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Details about Tom Doan

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Homepage:http://www.estima.com
Workplace:Department of Finance, Kellogg Graduate School of Management, Northwestern University, (more information at EDIRC)
Estima

Access statistics for papers by Tom Doan.

Last updated 2012-02-01. Update your information in the RePEc Author Service.

Short-id: pdo2


Jump to Journal Articles Software Items

Working Papers

1983

  1. Forecasting and Conditional Projection Using Realistic Prior Distributions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (298)

Journal Articles

Software Items

2000

  1. GED: RATS module to draw from Generalized Error Distribution
    Statistical Software Components, Boston College Department of Economics Downloads

Undated

  1. ABLAGS: RATS procedure to generate Arellano-Bond set of instruments
    Statistical Software Components, Boston College Department of Economics Downloads
  2. ADFAUTOSELECT: RATS procedure to select optimal lag length to be used for an ADF test
    Statistical Software Components, Boston College Department of Economics Downloads
  3. ADTEST: RATS procedure to perform Anderson-Darling test for normality
    Statistical Software Components, Boston College Department of Economics Downloads
  4. AGFRACTD: RATS procedure to compute Andrews-Guggenberger estimate of fractional difference
    Statistical Software Components, Boston College Department of Economics Downloads
  5. APBREAKTEST: RATS procedure to implement Andrews-Ploberger Structural Break Test
    Statistical Software Components, Boston College Department of Economics Downloads
  6. APGRADIENTTEST: RATS procedure to perform Andrews-Ploberger Structural Break Test for GARCH/Maximum Likelihood
    Statistical Software Components, Boston College Department of Economics Downloads
  7. ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg
    Statistical Software Components, Boston College Department of Economics Downloads
  8. ARCHTEST: RATS procedure to test a series for ARCH effects
    Statistical Software Components, Boston College Department of Economics Downloads
  9. ARMADLM: RATS procedure to set up a DLM (state-space model) based upon an ARMA model
    Statistical Software Components, Boston College Department of Economics Downloads
  10. ARMASPECTRUM: RATS procedure to graph the spectral density for an input ARMA model
    Statistical Software Components, Boston College Department of Economics Downloads
  11. BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas
    Statistical Software Components, Boston College Department of Economics Downloads
  12. BAIPERRON: RATS procedure to perform Bai-Perron Test for Multiple Structural Changes
    Statistical Software Components, Boston College Department of Economics Downloads
  13. BAYESTST: RATS procedure to perform Bayesian Unit Root test
    Statistical Software Components, Boston College Department of Economics Downloads
  14. BDINDTEST: RATS procedure to perform battery of independence tests
    Statistical Software Components, Boston College Department of Economics Downloads
  15. BDSTEST: RATS procedure to compute Brock-Decher-Scheinkman test for i.i.d
    Statistical Software Components, Boston College Department of Economics Downloads
  16. BETAPARMS: RATS procedure to compute parameters required for beta distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  17. BICORRTEST: RATS procedure to compute Hinich bi-correlations test for autocorrelation
    Statistical Software Components, Boston College Department of Economics Downloads
  18. BJAUTOFIT: RATS procedure to implement Automated ARIMA model selection
    Statistical Software Components, Boston College Department of Economics Downloads
  19. BJTRANS: RATS procedure to aid in selection of preliminary transformation
    Statistical Software Components, Boston College Department of Economics Downloads
  20. BKFILTER: RATS procedure to implement band pass filter using Baxter-King method
    Statistical Software Components, Boston College Department of Economics Downloads
  21. BNDECOMP: RATS procedure to perform Beveridge-Nelson decomposition
    Statistical Software Components, Boston College Department of Economics Downloads
  22. BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects
    Statistical Software Components, Boston College Department of Economics Downloads
  23. BQDODRAWS: RATS procedure to implement Monte Carlo draws from a VAR with Blanchard-Quah factorization
    Statistical Software Components, Boston College Department of Economics Downloads
  24. BRYBOSCHAN: RATS procedure to implement Bry-Boschan business cycle dating
    Statistical Software Components, Boston College Department of Economics Downloads
  25. CANCORR: RATS procedure to compute canonical correlations for two sets of series
    Statistical Software Components, Boston College Department of Economics Downloads
  26. CFEAT: RATS procedure to identify turning points and cyclical phases of a series
    Statistical Software Components, Boston College Department of Economics Downloads
  27. CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method
    Statistical Software Components, Boston College Department of Economics Downloads
  28. CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test
    Statistical Software Components, Boston College Department of Economics Downloads
  29. CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series
    Statistical Software Components, Boston College Department of Economics Downloads
  30. CLASSICALDECOMP: RATS procedure to decompose a series into trend, seasonal, irregular
