Textbook Example Files

Diebold's Elements of Forecasting

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Examples From Diebold's Elements of Forecasting

This page provides links to example programs for Elements of Forecasting, by Francis X. Diebold, 2nd Edition (2001, South-Western).

Use the menu below to view the examples from a different textbook:

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 actually run any of the examples, you should download the Zip file.

If you prefer just to view the code for a particular example, just click on the example name (the files are referenced by page number). 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 CD with the current release of the RATS software.

File Name Description

diebold.zip Zip file with all programs, data, procedure files

diebold_pre700.zip Zip file with older versions of files (pre Version 7.0)

diebp050.prg Graphics; matrix of scatter plots

diebp062.prg Graphics; time series plots

diebp074.prg Linear trend models

diebp075.prg Graphics; advanced

diebp077.prg Quadratic, exponential trends

diebp090.prg Forecasting trend models

diebp107.prg Graphics; time series plots

diebp109.prg Seasonal dummies

diebp124.prg Constructed autocorrelation functions

diebp140.prg BJIDENT procedure

diebp148.prg MA(1) processes

diebp156.prg AR(1) processes

diebp163.prg AR(2) processes

diebp167.prg ARMA models; AIC/BIC

diebp200.prg ARMA modes; forecasting

diebp216.prg Linear regression with ARMA noise

diebp235.prg Recursive residuals

diebp265.prg VAR, lag selection, variance decomposition, forecasting

diebp305.prg Forecast error analysis

diebp333.prg Random walks

diebp342.prg BJIDENT procedure; non-stationary series

diebp348.prg ARIMA models

diebp367.prg Exponential smoothing

diebp397.prg ARCH/GARCH models

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