A | B | C | D | E | F | H | I | J | K | L | M | N | O | P | R | S | T | V | W .
A (GAUSS) Jason Abrevaya U.Texas wrote RANKEST: R(ank based) econometric estimators. Maximum and monotone rank correlation estimator (Han (1987), (Cavanagh and Sherman (1998)), leapfrog estimator Econometrics Journal 2.2 (1999) Seung Chan (Min) Ahn provides Dynamic Panel Data, GMM and MLE code Maximo Alonso's time series programs Manuel Arellano and Steve Bond DPD 98 for dynamic panel data analysis. Recent versions for Ox.
B (GAUSS) Steven T. Berry's GAUSS-configuration for e-macs editor Patrick Brandt provides code for AR models for Poisson data (PESTS), also for R
C (GAUSS) John Cochrane's Programs for finance, macro, monetary economics and time series analysis
D (GAUSS) DeJong and Dave's code for DeJong and Dave (2007) textbook .
Time series methods (ARMA Kalman Filter). Frequency domain. Solving DSGE Models. Particle Filter. Dick van Dijk wrote free programs for regime-switching models for returns (Markov Switching, Threshold, TAR), regime-switching models for volatility (STAR GARCH) and for artificial neural networks (ANN). Example data sets from Book (2000) on nonlinear time series analysis in empirical finance with Philip Hans Franses Jurgen Doornik provides OxGauss ,
E (GAUSS) Matias Eklöf provides a 40 page Introduction to GAUSS 3.2 for Windows, 2001 and sample programs for Graduate Econometrics Course
H (GAUSS) Wouter den Haan published GAUSS code for his VARHAC estimator
James Hamilton published his GAUSS programs for flexible nonlinear inference, Econometrica, 2001. Programs run also using
M@ximize for
OxGauss version. Free for academic research.
Bruce Hansen (U.Wisc) wrote free programs for TAR models, stability and linearity testing. Programs run also
M@ximize for
OxGauss version. Free for academic research.
Bart Hobijn (SF FRB) wrote free programs for lots of modern stationarity (KPSS, Leybourne McCabe) and multivariate (seasonal) unit root tests (non cointegration). Data and GAUSS programs.
Douglas J. Hodgson (U. Rochester) publishes free code for nonparametric adaptive code for time series models (asymptotically first order equivalent to the test statistic constructed from the true likelihood)
Joel Horowitz wrote free programs for semiparametric and GMM estimation
I (GAUSS) Alan Isaac maintains
a database with GAUSS code for Economists with links to other archives and products and
GAUSS Basics (2005)
J (GAUSS) Oscar Jorda provides code for
nonlinear (Bayesian) impulse reponse analysis
K (GAUSS) Chihwa Kao provides NPT: free programs for panel-(non-)cointegration tests, requires
COINT 2.0 Chang-Jin Kim and Charles Nelson wrote
SSMARKOV programs for State Space Models with Regime Switching (1999, MIT press). Programs translated to
M@ximize for
OxGauss version. Free for academic research. Gary King produced
ReLogit 1.1 Rare Events Logistic Regression, and AMELIA 2.0 (for multiple imputation in Political Science data) also available for
Stata Markus Krätzig developed Free Graphical User Interfaces (in Java) for GAUSS and Gauss Runtime Engine (GRTE) via
JStatCom. Ken Kroner wrote
(multivariate) (G)ARCH software. From UCSD (Home of ARCH)
L (GAUSS) Junsoo Lee provides code for many unit root (non)stationarity tests in series with multiple breaks
Kuan-Pin Lin wrote
GAUSS programming for Econometricians (GPE) II (400 page .pdf) J Scott Long produces
Markov 2.5, A statistical environment for GAUSS.
Helmut Lütkepohl supervised the development of MulTi 1.0. for multivariate time series analysis for GAUSS under DOS. The Gauss version is dicontinued. See
JMulti.
M (GAUSS) Nelson Mark provides
GAUSS code for long horizon regression, convergence and cointegrating vector estimation
N (GAUSS) Serena Ng wrote i.a. programs for
Time series decomposition and up-to-date unit root tests
O (GAUSS) Marius Ooms and Gerrit Draisma provide an "Introductie Gauss" in Dutch (2000)
Masao Ogaki provides classical
GMM codes Ann Owen presents programs for Dynamic Panel Data Models.
P (GAUSS) Jan Podivinsky's links to GAUSS resources (10/02)
Pierre Perron provide code for optimal unit root and structural break tests anno 2001-2009 |
Piere Perron (an co-authors: Serena Ng, Jushan Bai, Zhongjun Qu, Tomoyoshi Jabu, provides code break tests. |
R (GAUSS) Morten Ravn software for variants of HP filters, RBC model solvers, and other Business Cycle programs
RJS software produced LALIB-386 (LAPACK for GAUSS), LINCS (structural equation modeling), MISS, QP
Gauss Programs and Notes by Thierry Roncalli for Option Pricing and Hedging and Time Series Modelling,
(2009) Thierry Roncalli also wrote
TSM 1.2 back in the 1990s. (Time Series and Wavelets for Finance) distributed by
Ritme Informatique [FR] (1994) Cameron Rookley wrote GAUSS to
Matlab Perl scripts
S (GAUSS) Ron Schoenberg is Director of Software Applications Development for Aptech Systems. He wrote Extensive GARCH etc. library, now also multivariate.
Paul Söderlind provides macroeconometric reational expectations model software
Rauli Susmel provides SWARCH (Regime Switching GARCH) code.
T (GAUSS) Kenneth Train provides free code for mixed logit estimation for panel data. Programs run also using
M@ximize for
OxGauss version. Free for academic research.
Time Series MT 1 for GAUSS Commercial SVARMAX, ECM, Panel data and Markov-Switching models for GAUSS.
V (GAUSS) Simon Van Norden's Switching code and real time output gap estimation.
W (GAUSS) Frank Windmeijer provides EXPEND, A GAUSS programme for non-linear GMM estimation of exponential models with endogenous regressors for cross section and panel (dynamic) count data models.
Review by Andrés Romeu (2004) in
Journal of Applied Econometrics.
GAUSSX 9.0 (Econontron) [CA] `
(2008)
- by Jon Breslaw.
- What's new in 9.0: Panel estimation, Extended Survival analysis (2008)
- What's new in 8.0: N-way analysis, Survival analysis, Whittle estimation, Count data, batch mode (2006)
- What's new in 7.0: # Partial Least Squares # Response Surface Methodology, # Murphy Topel two step estimation for all ML and/or NLS models, # Global optimization , # Bayesian estimation of Poisson, SURE and MNP models, # Bayesian convergence diagnostics, # Cubic Interpolation, # GAUSSPlot support.
- New in 6.0. Automatic differentiation.
- Census X12 Seasonal Adjustment
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