    Statistical Software Components, Boston College Department of Economics Downloads
  31. CONDITION: RATS procedure to implement conditional forecasting
    Statistical Software Components, Boston College Department of Economics Downloads
  32. CORRADO: RATS procedure to perform Corrado non-parametric event test
    Statistical Software Components, Boston College Department of Economics Downloads
  33. CORRINTEGRAL: RATS procedure to compute a correlation integral for a series
    Statistical Software Components, Boston College Department of Economics Downloads
  34. CROSSPEC: RATS procedure to compute and graph phase and coherence
    Statistical Software Components, Boston College Department of Economics Downloads
  35. CUMPDGM: RATS procedure to perform Durbin's Cumulated Periodogram for serial correlation
    Statistical Software Components, Boston College Department of Economics Downloads
  36. CUSUMTESTS: RATS procedure to compute and display CUSUM and CUSUMQ tests
    Statistical Software Components, Boston College Department of Economics Downloads
  37. CVSTABTEST: RATS procedure to perform stability tests on a covariance matrix
    Statistical Software Components, Boston College Department of Economics Downloads
  38. DENTON: RATS procedure to distribute a series to a higher frequency using proportional Denton method
    Statistical Software Components, Boston College Department of Economics Downloads
  39. DFUNIT: RATS procedure to perform Dickey-Fuller unit root test
    Statistical Software Components, Boston College Department of Economics Downloads
  40. DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure
    Statistical Software Components, Boston College Department of Economics Downloads
  41. DISTRIB: RATS procedure to compute distribution from one frequency to a higher frequency
    Statistical Software Components, Boston College Department of Economics Downloads
  42. DIVISIA: RATS procedure to compute a Divisia index
    Statistical Software Components, Boston College Department of Economics Downloads
  43. DLMGLS: RATS procedure to perform GLS estimation with state-space model for errors
    Statistical Software Components, Boston College Department of Economics Downloads
  44. DLMIRF: RATS procedure to compute Impulse Response Function from a State-Space model
    Statistical Software Components, Boston College Department of Economics Downloads
  45. DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test
    Statistical Software Components, Boston College Department of Economics Downloads
  46. DSGECONTROL: RATS procedure to compute state space model adjustments for optimal control
    Statistical Software Components, Boston College Department of Economics Downloads
  47. DURBINLEVINSON: RATS procedure to compute autoregressive representations using Durbin-Levinson recursion
    Statistical Software Components, Boston College Department of Economics Downloads
  48. EBA: RATS procedure to perform Extreme Bounds Analysis
    Statistical Software Components, Boston College Department of Economics Downloads
  49. EGTEST: RATS procedure to compute Engle-Granger test for Cointegration
    Statistical Software Components, Boston College Department of Economics Downloads
  50. EGTESTRESIDS: RATS procedure to compute Engle-Granger test for cointegration on 1st stage residuals
    Statistical Software Components, Boston College Department of Economics Downloads
  51. ELFCALC: RATS procedure to compute empirical likelihood for a set of moment conditions
    Statistical Software Components, Boston College Department of Economics Downloads
  52. ENDERSIKLOS: RATS procedure to perform Enders-Siklos test for cointegration with threshold effect
    Statistical Software Components, Boston College Department of Economics Downloads
  53. EQNTOACF: RATS procedure to create an ACF from an ARMA equation
    Statistical Software Components, Boston College Department of Economics Downloads
  54. ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests
    Statistical Software Components, Boston College Department of Economics Downloads
  55. EXACTINVERSE: RATS procedure to compute exact (limit) inverse with "infinite" components
    Statistical Software Components, Boston College Department of Economics Downloads
  56. FLUX: RATS procedure to compute a general Nyblom fluctuations test
    Statistical Software Components, Boston College Department of Economics Downloads
  57. FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares
    Statistical Software Components, Boston College Department of Economics Downloads
  58. FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row
    Statistical Software Components, Boston College Department of Economics Downloads
  59. GAIN: RATS procedure to compute and graph the gain and phase of a pair of series
    Statistical Software Components, Boston College Department of Economics Downloads
  60. GAMMAPARMS: RATS procedure to compute parameters required for gamma distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  61. GARCHFORE: RATS procedure to perform univariate GARCH forecasting
    Statistical Software Components, Boston College Department of Economics Downloads
  62. GAUSSHERMITE: RATS procedure to generate weights and grid points for Gauss-Hermite numerical integration
    Statistical Software Components, Boston College Department of Economics Downloads
  63. GLSDETREND: RATS procedure to perform local to unity GLS detrending
    Statistical Software Components, Boston College Department of Economics Downloads
  64. GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)
    Statistical Software Components, Boston College Department of Economics Downloads
