These provide the code and (most of) the output from the standard example programs—those either described in the manual, or provided outside of the Paper Replications and Textbook examples. The list below is in alphabetical order. The web site has these (and the Paper Replications) organized by subject and/or by any of the authors.


ADAPTIVE.RPF

Estimates a linear regression using an adaptive kernel estimator

AKAIKE.RPF

Demonstrates use of information criteria

AR1.RPF

Demonstrates AR1 instruction

ARELLANO.RPF

Demonstrates Arellano-Bond estimator for dynamic panel model

ARGARCHSIM.RPF

Simulates a univariate GARCH process with an autoregressive mean model.

ARIMA.RPF

Demonstrates BOXJENK instruction, various procedures

ARMAGIBBS.RPF

Demonstrates Gibbs Sampling applied to an ARMA model

AUTOBOX.RPF

Uses @BJDIFF and @GMAUTOFIT to choose a specification for an ARIMA model.

BASICFORECAST.RPF

Demonstrates methods for working with forecasts in a static univariate model.

BETAS.RPF

Computes betas for large number of stocks

BIVARIATEHP.RPF

Estimates a bivariate form of the Hodrick-Prescott filter.

BONDS.RPF

Estimates term structure using non-linear methods

BONDSPLINE.RPF

Estimates term structure with cubic splines

BOOTARMA.RPF

Example of bootstrapping with an ARMA model

BOOTCOINTEGRATION.RPF

Example of bootstrapping with cointegration

BOOTFGLS.RPF

Example of bootstrapping feasible GLS (for heteroscedasticity)

BOOTSIMPLE.RPF

Demonstrates basic bootstrapping techniques

BOOTSPECTRUM.RPF

Demonstrates bootstrapping spectral density estimates

BOOTVAR.RPF

Demonstrates bootstrapping with a VAR

BOOTVECM.RPF

Demonstrates bootstrapping with a VECM

CAGAN.RPF

Demonstrates estimation of a dynamic model using DSGE and DLM.

CANMODEL.RPF

Demonstrates Bayesian VAR selection of prior and estimation for forecasting purposes.

CASSKOOPMANS.RPF

Solves Cass-Koopmans growth model

CAUSAL.RPF

Demonstrates (bivariate) causality tests

CHANKAROLYI.RPF

Estimates CKLS models of the short-term interest rate.

CHOWTEST.RPF

Demonstrates different ways to do a Chow test with known break points.

COINTTST.RPF

Demonstrates cointegration tests

CONDITION.RPF

Demonstrates conditional forecasting

CONSTANT.RPF

Demonstrates various stability tests

CONSUMER.RPF

Demonstrates non-linear systems estimation (NLSYSTEM)

COPULA.RPF

Demonstrates use of a copula as an alternative to a multivariate GARCH model

CUMPDGM.RPF

Demonstrates Durbin’s Cumulated Periodogram test for serial correlation.

CVMODEL.RPF

Demonstrates estimation of structural VAR’s

DISTRIBLAG.RPF

Demonstrates estimation of distributed lags

DLMCYCLE.RPF

Example of state-space model with multiple observables

DLMEXAM1.RPF

Example of Kalman Smoothing

DLMEXAM2.RPF

Example of Kalman filtering and out-of-sample forecasting using a state-space model

DLMEXAM3.RPF

Example of unconditional simulation of a state-space model

DLMEXAM4.RPF

Example of conditional simulation of a state-space model

DLMIRFEXAMPLE.RPF

Example of the use of the @DLMIRF procedure for doing impulse responses in a state-space model.

DSGEHISTORY.RPF

Computes the historical decomposition for a DSGE model.

DSGEKPR.RPF

Example of solution of a non-linear DSGE model through linearization

ECT.RPF

Demonstrates estimation of an vector error correction model

EGARCHBOOTSTRAP.RPF

Demonstrates bootstrapping with an E-GARCH model

EGARCHSIMULATE.RPF

Demonstrates forecasting an E-GARCH model using random simulations

EHLJME2000.RPF

Model specification for Erceg-Henderson-Levin model

EMEXAMPLE.RPF

Demonstrates EM algorithm applied to a "mixture" model

EXAMPLEONE.RPF

Simple example from the Introduction to demonstrate input/output

EXAMPLETHREE.RPF

Example from the Introduction to demonstrate data transformation and linear regressions.

EXAMPLEFOUR.RPF

Example from the Introduction to demonstrate filtering and graphics.

