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This page provides links to example programs for:
Applied Econometric Time Series , 4e , by Walter Enders (2015, Wiley)

This textbook is also available for purchase from Estima

The Zip file listed first in the table below includes all the sample programs, data files (when available), and, in some cases, files containing RATS procedures used by the examples. If you want to run any of the examples, you should download the Zip file. There may also be zip files for earlier editions of the text. If there are, those most likely are for earlier versions of the RATS software.

If you prefer just to view the code for a particular example, just click on the example name. Again, if you actually want to run these, you should download the zip file listed first to get the required data and procedure files.

Note that all of the textbook example, data, and procedure files currently available on our website are also included on the distribution (CD or download) with the current release of the RATS software.

File Name Description RATS Level
enders4p056.rpfMoving average representation (theoretical)Intermediate
enders4p070.rpfARMA modelsIntermediate
enders4p088.rpfARMA models, forecastingAdvanced
enders4p098.rpfSeasonal ARMA modelsBasic
enders4p103.rpfARMA models;Chow testBasic
enders4p106.rpfRecursive least squares;threshold regressionIntermediate
enders4p111.rpfCombining forecastsAdvanced
enders4p134.rpfGARCH modelIntermediate
enders4p136.rpfGARCH model with variance shiftIntermediate
enders4p137.rpfARMA-GARCH model; IGARCH modelIntermediate
enders4p158.rpfGARCH; IGARCH; EGARCH; GARCH-M modelsIntermediate
enders4p169.rpfMultivariate GARCHIntermediate
enders4p173.rpfGARCH model, volatility impulse responseAdvanced
enders4p181.rpfDeterministic trend modelsBasic
enders4p186.rpfSimulation of various trend modelsBasic
enders4p210.rpfUnit root testBasic
enders4p211.rpfUnit root testIntermediate
enders4p219.rpfUnit root tests/lag lengthIntermediate
enders4p226.rpfSeasonal unit root test (HEGY)Intermediate
enders4p233.rpfUnit root test with breaksBasic
enders4p245.rpfPanel unit root testIntermediate
enders4p251.rpfBeveridge-Nelson decompositionIntermediate
enders4p252.rpfBeveridge-Nelson decompositionIntermediate
enders4p254.rpfHodrick-Prescott filterBasic
enders4p260.rpfGraph of dataBasic
enders4p278.rpfTransfer function model; impulse response to exogenous variableIntermediate
enders4p309.rpfVector AutoregressionIntermediate
enders4p322.rpfStructural VAR (SVAR)Intermediate
enders4p364.rpfCointegration tests; Enders-Granger testsIntermediate
enders4p375.rpfSimulation of cointegrated modelsIntermediate
enders4p389.rpfCointegration, estimation by MLAdvanced
enders4p397.rpfCointegration; Enders-Granger; MLAdvanced
enders4p422.rpfSimulation of models with breaksBasic
enders4p432.rpfStructural breaks in linear modelBasic
enders4p436.rpfThreshold modelIntermediate
enders4p446.rpfNeural networkBasic
enders4p449.rpfSTAR modelAdvanced
enders4p457.rpfTAR model, Generalized Impulse ResponseAdvanced
enders4p458.rpfTAR model, Bootstrap forecastsAdvanced
enders4p464.rpfThreshold unit root test; Enders-Granger testAdvanced
enders4p468.rpfStructural breaks in linear modelBasic
enders4p470.rpfStructural breaks in linear modelBasic
enders4p472.rpfLSTAR model vs Structural BreaksIntermediate