[原创]gauss软件相关资源和学习资料，见跟贴

                GAUSS GMM PACKAGE  Version 2.3  7/12/99

 

Prepared by Lars P. Hansen, John C. Heaton, and Masao Ogaki

    Financial support from the National Science Foundation

           Grant number: SES-8512371 and SES-9213930

 

This program pacakage has been used and seem to be free of errors. However,

we (Lars P. Hansen, John C. Heaton, and Masao Ogaki) do not assume 

responsibility for any remaining errors.  In no event shall we be liable to

for any damages whatsoever arising out ot the use of or inability to use

this program package. 

 

This program package is free to all researchers, but please acknowledge

the National Science Foundation.

 

The files contained in this diskett are codes for Version 2 of GAUSS,

GAUSS-386, or GAUSSI.  See Ogaki (1993b) for details.

1. GMM.SET

 a. This is a general nonlinear GMM code.

 b. The documentaion is in GMM.EXP

 c. This code uses MINQUAD.SET for nonlinear search.

 d. GMM.EXP containes an example which uses GMMQ.DAT as data set.

 

2.GMMQ.SET

 a. This is a general nonlinear GMM code that is similar to GMM.SET.  This

    does not allow the user to use the QS kernel estimator but allows the

    the user to use different orders of MA for different disturbances.

 b. The documentation is in GMMQ.EXP

 c. This code uses MINQUAD.SET for nonlinear search.

 d. GMMQ.EXP containes an example which uses GMMQ.DAT as data set.

 

3.MINQUAD.SET

 a. This file minimizes nonliear functions of quadratic form.

 b. The documentation is written in this file.

 c. This code is used by GMM.SET.

 

4. LGMM*.*

 a. These files contain linear GMM codes.

 b. The documentation is in each file.

 

5. LMDE.SET

 a. This file contain linear Minimum Distance Estimation code

 b. The documenation is in this file

 

6. COREST.EXP

 a. This file is an example file to estimate correlatoins and standard

   deviations of two stationary series, using the method described in

   Ogaki (1993a, Section 8.4).

 

7. JPE98.EXP

 a. An example file for Ogaki and Reinhart (1998)

 

The other files with the extension PRC are from application modules in

Version 1 of GAUSS

 

REFERENCES

 

Ogaki, M. (1993a), "Generalized Method of Moments: Econometric

  Applications," G.S. Maddala, C.R. Rao, and H.D. Vinod, eds,

  Handbook of Statistics, Vol.11.

 

Ogaki, M. (1993b), "GMM: A user guide," RCER Working Paper No.348,

  University of Rochester.

 

Ogaki, M. and C.M. Reinhart (1998), "Measuring Intertemporal

  Substitution: The Role of Durables Goods," J.P.E. 106, 1078-1098.

 

 gmm程序包，5个应用程序例子，经测试可用，大家可以用自己的数据进行检验，如有问题请上传

可能版上有，请勿删。

173377.rar (169.43 KB)

2007-11-13 17:38:00 上传

[原创]gauss软件讨论帖，欢迎大家就学gauss软件遇到的问题帖出来，共同讨论。

程序１** GMM FOR SINGLE EQUATION
** Using Newey-West and Andrews Covariance Matrix

程序２** GMM FOR TWO EQUATIONS
** Using Newey-West and Andrews Covariance Matrix

程序３** GMM FOR THTREE EQUATIONS
** Using Newey-West or Andrews Covariance Matrix

上传文件里有３个程序，和一个数据.db文件，经测试可用。

173381.rar (21.89 KB)

2007-11-13 17:46:00 上传

[原创]gauss软件讨论帖，欢迎大家就学gauss软件遇到的问题帖出来，共同讨论。

GMM FOR SINGLE EQUATION Two_Step Using Newey-West Covariance Matrix

GMM FOR SINGLE EQUATION Iterative GMM Using Newey-West Covariance Matrix

GMM FOR TWO EQUATION Using Newey-West and Andrews Covariance Matrix

GMM FOR SINGLE EQUATION Using Newey-West and Andrews Covariance Matrix

GMM FOR THTREE EQUATION Using Newey-West and Andrews Covariance Matrix

5个程序，和2个数据文件，经测试可用

173384.rar (32.01 KB)

2007-11-13 17:55:00 上传

[原创]gauss软件讨论帖，欢迎大家就学gauss软件遇到的问题帖出来，共同讨论。

xuelida麻烦您给发个7.0吧,我6.0学生版不工作,8.0readme讲的不清楚都不能用啊

请问xuelida：

1.    NTP1.3的sample1.prg程序码中， Load data set有tfp、 r&d、f r&d、import四个，但是跑回归时import 此data set 根本没用到，为何出现在程序码中？

2. 程序码中==some adjustments on data corresponding to Coe and Helpman (1995)====

将 tfp & import 两个data set作调整，但如果换成自己的data set须不需要调整？

肯请拨冗答覆，谢谢!

这些天在外面，没有在学校敬请原谅，回学校后给大家回复。

弱弱的问一下，我先安装了GAUSS8，然后去林光平的主页，下载了GPE32和GPE8，先安装了GPE32，再安装了GPE8，可是在用书上的例子总报错，提示GAUSS下SRC子目录中没有GPE2.SRC, 我查了一下,是没有，请问这是怎么回事？谢谢

there's some useful links from "蛙語書院". Hope that will be useful for you.

楼主的愿望是好的，但是最好的普及是免费才行，开句玩笑，在倡导的时期，楼主要想着坐地发财，趁机赚两个，恐怕你的良好愿望很难实现。希望你这个gauss的高手先更多地发扬免费精神，更多的人用上手了，还愁你没有赚钱的机会？大家认为呢？

谢谢48和49楼提的意见