Econometrics

I have about a hundred MATLAB routines related to econometrics, statistics and introductory economics teaching, which are written mostly in my spare time in the past years. Most of these MATLAB functions / scripts are supplied with a graphic user interface so that so you may estimate the model...


Platforms: Matlab

NumXL is a Microsoft Excel add-in for econometrics and data analysis, designed to make finance modeling and time series easier to manage. You can perform all of your data work right in Excel. NumXL allows you to apply advanced econometric analysis quickly and easily via an intuitive user...


Platforms: Windows, Windows 8, Windows 7, Windows Server

Two Econometrics Toolbox functions, lmtest and waldtest, require you to give derivative estimates or covariance estimates as inputs. How are you supposed to calculate those inputs? This demo shows how to calculate them using the Symbolic Math Toolbox jacobian function for gradients and...


Platforms: Matlab

BFRM is a comprehensive implementation of sparse statistical models for high-dimensional data analysis, structure discovery and prediction. The framework of sparse latent factor modelling coupled with sparse regression and anova for multivariate data is relevant in many exploratory and...


Platforms: Mac

DynaMo (Dynamic Models) is a package for simulation, estimation, inference, regularization and prediction of time series models, with a special focus on the families of models used in Financial Econometrics.


Platforms: *nix

Updates from version 2.0:1. The marginal GARCH models are estimated from the toolbox functions (without the use of the econometrics/GARCH toolbox of MATLAB).2. Hansen's Skew t distribution for the margins is supported.3. Asymptotic standard errors are computed (Godambe info. matrix)


Platforms: Matlab

This code simulates the Schwartz-Smith two Factor model form the paper Short-Term Variations and Long-Term Dynamics in Commodity Prices by Eduardo Schwartz and James E. Smith.I use the same parameter and data set time series of crude oil and obtain the same results as given in Figure 4 in their...


Platforms: Matlab

These files show how MATLAB can be used to simulate random walks both on a lattice in N-dimensions and on a graph. The zip file contains the following:RandDir: generates a random basis vector on a latticeRandGraphMove: Given a connection matrix for a graph generates a random neighbouring node to...


Platforms: Matlab