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Home Page of Jonathan B. Hill

Associate Professor of Economics

University of North Carolina Chapel Hill

 
 
 
Dept. of Economics
Gardner Hall 208B
University of North Carolina
Chapel Hill, NC 27599-3305

jbhill at email dot unc dot edu

 

 

Home Page

 

CV

 

Published Papers

 

Working Papers

 

Papers on SSRN

 

Software

 

Courses Taught

 

 

SOFTWARE

 

Gauss Code links

Alphabetized list : Gauss code for various applications.

 

Matlab and Gauss code for published papers

A Max-Correlation White Noise Test for Weakly Dependent Time Series

 

Matlab code for Hill, J. B. and K. Motegi (2016). A Max-Correlation White Noise Test for Weakly Dependent Time Series, technical report. The main code generate latex tables of rejection frequencies automatically.

 

Robust GEL for Heavy Tailed GARCH

 

Matlab code for Hill, J. B. and A. Prokhorov (2016). GEL Estimation for GARCH Models with Robust

Empirical Likelihood Inference, Journal of Econometrics 190, 18-45

 

Quasi-Maximum Tail-Trimmed Likelihood

 

Gauss code for Hill, J.B. (2015). Robust Estimation and Inference for Heavy Tailed GARCH, Bernoulli 21,1629-1669

 

 

Least Tail-Trimmed Squares

 

Gauss code for Hill, J.B. (2012). Least Tail-Trimmed Squares for Infinite Variance Autoregresions, Journal of Time Series Analysis 34, 168-186.

 

 

Tail Index Estimation with Robust Nonparametric Inference

 

Gauss code for Hill, J.B. (2010). On Tail Index Estimation for Dependent, Heterogeneous Data, Econometric Theory 26, 1398-1436.

 

 

Robust Non-Parametric Tail Dependence Estimation and Inference

 

Gauss code for Hill, J.B. (2009). Robust Estimation and Inference for Extremal Dependence in Time Series, Working Paper, UNC.

 

 

Rolling Window Bivariate Causality Tests

 

This program is a simplified version of the above program, designed for a bivariate process W = [X,Y] where X and Y may have any dimension.

 

Multi-Step Ahead Rolling Window Causality Tests

 

Gauss code for Hill, J.B. (2007). Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship, Journal of Applied Econometrics 22, 747-765.

 

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