EXAMPLEFIVE.RPF

Example from the Introduction working with cross section data, using SMPL options and scatter (x-y) graphs.

EXPSMOOTH1.RPF

Demonstrates exponential smoothing

EXPSMOOTH2.RPF

Demonstrates exponential smoothing

FRACTINT.RPF

Demonstrates estimation of a model with fractional differencing

FREQDESEASON.RPF

Demonstrates frequency domain deseasonalization

GARCHBACKTEST.RPF

Example of rolling estimates for GARCH model with backtesting for Value At Risk calculations.

GARCHBOOT.RPF

Demonstrates bootstrapping with a GARCH model

GARCHDECO.RPF

Example of GARCH model with Dynamic Equicorrelation (DECO).

GARCHFLUX.RPF

Example of use of fluctuation test for a univariate GARCH model to check for stability.

GARCHGIBBS.RPF

Demonstrates Gibbs sampling with GARCH model

GARCHIMPORT.RPF

Demonstrates importance sampling with GARCH model

GARCHMV.RPF

Demonstrates multivariate GARCH

GARCHMVBOOTSTRAP.RPF

Demonstrates bootstrapping on a multivariate GARCH model

GARCHMVDCCGIBBS.RPF

Demonstrates Gibbs sampling applied to a DCC GARCH model

GARCHMVDCC2.RPF

Demonstrates 2-step DCC estimates

GARCHMVMAX.RPF

Example of estimation of a multivariate GARCH model using MAXIMIZE

GARCHMVSIMULATE.RPF

Example of simulation of a multivariate (DVECH) GARCH process

GARCHSEMIPARAM.RPF

Demonstrates univariate GARCH with nonparametric density

GARCHUV.RPF

Demonstrates univariate GARCH

GARCHUVMAX.RPF

Examples of estimates of univariate GARCH models using MAXIMIZE.

GARCHM_UV_DUMMY.RPF

Example of univariate GARCH-M with dummy shift in the "M" effect and variance.

GARCHVIRFDIAG.RPF

Example of computing the Volatility Impulse Response (VIRF) for a GARCH model which doesn't have a "VECH" form.

GCONTOUR.RPF

Demonstrates contour graph

GIBBS.RPF

Demonstrates Gibbs sampling with a linear regression

GIBBSPROBITDYNAMIC.RPF

Demonstrates Gibbs sampling on dynamic probit model

GIBBSVAR.RPF

Demonstrates Gibbs Sampling applied to a Bayesian VAR

GIV.RPF

Demonstrates generalized instrumental variables

GRANGERBOOTSTRAP.RPF

Demonstrates bootstrapping applied to Granger causality test

GRAPHBOXPLOT.RPF

Demonstrates creation of a box plot

GRAPHFORECAST.RPF

Demonstrates graphing forecasts

GRAPHFUNCTION.RPF

Demonstrates graphing a general function

GRAPHHIGHLOW.RPF

Demonstrates high-low-close graphs

GRAPHOVERLAY.RPF

Demonstrates overlay graphs

HAMILTON.RPF

Hamilton switching model example

HANNAN.RPF

Demonstrates Hannan efficient estimation

HANSEN.RPF

Demonstrates GMM (IV) in linear model

HASBROUCK.RPF

Calculation of decomposition of long-run variance using the techniques from Hasbrouck(1995)

HAUSMAN.RPF

Demonstrates Hausman test (2SLS vs 3SLS)

HETERO.RPF

Demonstrates various forms of weighted least squares

HETEROTEST.RPF

Demonstrates heteroscedastity tests

HISTORY.RPF

Demonstrates historical decomposition

HPFILTER.RPF

Demonstrates use of Hodrick-Prescott filter

IMPULSES.RPF

Demonstrates computing and graphing impulse response functions

INFLUNEM.RPF

Demonstrates looping over graph instructions

INSTRUMENT.RPF

Demonstrates instrumental variables estimation

INTERVENTION.RPF

Demonstrates intervention model

KLEIN.RPF

Estimates Klein’s Model I

LISTEXAMPLE.RPF

Example of the LIST aggregator

LOWESS.RPF

Demonstrates use of lowess non-parametric fit

MAXIMIZE.RPF

Example of the use of MAXIMIZE to estimate a stochastic frontier model

MCPRICEEUROPE.RPF

Example of Monte Carlo option pricing

MIXTURE.RPF

Example of a mixture model (not-Markovian) demonstrating the different estimation strategies.