  65. GNEWBOLD: RATS procedure to perform Granger-Newbold forecast comparison test
    Statistical Software Components, Boston College Department of Economics Downloads
  66. GPH: RATS procedure to compute Geweke-Porter-Hudak estimate of fractional differencing
    Statistical Software Components, Boston College Department of Economics Downloads
  67. GREGORYHANSEN: RATS procedure to implement Gregory-Hansen test for Cointegration with breaks
    Statistical Software Components, Boston College Department of Economics Downloads
  68. HADRI: RATS procedure to implement Hadri test for unit roots in panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  69. HALTON: RATS procedure to generate Halton sequences
    Statistical Software Components, Boston College Department of Economics Downloads
  70. HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm
    Statistical Software Components, Boston College Department of Economics Downloads
  71. HILLGEV: RATS procedure to estimate tail index for a distribution using Hill's method
    Statistical Software Components, Boston College Department of Economics Downloads
  72. HINICHTEST: RATS procedure to perform Hinich test for linearity and Gaussianity
    Statistical Software Components, Boston College Department of Economics Downloads
  73. HJBOUNDS: RATS procedure to compute Hansen-Jagannathan bounds for a set of returns
    Statistical Software Components, Boston College Department of Economics Downloads
  74. HTUNIT: RATS procedure to implement Harris-Tzavalis unit root test for panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  75. HURST: RATS procedure to compute a Hurst exponent
    Statistical Software Components, Boston College Department of Economics Downloads
  76. Hurst exponent estimation procedure
    Rats codes Downloads
  77. ICSS: RATS procedure to perform Inclan-Tiao test for breaks in variance
    Statistical Software Components, Boston College Department of Economics Downloads
  78. INTERPOL: RATS procedure to interpolate from one frequency to a higher one
    Statistical Software Components, Boston College Department of Economics Downloads
  79. INVGAMMAPARMS: RATS procedure to compute parameters required for inverse gamma distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  80. IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test
    Statistical Software Components, Boston College Department of Economics Downloads
  81. JOHMLE: RATS procedure to perform Johansen ML Cointegration analysis
    Statistical Software Components, Boston College Department of Economics Downloads
  82. KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test
    Statistical Software Components, Boston College Department of Economics Downloads
  83. KSCPOSTDRAW: RATS procedure to draw from posterior density needed in stochastic volatility model
    Statistical Software Components, Boston College Department of Economics Downloads
  84. LIML: RATS procedure to perform limited information maximum likelihood estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  85. LOGMVSKEWT: RATS procedure to compute function for log density of multivariate skew-t distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  86. LOGNORMALPARMS: RATS procedure to compute parameters required for log normal distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  87. LOGSKEWTDENSITY: RATS procedure to compute log density of skew-t distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  88. LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks
    Statistical Software Components, Boston College Department of Economics Downloads
  89. LSDVC: RATS procedure to estimate a dynamic FE model with correction for bias
    Statistical Software Components, Boston College Department of Economics Downloads
  90. LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks
    Statistical Software Components, Boston College Department of Economics Downloads
  91. MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm
    Statistical Software Components, Boston College Department of Economics Downloads
  92. MACKINNONCV: RATS procedure to compute Mackinnon's Critical values for DF and EG tests
    Statistical Software Components, Boston College Department of Economics Downloads
  93. MANNWHITNEY: RATS procedure to perform Mann-Whitney test for comparison of samples
    Statistical Software Components, Boston College Department of Economics Downloads
  94. MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands
    Statistical Software Components, Boston College Department of Economics Downloads
  95. MCLEODLI: RATS procedure to perform a McLeod-Li test for 2nd order dependence
    Statistical Software Components, Boston College Department of Economics Downloads
  96. MCMCPOSTPROC: RATS procedure to calculate sample statistics from MCMC realizations
    Statistical Software Components, Boston College Department of Economics Downloads
  97. MCVARDODDRAWS: RATS procedure to perform Monte Carlo draws from a VAR to generate IRF's
    Statistical Software Components, Boston College Department of Economics Downloads
  98. MEANGROUP: RATS procedure to perform mean group estimator for panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  99. MESA: RATS procedure to compute and graph a spectrum using Maximum Entropy Method
    Statistical Software Components, Boston College Department of Economics Downloads
  100. MHEGY: RATS procedure to implement the monthly version of the "HEGY" tests
    Statistical Software Components, Boston College Department of Economics Downloads
  101. MIXVAR: RATS procedure to compute mixed estimation of an equation with a Bayesian prior
    Statistical Software Components, Boston College Department of Economics Downloads
