The attached zip has most of the examples from Helmut Lütkepohl's,
New Introduction to Multiple Time Series, 1995, Springer-Verlag. Most of the examples here are for various aspects of VAR analysis. Many of the examples do diagnostics of various types on a VAR with multivariate tests for normality, autocorrelation and stability.
Example | Description | RATS Level |
lutkp077.rpf | VAR; roots of companion matrix | Intermediate |
lutkp087.rpf | VAR; Yule-Walker estimates | Basic |
lutkp098.rpf | VAR; forecasts | Basic |
lutkp118.rpf | VAR; error bands with delta method | Intermediate |
lutkp129.rpf | VAR; error bands with bootstrapping | Advanced |
lutkp145.rpf | VAR; lag length selection | Basic |
lutkp148.rpf | VAR; lag length selection | Basic |
lutkp173.rpf | VAR; test for white noise | Advanced |
lutkp181.rpf | VAR; test for Normality | Basic |
lutkp184.rpf | VAR; Chow test | Intermediate |
lutkp188.rpf | VAR; multiple step forecast test | Intermediate |
lutkp217.rpf | VAR; restricted equations | Advanced |
lutkp227.rpf | VAR; Bayesian prior, zero mean | Advanced |
lutkp312.rpf | VAR;Bayesian with unit root priors | Advanced |
lutkp477.rpf | VARMA model | Advanced |
lutkp497.rpf | AR model | Intermediate |
lutkp602.rpf | VAR; sample split test | Intermediate |
lutkp608.rpf | VAR; sample split test | Intermediate |
lutkp637.rpf | Time-varying coefficients model | Advanced |