求助版主Markov-switch EGARCH code

lvxin2311

9370

收藏 2011-08-07

版主好,我想找Markov-swithch EGARCH的code ,在网上怎么也找不到.比较急,我该怎么办啊?~

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

全部回复

lvxin2311

2011-8-7 14:43:17

这个网站http://user.chol.com/~johnnam/useful/gauss2.htm提到•Dick van Dijk 还有•Stephen Gray提供了Markov-switching GARCH的code,但是下不了.您帮我看看行吗?谢谢~~

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

xuehe

2011-8-7 16:42:31

EGARCH
指数GARCH吗？还没做过。请哪位了解的帮助。

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

xuehe

2011-8-7 16:45:27

给的网页也找不到。

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

xuehe

2011-8-7 16:46:48

Gray的网页点击没有这个网页

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

lvxin2311

2011-8-7 21:06:01

是指数GARCH,用GARCH做的话有些问题，比如方差滞后项与方差的系数必须都是正数，但是在实际应用中这些系数不一定都为正数。比如如果应用到股票市场中，残差平方项（e2）可以衡量各种消息，如果是坏消息的话，他与方差之间应该是负相关，但用GARCH算出来肯定为正，但EGARCH可以解决这个问题。看论文有很多人用了Markov-regime-swiching EGARCH,可网上怎么找也没有程序。如果在Hamilton Markov-regime-switching ARCH 中改的话，会不会很复杂呢？

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

点击查看更多内容…

lvxin2311

2011-8-7 22:54:01

怎么也没找到Gauss的code,但是找到了一个Matlab code.是一篇德国人写的论文，现介绍了模型，然后还应用了德国的数据，最后提供了Matlab code。大家看看吧~真遗憾，Gauss 竟然没有现成的程序。

附件列表

Markov-switching EGARCH (Matlab).pdf

大小:2.34 MB

马上下载

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

zhangtao

2011-8-8 21:43:34

非常好的文章，这个程序可以很方便改写成gauss程序。

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

david770207

2011-9-4 14:42:59

lvxin2311 发表于 2011-8-7 22:54
怎么也没找到Gauss的code,但是找到了一个Matlab code.是一篇德国人写的论文，现介绍了模型，然后还应用了德 ...

很給力，不過不知道有沒有提供他的m-files??

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

sjtu09

2011-10-21 12:02:05

lvxin2311 发表于 2011-8-7 22:54
怎么也没找到Gauss的code,但是找到了一个Matlab code.是一篇德国人写的论文，现介绍了模型，然后还应用了德 ...

非常之感谢，最近正在看，哈

扫码加我拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

xuehe

2011-10-21 22:28:19

Useful Gauss Codes

Collection of Gauss code: http://ideas.uqam.ca/ideas/data/codgaussi.html

Gauss code for the Triples Asymmetry Test for "Business Cycle Asymmetries: International Evidence" by Weshah Razzak
RePEc:red:ccodes:razzak01

Gauss code for the Hodrick-Prescott filter by Simon van Norden
RePEc:cre:qmrbcd:2

GAUSS code useful for many RBC models by Gary D. Hansen
RePEc:cre:qmrbcd:6

GAUSS code for the basic Hansen (1985) model by Gary D. Hansen
RePEc:cre:qmrbcd:7

GAUSS code for a basic model with money, cash-in-advance constraint by Gary D. Hansen
RePEc:cre:qmrbcd:8

GAUSS code for an overlapping generations model with inelastic labor supply by Gary D. Hansen
RePEc:cre:qmrbcd:9

GAUSS code for the Imrohoroglu (1989) model without aggregate uncertainty by Gary D. Hansen
RePEc:cre:qmrbcd:10

GAUSS 5.0 (Aptech Systems)

What's new in GAUSS 5.0 for Win NT/2000/XP 2D arrays for structures
New modules for 3.6 and 4: Maximum Likelihood 5.0, Time Series 4.0, Constrained Maximum Likelihood 2.0.
IGX Interactive GraphiX for GAUSS 3.5 (June 2000)
Bug tracking/support page (Dec 1999). New support page (Sep 2000). The file fixed.txt indicates which version (no longer) contains which bugs.
Reorganized Mailing list of problems archive.

Jason Abrevaya wrote RANKEST: Rank based econometric estimators. Maximum and monotone rank correlation estimator (Han 1987), (Cavanagh and Sherman 1998), leapfrog estimator Econometrics Journal 2.2 (1999)
Maximo Alonso's time series programs

Steven T. Berry's GAUSS-configuration for e-macs editor

John Cochrane's Programs for finance, macro, monetary economics and time series analysis

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 , a free GAUSS compiler for Windows XXX, Linux and XXX Unix

Matias Eklöf provides a 40 page Introduction to GAUSS 3.2 for Windows, 2001 and sample programs for Graduate Econometrics Course

Stephen Gray wrote free regime switching and GARCH code

Wouter den Haan published GAUSS code for his VARHAC estimator
James D. Hamilton (UCSD) published his GAUSS programs for flexible nonlinear inference, Econometrica, 2001
Bruce Hansen (U of Wisc.) wrote free programs for TAR models, stability and linearity testing
Bart Hobijn (NY FRB) wrote free programs for lots of modern stationarity (KPSS, Leybourne McCabe) and multivariate (seasonal) unit root tests (non cointegration). Bart's personal homepage.
Joel Horowitz (U of Iowa) wrote free programs for semiparametric and GMM estimation

Alan Isaac, a database with GAUSS code for Economists

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)
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
Ken Kroner wrote free (multivariate) (G)ARCH software. From UCSD ("home of ARCH")

Junsoo Lee provides unit root and stationarity tests allowing for "multiple breaks". Some require COINT 2.0.
Kuan-Pin Lin wrote Gauss programming for Econometricians (GPE) II (400 page, pdf format)
J Scott Long produces Markov 2.5, A statistical environment for GAUSS.
Helmut Lütkepohl supervised the development of MulTi 1.0 for menu drive multivariate time series analysis for GAUSS under DOS

Serena Ng, Time series decomposition and up-to-date unit root tests

Marius Ooms and Gerrit Draisma provide an "Introductie Gauss" in Dutch (2000)
Pierre Perron (and Serena Ng) provide code for optimal unit root and structural break tests anno 2001

RJS software produced LALIB-386 (LAPACK for GAUSS), LINCS (structural equation modeling), MISS, QP
Thierry Roncalli's page contains numerous time series examples [UK]. Other Roncalli procedures are provided via the Crédit Lyonnais Groupe de Recherche Opérationalle website.
Cameron Rookley wrote Gauss to Matlab Perl scripts

Ron Schoenberg is Director of Software Applications Development for Aptech Systems. He wrote FANPAC 1.1.13 (1/2000) Extensive GARCH etc. library, now also multivariate GARCH.
Frank Shorfheide, DSGE code http://www.econ.upenn.edu/~schorf/computing.htm
Paul Soderlind, http://home.tiscalinet.ch/paulsoderlind/
Rauli Susmel provides SWARCH (Regime Switchgin GARCH) code.

Kenneth Train provides free code for mixed logit estiomation for panel data.

Philip Viton shows how to use these programs using OxGauss.

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
GAUSSX 4.0 [US] by Jon Breslaw