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Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Shi, Juehui - 2019

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

Persistent link: https://www.econbiz.de/10012904559

A hitchhiker's guide to empirical macro models

Ferroni, Filippo; Canova, Fabio - 2021

This paper describes a package which uses MATLAB functions and routines to estimate VARs, local projections and other …

Persistent link: https://www.econbiz.de/10012617682

Package AdvEMDpy : algorithmic variations of empirical mode decomposition in Python

Jaarsveldt, Cole van; Ames, Matthew; Peters, Gareth; … - In: Annals of actuarial science 17 (2023) 3, pp. 606-642

Persistent link: https://www.econbiz.de/10014436792

A hitchhiker guide to empirical macro models

Canova, Fabio; Ferroni, Filippo - 2020

Persistent link: https://www.econbiz.de/10012321243

Parallel sequential Monto Carlo for efficient density combination : the deco matlab toolbox

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2013

Persistent link: https://www.econbiz.de/10009756320

Detection of shift in process mean with X chart for autocorrelated data

Singh, Sukhraj; Prajapati, D. R. - In: International journal of quality & reliability management 30 (2013) 7, pp. 765-779

Persistent link: https://www.econbiz.de/10009788881

A Matlab program and user's guide for the fractionally cointegrated VAR model

Nielsen, Morten Ørregaard; Popiel, Michal Ksawery - 2014

This manual describes the usage of the accompanying freely available Matlab program for estimation and testing in the … fractionally cointegrated vector autoregressive (FCVAR) model. This program replaces an earlier Matlab program by Nielsen and Morin … (2014), and although the present Matlab program is not compatible with the earlier one, we encourage use of the new program. …

Persistent link: https://www.econbiz.de/10010418272

Economic analysis using higher frequency time series : challenges for seasonal adjustment

Ollech, Daniel - 2021

The COVID-19 pandemic has increased the need for timely and granular information to assess the state of the economy in real time. Weekly and daily indices have been constructed using higher frequency data to address this need. Yet the seasonal and calendar adjustment of the underlying time...

Persistent link: https://www.econbiz.de/10012792800

StMAR Toolbox : A MATLAB Toolbox for Student's t Mixture Autoregressive Models

Meitz, Mika - 2018

This document provides an overview of the StMAR Toolbox, a MATLAB toolbox specifically designed for simulation …

Persistent link: https://www.econbiz.de/10012912421

Flexpaneldid : A Stata Toolbox for Causal Analysis with Varying Treatment Time and Duration

Dettmann, Eva - 2020

The paper presents a modification of the matching and difference-in-differences approach of Heckman et al. (1998) for the staggered treatment adoption design and a Stata tool that implements the approach. This flexible conditional difference-in-differences approach is particularly useful for...

Persistent link: https://www.econbiz.de/10012823265