/* 误差项为独立同分布正态，DF检验情形1中k和t统计量的分位数及其标准差 */
p={0.01,0.025,0.05,0.1,0.9,0.95,0.975,0.99};/* 分位数*/
n=100000;/* the number of replications is 10000 */
T=100+50;/* 100 observations + 50 presample values */
y0=0;
tau=zeros(n,1);
i=1;
do while i<=n;
   y=zeros(T,1);
   u=rndn(T,1);
   y[1,1]=y0+u[1,1];
   j=2;
   do while j<=T;
      y[j,1]=y[j-1,1]+u[j,1];
      j=j+1;
   endo;
   y1= y[51:t,.]; /*discard the first 50 observations */
   x=y[50:t-1,.];
   xxi=invpd(x'x);
   b=xxi*(x'y1);                               /*系数 */ 
   e=y1-x*b;                                   /*残差*/
   s2=e'*e/(rows(x)-cols(x));           /*误差项方差的ols估计值*/
   sd=sqrt(diag(s2*xxi));               /*系数的标准误差*/
   tau[i,.]=(b-1)./sd;                        /*t统计量 */
   i=i+1;
endo;
ptau=quantile(tau,p);/* 误差项为独立同分布正态，DF检验情形1中t统计量的分位数及其标准差 */
print ptau;

如果需要进行数据的df估计，你就要把自己的数据输入，就是把上述数据生成改成自己的数据就可以估计了

最后把df统计量与相应的分位数进行比较就可以了。

Gauss Procedures

This page contains Gauss statistical, utility, and graphic procedures. Some are actively used, but others have not been updated or checked in some time. I'd appreciate if you'd let me know if you find any bugs, have found more efficient or general approaches, or have others to add. Larger packages I've written are available at my statistical software page; code written by others can be found at Gauss resources. You may prefer a zip file containing all the procedures below (last update: 8/20/2005), or see below to receive automatic notification of updates of this page.

Statistics

• Amelia, A package for imputing missing values

• cdfNorm, pdfNorm unstandardized CDF and PDF of the normal

• cMeanc, cMeanWc, meanSE, conditional means and other statistics

• dens, Kernel density estimation

• EI, a package for ecological inference

• fisherZ, fisherZi, Fisher's Z transformation and its inverse

• GEC, estimate the generalized event count model

• hyperg, hypergeometric pmf

• lcdfnormI, lncdfn2 for an unstandarized normal

• logit, logitI, Mlogit, MlogitI, univariate and multivariate logistic transformation and inverse

• lpdfNorm, lnpdfMN, lnpdfmt, log of the univariate and multivariate normal, and the Student's t pdfs

• MaxLik, various MLE models and sample datasets

• meanWc, weighted means (handles missings well)

• PDFs, David Baird's PDFs, CDFs, random numbers

• reg, regR, regV, regVr, regression, with linear restrictions, and both with Variable name entry

• regRand, regression with approximate randomization

• ReLogit, ReLogitQ, Rare Events Logistic Regression, logit with corrections for rare events and selection on Y

• rndCHI, random chi-square draws

• rndMN, rndMT, random (unstandardized) multivariate normal and Student's t draws

• rndSmpl, rndSmpl2, random samples with or without replacement

• sechol, shows how to take an approximate Cholesky decomposition for almost any matrix. Useful for optimization routines when the Hessian is not invertable. See Jeff Gill and Gary King. "What to do When Your Hessian is Not Invertible: Alternatives to Model Respecification in Nonlinear Estimation," Sociological Methods and Research, Vol. 32, No. 1 (2004): Pp. 54--87.

• truncNorm, various truncated normal distributions & random numbers

Utilities

• bin2dec, dec2bin, [un]compress large binary matrices into a small decimal vectors

• delifAll, selifAll, trimAll, vputAll, delif, selif, trimr, or vput for vectors of variables

• exist, Does file exist on disk?

• ICPSR, change ICPSR to alphabetical state codes

• in, Tests whether one set is contained in another

• invRV, recode infinities

• ismissM, MKmissM, element-by-element matrix version of ismiss and miss

• loadA, loadVars load ascii file into matrix or variables

• makeFac, makeFacN, creates factorial or labeled factorial designs

• mat2str, str2mat matrix to string and back

• missR, finds missing values in set of variables

• prtV, nicely print set of variables

• rndInx, randomly permute rows of a set of variables

• scalOne, scalZero, check for scalar one or zero

• seqaS, seqaSE creates vector of evenly spaced points without or with end points