  102. MONTEVAR: RATS procedure to perform Monte Carlo Integration of VAR Impulse Response confidence bands
    Statistical Software Components, Boston College Department of Economics Downloads
  103. MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  104. MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures
    Statistical Software Components, Boston College Department of Economics Downloads
  105. MSSETUP: RATS procedure to perform Markov switching general support procedures
    Statistical Software Components, Boston College Department of Economics Downloads
  106. MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures
    Statistical Software Components, Boston College Department of Economics Downloads
  107. MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures
    Statistical Software Components, Boston College Department of Economics Downloads
  108. MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis
    Statistical Software Components, Boston College Department of Economics Downloads
  109. MVARCHTEST: RATS procedure to perform Multivariate test for ARCH
    Statistical Software Components, Boston College Department of Economics Downloads
  110. MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's
    Statistical Software Components, Boston College Department of Economics Downloads
  111. MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting
    Statistical Software Components, Boston College Department of Economics Downloads
  112. MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix
    Statistical Software Components, Boston College Department of Economics Downloads
  113. MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test
    Statistical Software Components, Boston College Department of Economics Downloads
  114. MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic
    Statistical Software Components, Boston College Department of Economics Downloads
  115. NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates
    Statistical Software Components, Boston College Department of Economics Downloads
  116. OLSHODRICK: RATS procedure to compute Hodrick standard errors
    Statistical Software Components, Boston College Department of Economics Downloads
  117. PANELDOLS: RATS procedure to perform panel data group mean DOLS
    Statistical Software Components, Boston College Department of Economics Downloads
  118. PANELFM: RATS procedure to perform panel data group mean FMOLS
    Statistical Software Components, Boston College Department of Economics Downloads
  119. PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model
    Statistical Software Components, Boston College Department of Economics Downloads
  120. PERRONBREAKS: RATS procedure to compute various unit root tests with breaks
    Statistical Software Components, Boston College Department of Economics Downloads
  121. PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests
    Statistical Software Components, Boston College Department of Economics Downloads
  122. PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date
    Statistical Software Components, Boston College Department of Economics Downloads
  123. PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series
    Statistical Software Components, Boston College Department of Economics Downloads
  124. PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions
    Statistical Software Components, Boston College Department of Economics Downloads
  125. PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test
    Statistical Software Components, Boston College Department of Economics Downloads
  126. PRINFACTORS: RATS procedure to perform principal components-based factor analysis
    Statistical Software Components, Boston College Department of Economics Downloads
  127. PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model
    Statistical Software Components, Boston College Department of Economics Downloads
  128. PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model
    Statistical Software Components, Boston College Department of Economics Downloads
  129. QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion
    Statistical Software Components, Boston College Department of Economics Downloads
  130. RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals
    Statistical Software Components, Boston College Department of Economics Downloads
  131. RATS program to calculate optimal portfolios
    Statistical Software Components, Boston College Department of Economics Downloads
  132. RATS program to demonstate robust estimation techniques in a linear model
    Statistical Software Components, Boston College Department of Economics Downloads
  133. RATS program to demonstrate Arellano-Bond estimator for dynamic panel model
    Statistical Software Components, Boston College Department of Economics Downloads
  134. RATS program to demonstrate Bayesian VAR estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  135. RATS program to demonstrate Durbin's Cumulated Periodogram test for serial correlation
    Statistical Software Components, Boston College Department of Economics Downloads
  136. RATS program to demonstrate Gibbs Sampling applied to a Bayesian VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  137. RATS program to demonstrate Gibbs sampling with GARCH model
    Statistical Software Components, Boston College Department of Economics Downloads
  138. RATS program to demonstrate Gibbs sampling with a linear regression
    Statistical Software Components, Boston College Department of Economics Downloads
