Chapter 17: Univariate Time Series Methods

Exercises, Programs and Files:

• 17.1: Using the AR(p) Model to Understand Properties of a Series
  • Main Program
    • Supporting files:
      • realgdp.out
      • chis_rnd.m
      • is_scalar.m
      • tdis_rnd.m

• 17.2: The Threshold Autoregressive Model
  • TAR_homo.m (known threshold)
  • TAR_thres.m (unknown threshold)
    • Supporting files:
      • realgdp.out

• 17.3: Extensions of the Basic Threshold Regression Model I: Other Threshold Triggers
  • TAR_other_triggers.m
    • Supporting files:
      • realgdp.out

• 17.4: Extensions of the Basic Threshold Regression Model II: Switches in the Error Variance
  • TAR_hetero.m
    • Supporting files:
      • realgdp.out

• 17.5: Sims and Uhlig (1999)
  • Sims_Uhlig.m