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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

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

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 : publ. by the Institute of … 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

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10003636133

EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For …

Persistent link: https://www.econbiz.de/10010533201

Time series modelling using TSMod 3.24

Bos, Charles S. - 2003

TSMod is an interactive program which allows the user to estimate a broad range of univariate models. This review describes the possibilities of the package, from a user's perspective and with a secondary focus on the numerical accuracy of the program.

Persistent link: https://www.econbiz.de/10011334344