MONTEARCH.RPF

Demonstrates Monte Carlo analysis of a test statistic

MONTEEXOGVAR.RPF

Demonstrates Monte Carlo Impulse Response to exogenous variable

MONTENEARSVAR.RPF

Demonstrates Monte Carlo Impulse Response for a structural near-VAR

MONTESUR.RPF

Demonstrates Monte Carlo Impulse Responses for a Near-VAR

MONTESVAR.RPF

Demonstrates Monte Carlo Impulse Responses for overidentified SVARs

MONTEVAR.RPF

Demonstrates Monte Carlo Impulse Responses for a standard VAR

MONTEVECM.RPF

Demonstrates Monte Carlo integration for a Vector Error Correction Model (with fixed cointegrating vector)

MSVARIANCES.RPF

Estimates a Markov-Switching variance model

NEURAL.RPF

Demonstrates use of neural networks

NLLS.RPF

Demonstrates non-linear least squares

NONLINEAR.RPF

Demonstrates various techniques for maximum likelihood

NPREG.RPF

Demonstrates non-parametric regression

OBSERVABLEINDEX.RPF

Estimation of an observable index model.

OLSMENU.RPF

Demonstrates user-defined menus (USERMENU)

ONEBREAK.RPF

Analysis of linear regression with single structural break

PANEL.RPF

Demonstrates basic panel data techniques

PANELCAUSE.RPF

Demonstrates Granger causality test with heterogeneous panel

PDL.RPF

Demonstrates estimation of polynomial distributed lags

PORTFOLIO.RPF

Demonstrates calculation of optimal portfolios

PROBIT.RPF

Demonstrates logit and probit models

QPROG.RPF

Demonstrates quadratic programming

RANDOMIZE.RPF

Demonstrates sample randomization techniques

REGARIMA.RPF

Demonstrates estimation of a RegARIMA model (linear regression with ARIMA error process)

REPROBIT.RPF

Panel data probit model with random effects

ROBUST.RPF

Demonstrates robust estimation techniques in a linear model

ROBUSTSTAR.RPF

Shows a test for STAR with outlier adjustments.

ROLLINGCAUSALITY.RPF

Example of a Granger causality test using rolling windows

SHILLER.RPF

Demonstrates Shiller smoothness prior for a distributed lag

SHILLERGIBBS.RPF

Example of Gibbs sampling analysis for a Shiller smoothness prior for a distributed lag

SHORTANDLONGVECM.RPF

Example of a VECM with a structural model with short-and-long run restrictions

SIMPLERBC.RPF

Solves a DSGE, including impulse responses

SIMULADD.RPF

Demonstrates add-factoring in a simultaneous equations model

SIMULEST.RPF

Demonstrates estimation techniques in a simultaneous equations model

SIMULFORE.RPF

Demonstrates forecasts for a simultaneous equations model

SIMULMULT.RPF

Demonstrates calculation of multipliers in a simultaneous equations model

SIMULTHEIL.RPF

Demonstrates forecast statistics in a simultaneous equations model

SPECFORE.RPF

Demonstrates forecasting using spectral techniques

SPECTRUM.RPF

Calculates and graphs a spectral density

SPGRAPH.RPF

Demonstrates multiple graphs per page

SUR.RPF

Demonstrates estimation of a SUR model

SV.RPF

Demonstrates estimation of a stochastic volatility model

SWAMY.RPF

Demonstrates GLS matrix weighted estimator for a panel data set

SWARCH.RPF

Estimates a Markov Switching ARCH model

TARMODELS.RPF

Selects and estimates a STAR Model

TOBIT.RPF

Demonstrates tobit and other limited dependent variable techniques

TVARYING.RPF

Demonstrates time-varying coefficient estimation in a VAR

UNION.RPF

Demonstrates probit/logit models

UNITROOT.RPF

Demonstrates several testing procedures for unit roots

UNITROOTBREAK.RPF

Demonstrates several testing procedures for unit roots allowing for breaks

VARCAUSE.RPF

Demonstrates block causality tests in a VAR

VARGARCHSIMULATE.RPF

Simulates a multivariate GARCH model with a VAR mean process.

VARLAG.RPF

Demonstrates lag length selection techniques in a VAR

VARMAGARCH.RPF

Estimates a multivariate GARCH model with a VARMA mean process.

VECMCAUSE.RPF

Demonstrates causality test in the context of a VECM.

VECMGARCH.RPF

Demonstrates estimation of a GARCH model with a VECM mean model.