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 definition of breakdown in finite samples with an extension to asymptotic breakdown. Previous definitions center around defining a critical region for either the parameter or the objective function. If for a particular outlier constellation the critical region is entered,...

We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass...