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http://www.unc.edu/~jbhill/Gauss_by_code.htm
Jonathan B. Hill’s Home Page
GAUSS Code Archives compiled by Alan Isaac.
A
Adaptive Least Squares (ALS):
J. Huston McCulloch.
ARCH:
Bruce Hansen
ARCH Test (semiparametric, adaptive, based on innovation density):
Douglas Hodgson.

B
Bandwidth Selection (Multivariate): Ralf Tschernng.
Bayesian Inference from Constrained Weighted Likelihood Bootstrap:
Ron Schoenberg,
Bayesian Inference from Weighted Likelihood Bootstrap:
Ron Schoenberg,
Bayesian inference and Markov chain Monte Carlo:
Peter Lenk.

Beveridge-Nelson decomposition procedures:

infMA.src, bn.src, forecast.src, newbold.src, cwdecomp.src:
Kristian Jönsson.

Binary Response (smoothed maximum score estimator):
Joel Horowitz
Box-Cox Regression:
Marc Nerlove.

C
Chow-Lin interpolation procedure:
Michael Boldin.
Cochrane-Orcutt (Iterated):
Alan Isaac.
Cointegration:
Bruce Hansen
Cointegration Tests: Engle-Ganger, Johansen, Stock-Watson:
Maximo Comacho
Cointegration Tests (residual-based):
A. Gregory and B. Hansen.
Cointegration Tests (Johansen):
Bhati.
Cointegration Tests (Johansen):
P. de Lima.
Cointegrating Regressions (FM-OLS Estimation with autmated bandwidth):
B. Hansen.
(Ogaki's) Cointegration Routines: Dave Chapman.
(MLECO) Cointegration procedure for structural change analaysis:
Peter Hansen.
Confidence Intervals (grid bootstap, for AR process):
Bruce Hansen.
Confidence Intervals (grid bootstap, for AR process, newer version):
Bruce Hansen.
Cubic Smoothing Spline: variously by Baird, and by Soderlind.

D
Date and Time Procedures: Cameron Rookley.
Decomposition (Blanchard-Quah):
Alan Isaac.
Density Estimation (NonParametric):
Bruce Hansen
Density Estimation (NonParametric):
Douglas Hodgson.
Density Estimation (Risk Neutral):
Cameroon Rookley
Density Estimation: Mico Loretan.
Distributions: DISTRIB Library:
Schlittgen.

(Tools Useful to Solve) Dynamic General Equilibrium Models: Alfred Maussner

Dynamic Panel Data: multiple programs and authors.
Dynamic Programming: multiple authors, multiple programs.

E
Error Components - Seemingly Unrelated Regression (Ecsur) For Unbalanced Data :
Park Wilde.
Error Correction (adaptive):
Douglas Hodgson..
Error Correction (adaptive; residuals are ARMA):
Douglas Hodgson.
Extremal Serial Dependence Test : Jonathan B. Hill
Extremal Tail Index Estimation (with robust kernel variance estimation): Jonathan B. Hill.
Extreme Value Theory and Estimation:
Thierry Roncalli.

F
Finance Procedures: Cameron Rookley.
Flexible nonlinear inference:
Maximo Comacho
Fractional differencing operator:
Heiko Ebens.

G
GARCH (univariate and multivariate: VECH, BEKK, etc.):
Ken Kroner.
GARCH, TGARCH, SGARCH, GARCH-M (univariate):
.Ron Schoenberg.
GARCH (univariate):
Andrew Patton.
GMM: multiple programs by multiple authors.
GMM and Empirical Likelihood:
Bruce Hansen
Goodness of Fit for empirical distribution functions:
David Baird.
Graphics: Simon van Norden.
Graphing: Cameron Rookley.

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关键词：GAUSS 应有尽有 code Aus USS 大全 GAUSS code 应有尽有

H

Hazard Models: multiple programs, multiple authors.

Hodrick-Prescott Filters (two):  Simon van Norten.



I



J



K

Kalman Filter:  David Nixon.

Kalman Filter: Geoffrey Shuetrim

KPSS stationarity test : Kristian Jönsson.



L

Least Absolute Deviation (LAD):  Ron Schoenberg.

Least Squares (Interatively Reweighted with Poisson Errors):  Ted Thompson.

Least Squares (Fully-modified):  Begoña Eguía.

Linear common trends models (with analytic impulse responses):  Maximo Comacho.

Linear Mixed Models:  Brian Steele.

Linear Regression (adaptive):  Douglas Hodgson.

Linear Regression (semiparametric, ARMA errors with stationary ergodic innovations):  

Douglas Hodgson, Keith Vorkink, and Irina Solyanik.

Linear Regression (Symmetric Stable):  J. Huston McCulloch.

Logit Estimation:  Alan Isaac.

Logit Models (including logit regression with continuation ratio model):  John S. Witte and Sander Greenland.

Logit Model (Heteroscedastic):  Langche Zeng.

Logit Model (Rare-Evens):  Gary King and Langche Zeng.



TOP



M

Markov Chain Monte Carlo (MCMC) Algorithm: Random-Walk Metropolis:  Fridtjof Thomas.

Markov Processes (bootstrap methods):  Joel Horowitz.

Markov Switching:  James Hamilton

Markov Switching:  Bruce Hansen

Markov-switching models (time-varying transition probabilities using the Gibbs sampler):  Martin Ellison.

Markov Switching VAR:  Maximo Comacho.

Misspecification Test:  Bradley/McClelland.

Missing Data Utility:  Honaker, Joseph, King, Scheve, and Singh.

