Computational Econometrics
GAUSS Programming for Econometricians and Financial Analysts
ETEXT Publishing, 2001. ISBN 0-9705314-3-5

Copyright© 2001 by Kuan-Pin Lin
All Rights Reserved

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Table of Contents

Chapter IIntroduction
Chapter IIGAUSS Basics
Lesson 2.1: --Let's Begin
Lesson 2.2: LONGLEY.TXT File I/O
Lesson 2.3: LONGLEY.TXT Data Transformation
Lesson 2.4: LONGLEY.TXT Data Analysis
Chapter IIILinear Regression Models
Lesson 3.1: LONGLEY.TXT Simple Regression
Lesson 3.2: LONGLEY.TXT Residual Analysis
Lesson 3.3: LONGLEY.TXT Multiple Regression
Lesson 3.3a: LONGLEY.TXT Beta Coefficients
Lesson 3.4: CJX.TXT Cobb-Douglas Production Function
Lesson 3.5: CJX.TXT Testing for Structural Change
Lesson 3.5a: CJX.TXT Testing for Model Stability
Lesson 3.6: CJX.TXT Residual Diagnostics
Chapter IVDummy Variables
Lesson 4.1: ALMON.TXT Seasonal Dummy Variables
Lesson 4.2: ALMON.TXT Dummy Variable Trap
Lesson 4.3: CJX.TXT Testing for Structural Change: Dummy Variable Approach
Chapter VMulticollinearity
Lesson 5.1: LONGLEY.TXT Condition Number and Correlation Matrix
Lesson 5.2: LONGLEY.TXT Theil's Measure of Multicollinearity
Lesson 5.3: LONGLEY.TXT Variance Inflation Factors (VIF)
Lesson 5.4: LONGLEY.TXT Ridge Regression and Principal Components
Chapter VINonlinear Optimization
Lesson 6.1: --One-Variable Scalar-Valued Function
Lesson 6.2: --Two-Variable Scalar-Valued Function
Lesson 6.3: YED20.TXT Estimating Probability Distributions
Lesson 6.4: YED20.TXT Mixtures of Probability Distributions
Lesson 6.5: JUDGE.TXT Minimizing Sum-of-Squares Function
Lesson 6.6: JUDGE.TXT Maximizing Log-Likelihood Function
Chapter VIINonlinear Regression Models
Lesson 7.1: JUDGE.TXT CES Production Function
Lesson 7.2: MONEY.TXT Box-Cox Variable Transformation
Lesson 7.3: JUDGE.TXT Hypothesis Testings for Nonlinear Models
Lesson 7.4: MONEY.TXT Likelihood Ratio Tests of Money Demand Equation
Chapter VIIIDiscrete and Limited Dependent Variables
Lesson 8.1: GRADE.TXT Probit Model of Economic Education
Lesson 8.2: GRADE.TXT Logit Model of Economic Education
Lesson 8.3: FAIR.TXT Tobit Analysis of Extramarital Affairs
Chapter IXHeteroscedasticity
Lesson 9.1: GREENE.TXT Heteroscedasticity-Consistent Covariance Matrix
Lesson 9.2: GREENE.TXT Goldfeld-Quandt Test and Correction for Heteroscedasticity
Lesson 9.3: GREENE.TXT Breusch-Pagan Test and Correction for Heteroscedasticity
Lesson 9.4: GREENE.TXT Multiplicative Heteroscedasticity
Chapter XAutocorrelation
Lesson 10.1: CJX.TXT Heteroscedasticity-Autocorrelation-Consistent Covariance Matrix
Lesson 10.2: CJX.TXT Tests for Autocorrelation
Lesson 10.3: CJX.TXT Cochrane-Orcutt Iterative Procedure
Lesson 10.4: CJX.TXT Hildreth-Lu Grid Search Procedure
Lesson 10.5: CJX.TXT Higher Order Autocorrelation
