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Statistical Software Components

From Boston College Department of Economics
Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA.
Contact information at EDIRC.

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RATS programs to replicate Burnside's JBES 1994 paper on asset pricing Downloads
Tom Doan
RATS programs to replicate Campbell and Ammer's JOF 1993 paper Downloads
Tom Doan
RATS programs to replicate CKLS(1992) estimation of interest rate models Downloads
Tom Doan
RATS programs to replicate Den Haan JME(2000) correlation of comovements Downloads
Tom Doan
RATS programs to replicate Dennis Macroeconomic Dynamics 2007 optimal control Downloads
Tom Doan
RATS programs to replicate Diebold and Yilmaz EJ 2009 spillover calculations Downloads
Tom Doan
RATS programs to replicate Diebold,Rudebusch,Aruoba 2006 factor model Downloads
Tom Doan
RATS programs to replicate Dueker(1997) Markov switching GARCH models Downloads
Tom Doan
RATS programs to replicate Dueker(2005) JBES dynamic probit model Downloads
Tom Doan
RATS programs to replicate Enders-Siklos(2001) JBES paper on threshold cointegration Downloads
Tom Doan
RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots Downloads
Tom Doan
RATS programs to replicate examples of Bai-Perron procedure Downloads
Tom Doan
RATS programs to replicate Fabiani-Mestre 2004 NAIRU model results Downloads
Tom Doan
RATS programs to replicate Faust and Leeper JBES 1997 paper Downloads
Tom Doan
RATS programs to replicate Filardo JBES 1994 paper with time-varying Markov switching Downloads
Tom Doan
RATS programs to replicate Gali's QJE 1992 results Downloads
Tom Doan
RATS programs to replicate Gonzalo and Granger JBES 1995 paper Downloads
Tom Doan
RATS programs to replicate Gray's 1996 Regime Switching GARCH paper Downloads
Tom Doan
RATS programs to replicate Hansen's example of threshold break in panel data Downloads
Tom Doan
RATS programs to replicate Hansen's examples of Andrews-Ploberger test Downloads
Tom Doan
RATS programs to replicate Hansen's GARCH models with time-varying t-densities Downloads
Tom Doan
RATS programs to replicate Hansen's threshold estimation and testing results Downloads
Tom Doan
RATS programs to replicate Hansen/Seo paper on threshold cointegration Downloads
Tom Doan
RATS programs to replicate Ireland's JEDC 2004 estimation of DSGE model Downloads
Tom Doan
RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility Downloads
Tom Doan
RATS programs to replicate King, Plosser, Stock, Watson AER 1991 results Downloads
Tom Doan
RATS programs to replicate Krolzig MS-VAR's for six country models Downloads
Tom Doan
RATS programs to replicate Lanne-Lutkepohl JMCB 2008 structural VAR with volatility shifts Downloads
Tom Doan
RATS programs to replicate Mark-Sul(2003) panel DOLS Downloads
Tom Doan
RATS programs to replicate Michael-Nobay-Peel ESTAR models Downloads
Tom Doan
RATS programs to replicate Morley-Nelson-Zivot state space decomposition Downloads
Tom Doan
RATS programs to replicate Mountford and Uhlig JAE 2009 sign-constrained VAR Downloads
Tom Doan
RATS programs to replicate Ozbek and Ozlale state space model with time-varying coefficients Downloads
Tom Doan
RATS programs to replicate Papell and Prodan one and two break unit root tests Downloads
Tom Doan
RATS programs to replicate Pedroni PPP tests on panel data Downloads
Tom Doan
RATS programs to replicate Perron-Wada state space model Downloads
Tom Doan
RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data Downloads
Tom Doan
RATS programs to replicate Quah and Vahey core inflation estimation Downloads
Tom Doan
RATS programs to replicate results from Gregory and Hansen(1996) JOE article Downloads
Tom Doan
RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses" Downloads
Tom Doan
RATS programs to replicate Sinclair(2009) bivariate state-space model Downloads
Tom Doan
RATS programs to replicate structural break test with Hansen's fixed regressor bootstrap Downloads
Tom Doan
RATS programs to replicate Terasvirta's 1994 STAR model results Downloads
Tom Doan
RATS programs to replicate Tsay's 1998 multivariate threshold results Downloads
Tom Doan
RATS programs to replicate Tse's constant correlation GARCH test results Downloads
Tom Doan
RATS programs to replicate Uhlig's VAR identification technique Downloads
Tom Doan
RATS programs to replicate Willinger, Taqqu, Teverovsky(1999) Downloads
Tom Doan
RATS programs to replicate Wright's Alternative Variance Ratio test results Downloads
Tom Doan
RATS programs to replicates Gali's AEA 1999 VAR results Downloads
Tom Doan
RBC: Mathematica notebook to solve and simulate Real Business Cycle models Downloads
Ibrahima Diallo
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