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Selected Examples for:

William Greene, Econometric Analysis, 4th Ed., Wiley, 2000


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Data Sets used in these examples.

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Chapter 4 - Statistical Inference
educ.sha Test Procedures
Chapter 5 - Computation and Optimization
maxfunc.sha Example 5.10 - Maximizing a function of a single variable.
Chapter 6 - The Classical Multiple Linear Regression Model
gasoline.sha Examples 6.3 & 6.15 - Demand for Gasoline
invest.sha Examples 6.8, 6.12, 6.14, 6.17, 6.18 - Investment Equation
consump.sha Example 6.11 - Consumption Function
longley.sha Example 6.19 - Multicollinearity
Chapter 7 - Inference and Prediction
invest.sha Examples 7.1, 7.2, 7.3, 7.4, 7.17, 7.18 - Hypothesis Testing and Prediction
metal.sha Examples 7.5, 7.6, 7.7 - More Hypothesis Testing
gasmodel.sha Chow test for structural change, Hansen test of model stability, CUSUM and CUSUMSQ tests based on recursive residuals.
USdata.sha Examples 7.14, 7.15 - Testing Nonlinear Restrictions and Choosing between Nonnested Models
Chapter 8 - Functional Form, Nonlinearity
consump.sha Example 8.1 - Dummy Variables in Regression
ex82.sha Example 8.2 - Analysis of Variance
Chapter 9 - Large Sample Results
gasoline.sha Example 9.2 - Estimating an Elasticity
frontier.sha Example 9.8 - Estimation of the Stochastic Frontier Model.
lad.sha Example 9.10 - Least Absolute Error estimation. Calculation of bootstrap standard errors is also shown.
Chapter 10 - Nonlinear Regression Models
money.sha Examples 10.9, 10.11 - Testing for Linearity vs. Log-linearity, Box-Cox Regression
Chapter 12 - Heteroskedasticity
hetreg.sha Examples 12.1, 12.4, 12.7, 12.9 - Heteroskedasticity
Chapter 13 - Autocorrelated Disturbances
macro.sha Examples 13.1, 13.3, 13.4 - Autocorrelation Consistent Covariance Estimation and the Durbin-Watson test statistic
Chapter 14 - Models for Panel Data
fixed.sha Examples 14.1, 14.2 - Fixed Effects estimation by transforming data to group mean deviation form.
lsdv.sha Example 14.2 - Fixed Effects with Dummy Variables
ranpanel.sha Examples 14.4, 14.5 - Random Effects Models and Hausman's Test for fixed or random effects.
fixed2.sha Example 14.6 - Heteroskedasticity Consistent Estimation of Standard Errors for Fixed Effects Models.
Chapter 15 - Systems of Regression Equations
pool.sha Pooling with Cross-Section Heteroskedasticity and Cross-Section Correlation.
poolauto.sha Example 15.5 - Pooling with AR(1) errors
sure.sha The Seemingly Unrelated Regression Model.
sureauto.sha Example 15.15 - Autocorrelation in the SUR Model
cost4.sha Example 15.18 - A Translog Cost Function
Chapter 19 - Models with Discrete Dependent Variables
grade.sha Examples 19.1, 19.2, 19.4 - Logit and Probit Estimation
probhet.sha Example 19.7 - Probit model with heteroskedasticity.
ship.sha Example 19.22 - Poisson Regression
Chapter 20 - Limited Dependent Variable and Duration Models
fair.sha Example 20.12 - Tobit Estimation; Marginal Effects for Tobit; Test for Normality; Specification test
tobit2.sha Doubly Censored (Two-Limit) Tobit
fair2.sha Regression Models for Count Data - Poisson Regression and Negative Binomial Regression