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
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.
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.
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.
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.
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.
Y
Z
Zeros of a Function: Alan Isaac.