Mixed Logit Estimation for Cross-Sectional Data:  Ken Train

Mixed Logit Estimation by Hierarchical Bayes:  Ken Train

Mixed Logit Estimation for Panel Data:  Ken Train

Multivariate Hidden Markov Models:  Benoit Bellone (see copyright!).

Multivariate Statistics (not multivariate arma, not mult. garch): variously by Schoenberg and Schlittgen.



N

Negative Multinomial Regression:  Daniel Powers.

Newey and West covariance matrix:  Ka-fu Wong.

Newey-West errors:  Bartolini & Kramer.

Neural Networks (One Hidden Layer Feedforward):  Langche Zeng.

Neural Networks (Simulating):  Yoon Jaa Ho.



O

OLS w/ Jackknife Estimated Variances:  Geomina Turlea.

Optimization Routines:  Bo Honore and Ekaterini Kyriazidou.

Optimization: Davidson, Fletcher, Powell minimization routine:  Honore & Kyriazidou, modified by Alan Isaac.

Option pricing: Cameron Rookley.

Options data manipulation: Cameron Rookley.

Overlapping Generations Models: Burkhard Heer



P

Panel-Corrected Standard-Errors:  Franzese.

Panel Data (dynamic): Ann Owen.

Panel Data Procedures: Kristian Jönsson.

Panel Unit Root and Cointegration: Luciano Guitierrez.

Parametrized Expectations: Alfred Maussner.

Particle Filter:  David DeJong and Chetan Dave.

Principal Components:  Mico Loretan.

Probit Package (Bivariate: extensive):  Molenberghs and Lesaffre.

Probit and Logit:  Rizzo.

Proportional Hazards (generalized moments specification test):  Joel Horowitz.



Q

Quantile Regression Library:  Jacomy, Messines, and Roncalli.

Quantile Methods for Stable Distribution Parameter Estimation:  J. Huston McCulloch.



R

(Solving the) Ramsey Model: Alfred Maussner

Regression (Local Polynomial):  Cameron Rookley.

Regression (Univariate Non-Parametric):  Cameron Rookley.

Regression (cross section, panal, IV): Felix Ritchie.

Regime Switching models:  van Norden and Vigfusson.

Robust Tail Index Estimation (with robust kernel variance estimation): Jonathan B. Hill.

Switching (Endogenous) Regression:  Park Wilde.

Risk Management Library (including copulas):  Thierry Roncalli

Roots of a Function:  Martin van der Ende.



TOP



S

S-GARCH:  Schoenberg.

Seemingly Unrelated Regression (adaptive):  Douglas Hodgson.

Simulated ARIMA:  Esben Hoeg.

Simulation (ARCH, GARCH, IGRACH):  Mico Loretan.

Simultaneous Equations Estimation:  Ron Schoenberg.

Simultaneous Equations (Linear, Constrained and Unconstrained): Ron Schoenberg.

Stable random number generator:  J. Huston McCulloch.

Stable (Symmetric PDF):  J. Huston McCulloch

Stable Random Number Generators (more...):  J. Huston McCulloch.

State Space and Regime Switching programs:  Chang-Jin Kim.

State Space Univariate Time Series:  Geoffrey Shuetrim.

Stochastic Kernel Estimation: Luciano Guitierrez.

Stochastic Optimal Growth Model Using Log-Linearization: David DeJong & Chetan Dave

Stochastic Optimal Growth Model Using Orthogonal Collocation, Markov Process: David DeJong & Chetan Dave

Structural Break Tests (many tests for many environments): Junsoo Lee.

Structural Change Tests:  Bruce Hansen.

Structural Changes (Multiple):  Pierre Perron.

Survival Analysis (nonparametric):  Daniel Powers.

SWARCH: Rauli Susmel:

Switching Regression: Simon van Noden.



T

t-GARCH:  Ron Schoenberg.

Tail Dependence Test (serial extremal dependence) : Jonathan B. Hill.

Tail Index Estimation (with robust kernel variance estimation): Jonathan B. Hill.

TAR specification test (univariate: Tsay's Test):  Ming Chien Lo.

TAR specification test ( multivariate: Tsay's test):  Ming Chien Lo 1999.

Threshold Autoregressions (constrained and unconstrained):  M. Caner and B. Hansen.

Threshold Cointegration Tests in VECM's:  B. Hansen and Byeongseon Seo.

Threshold Models/TARS:  Bruce Hansen

Time series analysis package (78 procedures: seasonal ARIMA, estimating missing values, …):  Schlittgen.

Trend/Cycle Decomposition: Beveridge-Nelson, State-space :  Maximo Comacho

U

Unit Roots:  Bruce Hansen

Unit Roots (adaptive):  Douglas Hodgson, Keith Vorkink, and Irina Solyanik.

Unit Root Tests: Dickey-Fuller, Lobato-Robinson, KPSS:  Maximo Comacho

Unit Root Tests (MIC Lag Length Selection):  Serena Ng.

Unit Root Tests: Isaac and Rapach.

Unit Root and Cointegration Tests:  Junsoo Lee.

Unit Root and Cointegration Tests:  Gambera and Strellec.

Utilities: multiple programs, multiple authors.



V

VAR (maximum likelihood):  Maximo Comacho

VAR Order Selection:  Maximo Comacho

VAR Routines:  David Rapach and Wharff.

VAR (structural):  Paul Fackler.

VAR, VAR restricted, VECM: Luciano Guitierrez.

VARHAC:  Wouter den Haan

Vector ARMA:  Ron Schoenberg.



W



X



Y



Z

Zeros of a Function:  Alan Isaac.

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