Gauss Code, Gauss Programs, Gauss Software

Alphabetized by Utility

 

The following was collected and organized by me, Jonathan B. Hill, mostly based on

 author information provided by Marius Ooms for Econometric Links: Gauss, and

GAUSS code archives compiled by Alan Isaac.

 

Last Updated: June 2010

(Recently added: Gibbs sampling, Least Tail-Trimmed Squares)

 

 

 

 

Jump to: A  B  C  D  E  F  G  H  I  J  K  L  M  N  O  P  Q  R  S  T  U  V  W  X  Y  Z

 

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.

 

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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.

Gibbs Sampling for State Space and Markov Switching: C-J. Kim

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.

 

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

Kim/Nelson code for Markov-Switching : C-J. Kim.

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.

Least Tail-Trimmed Squares (for infinite variance autoregression, with robust Wald statistic) : Jonathan B. Hill

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 with State Space and Bayesian estimation: C-J. Kim

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.

Robust Least Squares for Infinite Variance AR (with robust Wald statistic) : 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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