macroeconomic Modelling

Data sets , extra exercises and corrections to the book Dynamic Econometrics for Empirical Macroeconomic Modelling .

Data sets

All  linked  data files are compressed files and therefore have extension zip.  They contain data sets, some times in more than one file format (eg PcGive data bank (also easy to use in Eviews), Stata, and Microsoft Excel). Extract the contents after download of the zipped files and use the desired file format.

Chapter 1: dgp_determandstoch (cobweb model series), Fulton (New York fish market data)

Chapter 2: NORPCMa (Norwegian inflation and unemployment, estimation of natural rate)

Chapter 3: SimdataAR2 (code to generate 2nd order dynamics)

Chapter 4:  Fulton (New York fish market data)

Chapter 5:  dgp_determandstoch (cobweb model series),  Fulton (New York fish market data)

Chapter 6:  NORPCMb (Norwegian inflation and unemployment, ADL), RLandRNB_final_modelCH6 (code for interest rate transmission model in Ch. 4.8), NAMdataMay17 (data set for interest rate transmisson)

Chapter 7: pcnaive_VARbyCond_d  (VAR-EX series) ,  SEMbias_data (simultaneous equations bias),  Fulton (New York fish market data)

Chapter 8:  NORPCMb 

Chapter 9: Simdata_trend_RW (generated non-stationary series)

Chapter 10: ECM-test_SpuriousADLmodel (data for ECM and trace tests of no relationship), weakly_cointegrated_ADLmodel_d (data for CVAR)

Chapter 11: DGPisNullModel_Zvariables_are_correlated_d ,  DGPisADL_Zvariables_are_correlated_d , NAMdataMay17