1. Introduction 2 -- Start using Gretl and R 3 -- Basic Material 4 -- Hypothesis testing 5 -- Simple linear regression 6 -- Multiple regression 7 -- Regression using dummy variables 8 -- Non linear models 9 -- Time series analysis 10 -- Other statistical tools.

This paper considers a general model specification test for nonlinear multivariate cointegrating regressions where the regressor consists of a univariate integrated time series and a vector of stationary time series. The regressors and the errors are generated from the same innovations, so that...