  139. RATS program to demonstrate Hannan efficient estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  140. RATS program to demonstrate Inclan-Tiao test for breaks in variance
    Statistical Software Components, Boston College Department of Economics Downloads
  141. RATS program to demonstrate Markov Switching ARCH
    Statistical Software Components, Boston College Department of Economics Downloads
  142. RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable
    Statistical Software Components, Boston College Department of Economics Downloads
  143. RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  144. RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  145. RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs
    Statistical Software Components, Boston College Department of Economics Downloads
  146. RATS program to demonstrate Shiller smoothness prior for distributed lag
    Statistical Software Components, Boston College Department of Economics Downloads
  147. RATS program to demonstrate Swamy GLS matrix weighted estimator
    Statistical Software Components, Boston College Department of Economics Downloads
  148. RATS program to demonstrate block causality tests in a VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  149. RATS program to demonstrate bootstrapping applied to Granger causality test
    Statistical Software Components, Boston College Department of Economics Downloads
  150. RATS program to demonstrate bootstrapping spectral density estimates
    Statistical Software Components, Boston College Department of Economics Downloads
  151. RATS program to demonstrate bootstrapping with a GARCH model
    Statistical Software Components, Boston College Department of Economics Downloads
  152. RATS program to demonstrate bootstrapping with a VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  153. RATS program to demonstrate bootstrapping with a VECM
    Statistical Software Components, Boston College Department of Economics Downloads
  154. RATS program to demonstrate bootstrapping with an ARMA model
    Statistical Software Components, Boston College Department of Economics Downloads
  155. RATS program to demonstrate bootstrapping with cointegration
    Statistical Software Components, Boston College Department of Economics Downloads
  156. RATS program to demonstrate calculation of an arranged autoregression
    Statistical Software Components, Boston College Department of Economics Downloads
  157. RATS program to demonstrate conditional forecasting with a VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  158. RATS program to demonstrate contour graph
    Statistical Software Components, Boston College Department of Economics Downloads
  159. RATS program to demonstrate estimation of a stochastic volatility model
    Statistical Software Components, Boston College Department of Economics Downloads
  160. RATS program to demonstrate estimation of an ARMAX model
    Statistical Software Components, Boston College Department of Economics Downloads
  161. RATS program to demonstrate estimation of structural VAR's
    Statistical Software Components, Boston College Department of Economics Downloads
  162. RATS program to demonstrate forecasting using spectral techniques
    Statistical Software Components, Boston College Department of Economics Downloads
  163. RATS program to demonstrate frequency domain deseasonalization
    Statistical Software Components, Boston College Department of Economics Downloads
  164. RATS program to demonstrate importance sampling with GARCH model
    Statistical Software Components, Boston College Department of Economics Downloads
  165. RATS program to demonstrate lag length selection techniques in a VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  166. RATS program to demonstrate multivariate GARCH models
    Statistical Software Components, Boston College Department of Economics Downloads
  167. RATS program to demonstrate multivariate GARCH using 2-stage DCC
    Statistical Software Components, Boston College Department of Economics Downloads
  168. RATS program to demonstrate non-parametric regression
    Statistical Software Components, Boston College Department of Economics Downloads
  169. RATS program to demonstrate quadratic programming
    Statistical Software Components, Boston College Department of Economics Downloads
  170. RATS program to demonstrate time-varying coefficient estimation in a VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  171. RATS program to demonstrate univariate GARCH estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  172. RATS program to demonstrate use of neural networks
    Statistical Software Components, Boston College Department of Economics Downloads
  173. RATS program to demonstrate various stability tests
    Statistical Software Components, Boston College Department of Economics Downloads
  174. RATS program to estimate DSGE model
    Statistical Software Components, Boston College Department of Economics Downloads
  175. RATS program to estimate Hamilton switching model
    Statistical Software Components, Boston College Department of Economics Downloads
  176. RATS program to estimate a linear regression using an adaptive kernel estimator
    Statistical Software Components, Boston College Department of Economics Downloads
  177. RATS program to estimate a model with fractional differencing
    Statistical Software Components, Boston College Department of Economics Downloads
  178. RATS program to estimate observable index model from Sargent-Sims(1977)
    Statistical Software Components, Boston College Department of Economics Downloads
  179. RATS program to estimate probit model with random effects
    Statistical Software Components, Boston College Department of Economics Downloads
