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Selected Examples for:

R. Carter Hill, William E. Griffiths and Guay C. Lim, Principles of Econometrics, Fourth Edition, Wiley, 2011.

Data Sets used in these examples.

SHAZAM Command Files

  Chapters 2, 3, 4   The Simple Linear Regression Model
ols.sha The food expenditure equation
(including the effects of scaling data, a linear-log model, the Jarque-Bera test for normally distributed errors)
samp10.sha A repeated sampling experiment
hprice.sha Nonlinear relationships
hprice2.sha Using indicator (dummy) variables
test.sha Interval estimation and hypothesis testing
predict.sha Prediction
poly.sha Polynomial models, estimating a growth rate
wage.sha A wage equation and prediction with a log-dependent variable
chicken.sha A log-log poultry demand equation
Chapters 5, 6   The Multiple Regression Model
sales.sha Sales model for a hamburger chain
pizza.sha Interaction variables
beer.sha Restricted least squares
faminc.sha Model specification and the RESET test
car.sha A model of car gasoline consumption
Chapter 7   Using Indicator Variables
house.sha The university effect on house prices
wage2008.sha Applying indicator variables - a wage equation
coke.sha A linear probability model
Chapter 8   Heteroskedasticity
het.sha Testing for heteroskedasticity, White standard errors, weighted least squares, multiplicative heteroskedasticity
gls.sha The Goldfeld-Quandt test and Generalized Least Squares
coke.sha Heteroskedasticity in the linear probability model
Chapter 9   Regression with Time Series Data
okun.sha Finite distributed lags, serial correlation
phillips.sha A Phillips curve
Chapter 10   Random Regressors and Moment-Based Estimation
mroz.sha Instrumental variables estimation
Chapter 11   Simultaneous Equations Models
system.sha 2SLS estimation for the demand and supply of truffles
fish.sha Supply and demand at the Fulton Fish Market
Chapter 14   Time-Varying Volatility and ARCH Models
arch.sha Estimation of ARCH models
Chapter 15   Panel Data Models
panel.sha A microeconomic panel data model
pool.sha Sets of regression equations
sure.sha Seemingly Unrelated Regression
Chapter 16   Qualitative and Limited Dependent Variable Models
probit.sha Probit and logit estimation of a model of transport choice
coke.sha More probit and logit estimation
medal.sha Poisson regression: A model of medal totals at the Olympic Games
tobit.sha Tobit model estimation
mroz.sha Tobit estimation of a labour supply function