• strStrip, strip and format a string

• subdat, subdatV loads submatrix of dataset into matrix or variables

• token2, more flexible string parser, faster for larger strings

• Vin, checks if variable is in a data buffer

• vreadAll, dumps data buffer to memory in stored variable names

• vrename, rename element in data buffer

Graphics

• graphGK, reset GK's graphic globals

• graphOn, graphic windows commands for unix

• pLine, pLineS, easily add lines to graph

• pSym, easily add symbol to graph

• pText, xy with labeled points

• ternary, plot ternary diagram

• triple, triple scatter plot (x, y, size of circle)

171529.zip
大小:(85.01 KB)

 马上下载

本附件包括：

• bin2dec.g
• cdfnorm.g
• cmeanc.g
• cmeanwc.g
• coxcc.g
• coxccq.g
• dec2bin.g
• delifall.g
• dens.g
• exist.g
• fisherz.g
• fisherzi.g
• gec.g
• graphgk.g
• graphon.g
• hyperg.g
• icpsr.g
• infrv.g
• in.g
• ismissm.g
• lcdfnormi.g
• lnpdfmn.g
• lnpdfmt.g
• loada.g
• loadvars.g
• logit.g
• logiti.g
• lpdfnorm.g
• makefac.g
• makefacn.g
• mat2str.g
• meanse.g
• meanwc.g
• missr.g
• mkmissm.g
• mlogit.g
• mlogiti.g
• pdfnorm.g
• pline.g
• plines.g
• prtv.g
• psym.g
• ptext.g
• reg.g
• regrand.g
• regr.g
• regv.g
• regvr.g
• relogit.g
• relogitp.g
• relogitq.g
• rndchi.g
• rndinx.g
• rndmn.g
• rndmt.g
• rndsmpl2.g
• rndsmpl.g
• scalone.g
• scalzero.g
• sechol.g
• selifall.g
• seqase.g
• seqas.g
• str2mat.g
• strstrip.g
• subdat.g
• subdatv.g
• ternary.g
• token2.g
• trimall.g
• triple.g
• vin.g
• vputall.g
• vreadall.g
• vrename.g
• probs.src
• truncbeta.src
• truncnorm.src
• fmtt.g
• counterf.zip

[此贴子已经被作者于2007-11-7 20:15:13编辑过]

1.谢谢指点.已找到Coint
2.请教如何编辑Gauss的data set,如s.dat(副档名为dat),
  再者,如何将其转档为s.txt 文件.
3.感谢您在此提出如此多有用的信息,我天天都有上网拜读.,谢谢!

直接打开新的gauss界面，把数据输入存为s.txt或s.dat就可以了

刚开始学习gauss啊,怎么例如:a=1;b=2 c=a+b, print c,没反映呢 ,软件的问题吗?

另外坛子里面down 的6.0解压缩之后怎么在input-output 界面打不上字呢?哪个版本好用一点啊,谢谢

重新开一个new file, 输入command即可执行.

a =1；

b =2；

c= a + b；

                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
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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
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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
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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!

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.

楼主的贡献有目共睹，辛辛苦苦经营这个版块，发了多少有用的免费资料啊！你来这个论坛才几天？你又做了多少贡献？敢说楼主坐地发财这种话真是可笑。

51楼同志太缺乏幽默感了，楼主都明白是在开玩笑，来的时间是不长，没有做过贡献，不过我这样的初学者还不少，如果这样打击的话，你为楼主鼓劲的好心是白费了，谁还敢来？这个版面就你们两个算了

开玩笑啊？哈哈哈，原来你是跑来灌水的啊！老实说，楼主开这个贴是专为大家研究GAUSS程序用的，我看到在这个帖子上的也确实都是一些讨论问题或者贡献资料的同学。你是新人，这个没人说瞧不起你，但是你现在跑到楼主的gauss软件讨论帖来玩幽默，是在是让我难以接受。我建议啊，你要灌水就去水区玩吧，不要在这里浪费大家的时间。

我是刚刚用GAUSS的新手，不知道怎么将EXCEL的数据导入GAUSS，用了SpreadsheetReadM, 和xlsreadm都不对，我的数据里面有缺失部分，请教各位高手如何导入这样的数据到GAUSS？最好有CODE的例子。急，在线等。谢谢！

用文本格式就可以导入了。

恩同意楼上的！

恩，不错的帖子，受教了.

改天等我多研究一点再来讨论，嘿嘿。

我的也是！我从6.0一直到8.0，所有的版本全试过了，包括Light版！

在Command Mode无论如何打不上字！盲打后敲回车也没有任何反映！

求求各位指点一下了，因为赶毕业论文，急死人！

安装没问题。

我是新人……谢谢！

问题已解决！

https://bbs.pinggu.org/thread-114584-1-1.html

[此贴子已经被作者于2008-2-15 20:43:48编辑过]