  180. RATS program to estimate term structure using non-linear methods
    Statistical Software Components, Boston College Department of Economics Downloads
  181. RATS program to estimate term structure with cubic splines
    Statistical Software Components, Boston College Department of Economics Downloads
  182. RATS program to solve Cass-Koopmans growth model
    Statistical Software Components, Boston College Department of Economics Downloads
  183. RATS program to solve Erceg-Henderson-Levin model
    Statistical Software Components, Boston College Department of Economics Downloads
  184. RATS program to solve Lubik-Schorfheide JME 2007 DSGE model
    Statistical Software Components, Boston College Department of Economics Downloads
  185. RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model
    Statistical Software Components, Boston College Department of Economics Downloads
  186. RATS programs to estimate multivariate stochastic volatility models
    Statistical Software Components, Boston College Department of Economics Downloads
  187. RATS programs to estimate structural VAR-GARCH-M model
    Statistical Software Components, Boston College Department of Economics Downloads
  188. RATS programs to replicate Aruoba, Diebold and Scotti JBES 2009
    Statistical Software Components, Boston College Department of Economics Downloads
  189. RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results
    Statistical Software Components, Boston College Department of Economics Downloads
  190. RATS programs to replicate Balke-Fomby threshold cointegration
    Statistical Software Components, Boston College Department of Economics Downloads
  191. RATS programs to replicate Bernanke and Mihov QJE 1998
    Statistical Software Components, Boston College Department of Economics Downloads
  192. RATS programs to replicate Bernanke, Boivin, Eliasz FAVAR paper
    Statistical Software Components, Boston College Department of Economics Downloads
  193. RATS programs to replicate Bjornland-Leitemo(2009) SVAR with short- and long-run restrictions
    Statistical Software Components, Boston College Department of Economics Downloads
  194. RATS programs to replicate Blanchard and Quah AER 1989
    Statistical Software Components, Boston College Department of Economics Downloads
  195. RATS programs to replicate Burnside's JBES 1994 paper on asset pricing
    Statistical Software Components, Boston College Department of Economics Downloads
  196. RATS programs to replicate CKLS(1992) estimation of interest rate models
    Statistical Software Components, Boston College Department of Economics Downloads
  197. RATS programs to replicate Campbell and Ammer's JOF 1993 paper
    Statistical Software Components, Boston College Department of Economics Downloads
  198. RATS programs to replicate Den Haan JME(2000) correlation of comovements
    Statistical Software Components, Boston College Department of Economics Downloads
  199. RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control
    Statistical Software Components, Boston College Department of Economics Downloads
  200. RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations
    Statistical Software Components, Boston College Department of Economics Downloads
  201. RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model
    Statistical Software Components, Boston College Department of Economics Downloads
  202. RATS programs to replicate Dueker(1997) Markov switching GARCH models
    Statistical Software Components, Boston College Department of Economics Downloads
  203. RATS programs to replicate Dueker(2005) JBES dynamic probit model
    Statistical Software Components, Boston College Department of Economics Downloads
  204. RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration
    Statistical Software Components, Boston College Department of Economics Downloads
  205. RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots
    Statistical Software Components, Boston College Department of Economics Downloads
  206. RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results
    Statistical Software Components, Boston College Department of Economics Downloads
  207. RATS programs to replicate Faust and Leeper JBES 1997 paper
    Statistical Software Components, Boston College Department of Economics Downloads
  208. RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching
    Statistical Software Components, Boston College Department of Economics Downloads
  209. RATS programs to replicate Gali's QJE 1992 results
    Statistical Software Components, Boston College Department of Economics Downloads
  210. RATS programs to replicate Gonzalo and Granger JBES 1995 paper
    Statistical Software Components, Boston College Department of Economics Downloads
  211. RATS programs to replicate Gray's 1996 Regime Switching GARCH paper
    Statistical Software Components, Boston College Department of Economics Downloads
  212. RATS programs to replicate Hansen's GARCH models with time-varying t-densities
    Statistical Software Components, Boston College Department of Economics Downloads
  213. RATS programs to replicate Hansen's example of threshold break in panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  214. RATS programs to replicate Hansen's examples of Andrews-Ploberger test
    Statistical Software Components, Boston College Department of Economics Downloads
  215. RATS programs to replicate Hansen's threshold estimation and testing results
    Statistical Software Components, Boston College Department of Economics Downloads
  216. RATS programs to replicate Hansen/Seo paper on threshold cointegration