Lesson 10.6: CJX.TXT ARMA(1,1) Error Structure
Lesson 10.7: CJX.TXT Nonlinear ARMA Model Estimation
Chapter XIDistributed Lag Models
Lesson 11.1: USYC87.TXT Testing for Autocorrelation with Lagged Dependent Variable
Lesson 11.2: USYC87.TXT Instrumental Variable Estimation
Lesson 11.3: ALMON.TXT Almon Lag Model Revisited
Lesson 11.4: ALMON.TXT Almon Lag Model Once More
Chapter XIIGeneralized Method of Moments
Lesson 12.1: YED20.TXT Gamma Probability Distribution
Lesson 12.2: GMMQ.TXT A Nonlinear Rational Expectation Model
Lesson 12.3: USYC87.TXT GMM Estimation of U. S. Consumption Function
Chapter XIIISystem of Simultaneous Equations
Lesson 13.1: KLEIN.TXT Klein Model I
Lesson 13.2: KLEIN.TXT Klein Model I Reformulated
Lesson 13.3: BWQ.TXT
BWP.TXT
Berndt-Wood Model
Lesson 13.4: BWQ.TXT
BWP.TXT
Berndt-Wood Model Extended
Lesson 13.5: KLEIN.TXT Klein Model I Revisited
Chapter XIVUnit Roots and Cointegration
Lesson 14.1: USYC87.TXT Augmented Dickey-Fuller Test for Unit Roots
Lesson 14.2: USYC87.TXT Cointegration Test: Engle-Granger Approach
Lesson 14.3: USYC87.TXT Cointegration Test: Johansen Approach
Chapter XVTime Series Analysis
Lesson 15.1: BONDS.TXT ARMA Analysis of Bond Yields
Lesson 15.1a: BONDS.TXT ARMA Analysis of Bond Yields (II)
Lesson 15.2: USINF.TXT ARMA Analysis of U. S. Inflation
Lesson 15.2a: USINF.TXT ARMA Analysis of U. S. Inflation (II)
Lesson 15.3: USINF.TXT ARCH Model of U. S. Inflation
Lesson 15.4: DMBP.TXT ARCH Model of Deutschemark-British Pound Exchange Rate
Lesson 15.5: DMBP.TXT ARCH-M Model of Deutschemark-British Pound Exchange Rate
Lesson 15.6: DMBP.TXT EARCH Model of Deutschemark-British Pound Exchange Rate
Lesson 15.7: DMBP.TXT GARCH Model of Deutschemark-British Pound Exchange Rate (II)
Chapter XVIPanel Data
Lesson 16.1: AIRLINE.TXT One-Way Panel Data Analysis: Dummy Variables Approach
Lesson 16.2: AIRLINE.TXT One-Way Panel Data Analysis: Deviation Approach
Lesson 16.3: AIRLINE.TXT Two-Way Panel Data Analysis
Lesson 16.4: IFCGM.TXT
IFCCH.TXT
IFCGE.TXT
IFCWE.TXT
IFCUS.TXT
Panel Data Analysis for Investment Demand: Deviation Approach
Lesson 16.5: IFCGM.TXT
IFCCH.TXT
IFCGE.TXT
IFCWE.TXT
IFCUS.TXT
Panel Data Analysis for Investment Demand: SUR method
Chapter XVIILeast Squares Prediction
Lesson 17.1: GDP96.TXT Ex-Post Forecasts and Forecast Error Statistics
Lesson 17.2: GDP96.TXT Ex-Ante Forecasts
Appendix AGPE Control Variables
Appendix BGPE Application Modules
ARMA.GPE Nonlinear ARMA Model Estimation
DIAGNOSE.GPE Residuals Diagnostic Checking
GARCH.GPE Nonlinear GARCH Model Estimation
GMM.GPE Nonlinear GMM Estimation
JOHANSEN.GPE Johansen Cointegration Tests
PANEL1.GPE One-Way Panel Data Analysis
PANEL2.GPE Two-Way Panel Data Analysis
STABILITY.GPE Tests for Model Stability
Appendix CStatistical Tables
References