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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 program to demonstrate Gibbs sampling with a linear regression Downloads
Tom Doan
RATS program to demonstrate Gibbs sampling with GARCH model Downloads
Tom Doan
RATS program to demonstrate Granger causality test with heterogeneous panel Downloads
Tom Doan
RATS program to demonstrate Hannan efficient estimation Downloads
Tom Doan
RATS program to demonstrate historical decomposition Downloads
Tom Doan
RATS program to demonstrate importance sampling with GARCH model Downloads
Tom Doan
RATS program to demonstrate Inclan-Tiao test for breaks in variance Downloads
Tom Doan
RATS program to demonstrate Inclan-Tiao test for breaks in variance Downloads
Tom Doan
RATS program to demonstrate IV estimation of VAR in panel data Downloads
Tom Doan
RATS program to demonstrate lag length selection techniques in a VAR Downloads
Tom Doan
RATS program to demonstrate Markov Switching ARCH Downloads
Tom Doan
RATS program to demonstrate Monte Carlo Impulse Response for a structural near-VAR Downloads
Tom Doan
RATS program to demonstrate Monte Carlo Impulse Response to exogenous variable Downloads
Tom Doan
RATS program to demonstrate Monte Carlo Impulse Responses for a Near-VAR Downloads
Tom Doan
RATS program to demonstrate Monte Carlo Impulse Responses for a standard VAR Downloads
Tom Doan
RATS program to demonstrate Monte Carlo Impulse Responses for overidentified SVARs Downloads
Tom Doan
RATS program to demonstrate multivariate GARCH models Downloads
Tom Doan
RATS program to demonstrate multivariate GARCH using 2-stage DCC Downloads
Tom Doan
RATS program to demonstrate non-parametric regression Downloads
Tom Doan
RATS program to demonstrate quadratic programming Downloads
Tom Doan
RATS program to demonstrate Shiller smoothness prior for distributed lag Downloads
Tom Doan
RATS program to demonstrate Swamy GLS matrix weighted estimator Downloads
Tom Doan
RATS program to demonstrate time-varying coefficient estimation in a VAR Downloads
Tom Doan
RATS program to demonstrate univariate GARCH estimation Downloads
Tom Doan
RATS program to demonstrate univariate GARCH with nonparametric density Downloads
Tom Doan
RATS program to demonstrate use of neural networks Downloads
Tom Doan
RATS program to demonstrate various stability tests Downloads
Tom Doan
RATS program to estimate a linear regression using an adaptive kernel estimator Downloads
Tom Doan
RATS program to estimate a model with fractional differencing Downloads
Tom Doan
RATS program to estimate DSGE model Downloads
Tom Doan
RATS program to estimate Hamilton switching model Downloads
Tom Doan
RATS program to estimate observable index model from Sargent-Sims(1977) Downloads
Tom Doan
RATS program to estimate probit model with random effects Downloads
Tom Doan
RATS program to estimate term structure using non-linear methods Downloads
Tom Doan
RATS program to estimate term structure with cubic splines Downloads
Tom Doan
RATS program to estimate various forms of DCC GARCH models Downloads
Tom Doan
RATS program to replicate Arellano-Bond 1991 dynamic panel Downloads
Tom Doan
RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects Downloads
Tom Doan
RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models Downloads
Tom Doan
RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response Downloads
Tom Doan
RATS program to replicate Faust 1998 paper on semi-structural VAR Downloads
Tom Doan
RATS program to replicate Hafner-Herwartz volatility impulse response functions Downloads
Tom Doan
RATS program to replicate Pedroni JAE 2007 paper using panel cointegration Downloads
Tom Doan
RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests Downloads
Tom Doan
RATS program to solve Cass-Koopmans growth model Downloads
Tom Doan
RATS program to solve Erceg-Henderson-Levin model Downloads
Tom Doan
RATS program to solve Lubik-Schorfheide JME 2007 DSGE model Downloads
Tom Doan
RATS programs to estimate Hamilton-Susmel Markov Switching ARCH model Downloads
Tom Doan
RATS programs to estimate multivariate stochastic volatility models Downloads
Tom Doan
RATS programs to estimate structural VAR-GARCH-M model Downloads
Tom Doan
Page updated 2017-11-22
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