    Statistical Software Components, Boston College Department of Economics Downloads
  217. RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model
    Statistical Software Components, Boston College Department of Economics Downloads
  218. RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility
    Statistical Software Components, Boston College Department of Economics Downloads
  219. RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results
    Statistical Software Components, Boston College Department of Economics Downloads
  220. RATS programs to replicate Krolzig MS-VAR's for six country models
    Statistical Software Components, Boston College Department of Economics Downloads
  221. RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts
    Statistical Software Components, Boston College Department of Economics Downloads
  222. RATS programs to replicate Mark-Sul(2003) panel DOLS
    Statistical Software Components, Boston College Department of Economics Downloads
  223. RATS programs to replicate Michael-Nobay-Peel ESTAR models
    Statistical Software Components, Boston College Department of Economics Downloads
  224. RATS programs to replicate Morley-Nelson-Zivot state space decomposition
    Statistical Software Components, Boston College Department of Economics Downloads
  225. RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  226. RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients
    Statistical Software Components, Boston College Department of Economics Downloads
  227. RATS programs to replicate Papell and Prodan one and two break unit root tests
    Statistical Software Components, Boston College Department of Economics Downloads
  228. RATS programs to replicate Pedroni PPP tests on panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  229. RATS programs to replicate Perron-Wada state space model
    Statistical Software Components, Boston College Department of Economics Downloads
  230. RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data
    Statistical Software Components, Boston College Department of Economics Downloads
  231. RATS programs to replicate Quah and Vahey core inflation estimation
    Statistical Software Components, Boston College Department of Economics Downloads
  232. RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"
    Statistical Software Components, Boston College Department of Economics Downloads
  233. RATS programs to replicate Sinclair(2009) bivariate state-space model
    Statistical Software Components, Boston College Department of Economics Downloads
  234. RATS programs to replicate Terasvirta's 1994 STAR model results
    Statistical Software Components, Boston College Department of Economics Downloads
  235. RATS programs to replicate Tsay's 1998 multivariate threshold results
    Statistical Software Components, Boston College Department of Economics Downloads
  236. RATS programs to replicate Tse's constant correlation GARCH test results
    Statistical Software Components, Boston College Department of Economics Downloads
  237. RATS programs to replicate Uhlig's VAR identification technique
    Statistical Software Components, Boston College Department of Economics Downloads
  238. RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)
    Statistical Software Components, Boston College Department of Economics Downloads
  239. RATS programs to replicate Wright's Alternative Variance Ratio test results
    Statistical Software Components, Boston College Department of Economics Downloads
  240. RATS programs to replicate examples of Bai-Perron procedure
    Statistical Software Components, Boston College Department of Economics Downloads
  241. RATS programs to replicate results from Gregory and Hansen(1996) JOE article
    Statistical Software Components, Boston College Department of Economics Downloads
  242. RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap
    Statistical Software Components, Boston College Department of Economics Downloads
  243. RATS programs to replicates Gali's AEA 1999 VAR results
    Statistical Software Components, Boston College Department of Economics Downloads
  244. REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson
    Statistical Software Components, Boston College Department of Economics Downloads
  245. REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values
    Statistical Software Components, Boston College Department of Economics Downloads
  246. REGPCSE: RATS procedure to compute panel-corrected standard error calculation
    Statistical Software Components, Boston College Department of Economics Downloads
  247. REGRESET: RATS procedure to perform Ramsey RESET test on regression
    Statistical Software Components, Boston College Department of Economics Downloads
  248. REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis
    Statistical Software Components, Boston College Department of Economics Downloads
  249. REGWHITENNTEST: RATS procedure to perform White neural network test on regression
    Statistical Software Components, Boston College Department of Economics Downloads
  250. REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression
    Statistical Software Components, Boston College Department of Economics Downloads
  251. REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression
    Statistical Software Components, Boston College Department of Economics Downloads
  252. RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods
    Statistical Software Components, Boston College Department of Economics Downloads
  253. ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series
    Statistical Software Components, Boston College Department of Economics Downloads
