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MATLAB for Economics and Econometrics A Beginners Guide

Frain, John C - Department of Economics, Trinity College Dublin - 2014

This beginners’ guide to MATLAB for economics and econometrics is an updated and extended version of Frain (2010). The … examples and illustrations here are based on Matlab version 8.3 (R2014a). It describes the new MATLAB Desktop, contains an … introductory MATLAB session showing elementary MATLAB operations, gives details of data input/output, decision and loop structures …

Persistent link: https://www.econbiz.de/10011145378

Introduction to STATA with Econometrics in Mind

Frain, John C - Department of Economics, Trinity College Dublin - 2010

This paper is an introduction to Stata with econometrics in mind. One aim of the proposed methodology is the keeping of appropriate records so that results can be easily replicated. These records should meet the requirements of management and internal audit functions in policy making bodies and...

Persistent link: https://www.econbiz.de/10008590967

Validating multiple structural change models : A case study

Kleiber, Christian; Zeileis, Achim - Institut für Wirtschafts- und Sozialstatistik, … - 2004

In a recent article, Bai and Perron (2003, Journal of Applied Econometrics) present a comprehensive discussion of computational aspects of multiple structural change models along with several empirical examples. Here, we report on the results of a replication study using the R statistical...

Persistent link: https://www.econbiz.de/10009216969

A COMPARATIVE ANALYSIS OF ALTERNATIVE ECONOMETRIC PACKAGES FOR THE UNBALANCED TWO-WAY ERROR COMPONENT MODEL

Bruno, Giuseppe - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706780

NISOCSol an algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints

Krawczyk, Jacek; Azzato, Jeffrey - Volkswirtschaftliche Fakultät, … - 2006

In this report, we outline a method for approximating a Markovian (or feedback-Nash) equilibrium of a dynamic game, possibly subject to coupled-constraints. We treat such a game as a "multiple" optimal control problem. A method for approximating a solution to a given optimal control problem via...

Persistent link: https://www.econbiz.de/10005837428

G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models

S»bastien Laurent; Peters, Jean-Philippe - Society for Computational Economics - SCE - 2001

This paper discusses and documents G@RCH 2.0, an Ox package dedicated to the estimation and forecasting of various univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of the conditional variance and an AR(FI)MA specification...

Persistent link: https://www.econbiz.de/10005132877

Limited dependent panel data models: a comparative analysis of classical and Bayesian inference among econometric packages

Bruno, Giuseppe - Society for Computational Economics - SCE - 2004

Advances in computing power allow the empirical researcher to use intensive computional techniques to solve and estimate nonlinear panel-data models, specifically those arising from nonlinear panel data such as Probit and Tobit models. In these cases, maximum-likelihood estimation can be...

Persistent link: https://www.econbiz.de/10005537638

Note on Lilien and Modified Lilien Index

Ansari, Muhammad Rashid; Mussida, Chiara; Pastore, Francesco - Institute for the Study of Labor (IZA) - 2013

This note is a companion to the Lilien (lilien) and Modified Lilien (mlilien) commands for computing the relative indices in STATA. The note illustrates the main features of the commands with an application to the structural determinants of regional unemployment.

Persistent link: https://www.econbiz.de/10010796450

SNM Guide

Creel, Michael; Kristensen, Dennis - Departament d'Economia i Història Econòmica, … - 2009

This is a guide that explains how to use software that implements the simulated nonparametric moments (SNM) estimator proposed by Creel and Kristensen (2009). The guide shows how results of that paper may easily be replicated, and explains how to install and use the software for estimation of...

Persistent link: https://www.econbiz.de/10008574593

Computing the Jacobian in spatial models: an applied survey.

Bivand, Roger - Institutt for samfunnsøkonomi, Norges Handelshøyskole … - 2010

Despite attempts to get around the Jacobian in fitting spatial econometric models by using GMM and other approximations, it remains a central problem for maximum likelihood estimation. In principle, and for smaller data sets, the use of the eigenvalues of the spatial weights matrix provides a...

Persistent link: https://www.econbiz.de/10009024453

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