Some Gauss Codes

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收藏 2013-02-15

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

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xuehe

2013-2-15 17:31:43

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")

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xuehe

2013-2-15 17:32:17

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

New in 4.0

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