  254. ROLLREG: RATS procedure to compute rolling regressions for least squares
    Statistical Software Components, Boston College Department of Economics Downloads
  255. RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals
    Statistical Software Components, Boston College Department of Economics Downloads
  256. RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)
    Statistical Software Components, Boston College Department of Economics Downloads
  257. RUNTEST: RATS procedure to compute a run test for a two-state series
    Statistical Software Components, Boston College Department of Economics Downloads
  258. SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions
    Statistical Software Components, Boston College Department of Economics Downloads
  259. SPECFORE: RATS procedure to compute forecasts using spectral techniques
    Statistical Software Components, Boston College Department of Economics Downloads
  260. SPECTRUM: RATS procedure to compute/graph spectral density
    Statistical Software Components, Boston College Department of Economics Downloads
  261. SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model
    Statistical Software Components, Boston College Department of Economics Downloads
  262. STABTEST: RATS procedure to perform Hansen's stability test for OLS
    Statistical Software Components, Boston College Department of Economics Downloads
  263. STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model
    Statistical Software Components, Boston College Department of Economics Downloads
  264. STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR
    Statistical Software Components, Boston College Department of Economics Downloads
  265. STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model
    Statistical Software Components, Boston College Department of Economics Downloads
  266. STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests
    Statistical Software Components, Boston College Department of Economics Downloads
  267. STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals
    Statistical Software Components, Boston College Department of Economics Downloads
  268. SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model
    Statistical Software Components, Boston College Department of Economics Downloads
  269. SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set
    Statistical Software Components, Boston College Department of Economics Downloads
  270. SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS
    Statistical Software Components, Boston College Department of Economics Downloads
  271. SWTRENDS: RATS procedure to test cointegration rank using common trends analysis
    Statistical Software Components, Boston College Department of Economics Downloads
  272. TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect
    Statistical Software Components, Boston College Department of Economics Downloads
  273. THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break
    Statistical Software Components, Boston College Department of Economics Downloads
  274. TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities
    Statistical Software Components, Boston College Department of Economics Downloads
  275. TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR)
    Statistical Software Components, Boston College Department of Economics Downloads
  276. TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model
    Statistical Software Components, Boston College Department of Economics Downloads
  277. UFOREERRORS: RATS procedure to compute forecast errors for a univariate model
    Statistical Software Components, Boston College Department of Economics Downloads
  278. UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks
    Statistical Software Components, Boston College Department of Economics Downloads
  279. UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  280. UNIQUEVALUES: RATS procedure to extract unique values from a series
    Statistical Software Components, Boston College Department of Economics Downloads
  281. Unit Roots, Cointegration, VAR estimation and more
    Rats codes Downloads
  282. VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  283. VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  284. VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  285. VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  286. VARIMAX: RATS procedure to perform factor rotation using varimax criterion
    Statistical Software Components, Boston College Department of Economics Downloads
  287. VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR
    Statistical Software Components, Boston College Department of Economics Downloads
  288. VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method
    Statistical Software Components, Boston College Department of Economics Downloads
  289. VARLAGSELECT: RATS procedure to select lag length for a VAR model
    Statistical Software Components, Boston College Department of Economics Downloads
  290. VARMADLM: RATS procedure to analyze a VARMA using state-space techniques
    Statistical Software Components, Boston College Department of Economics Downloads
  291. VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression
    Statistical Software Components, Boston College Department of Economics Downloads
  292. VRATIO: RATS procedure to implement variance ratio unit root test procedure
    Statistical Software Components, Boston College Department of Economics Downloads
  293. ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test
    Statistical Software Components, Boston College Department of Economics Downloads
 
Page updated 2014-04-20