Econ 508
Econometrics Group
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Applied Econometrics
Econ 508 - Fall 2012

 Routines

Disclaimer: It is a tradition for faculty and teaching assistants of Econ 508 to write statistical routines with the single purpose of stimulating students to create their own computational programs. Every year these routines are updated, and consequently they are subject to changes without prior notice. These routines are designed for educational purposes only, and the providers do not assume any responsibility for the outcomes of applying them outside the course.
 
R Language
Routine Description System
rqss.R Quantile Smoothing Splines R
Tobit.R Censored Regression Model R
Eg3.R Dantzig selector (Candes and Tao, 2005) R
adf.R Augmented Dickey-Fuller test R
granger.R Granger causality test R
johansen.R Routine for implementing Johansen's cointegration test R
lec9fig1.R Code for the Figure 1, Lecture 9 (unit root forecast) R
panel.R A collection of functions for panel estimation R
tsls.R Two-stages least squares R
ellipses.R Confidence ellipses and the Malinvaud example R
hotelling.R Simulations to illustrate the Hotelling-Secrist effect R
spurious.R Simple version of the Granger-Newbold spurious regression simulation R

 
 
Other Languages
Routine Description System
AICSIC.do Baseline do-file to help on calculating Akaike and Schwarz Inf. Criteria STATA
gn.do Routine for implementing Granger-Newbold spurious regression example STATA
ht.do Example batch file that estimates a productivity equation (run PQ.do first). STATA
pq.do Routine for computing means and deviations from means STATA

 
 Last update: Aug 19, 2012