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.

We provide a new asymptotic theory for local time density estimation for a general class of functionals of integrated time series. This result provides a convenient basis for developing an asymptotic theory for nonparametric cointegrating regression and autoregression. Our treatment directly...

We interpret the linear relations from exact rational expectations models as restrictions on the parameters of the statistical model called the cointegrated vector autoregressive model for non-stationary variables. We then show how reduced rank regression, Anderson (1951), plays an important...

Yule (1926) introduced the concept of spurious or nonsense correlation, and showed by simulation that for some nonstationary processes, that the empirical correlations seem not to converge in probability even if the processes were indpendent. This was later discussed by Granger and Newbold...