Applied Econometrics
Econ 536 - Fall 2016
Disclaimer: It is a tradition for faculty and teaching assistants of Applied Econometrics 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.
Routine |
Description |
|---|---|
Quantile Smoothing Splines |
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Accelerated Gradient Descent |
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Censored Regression Model |
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Dantzig selector (Candes and Tao, 2005) |
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Augmented Dickey-Fuller test |
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Granger causality test |
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Routine for implementing Johansen's cointegration test |
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Code for the Figure 1, Lecture 9 (unit root forecast) |
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A collection of functions for panel estimation |
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Two-stages least squares |
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Confidence ellipses and the Malinvaud example |
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Simulations to illustrate the Hotelling-Secrist effect |
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Simple version of the Granger-Newbold spurious regression simulation |
Routine |
Description |
|---|---|
Baseline do-file to help on calculating Akaike and Schwarz Inf. Criteria |
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Routine for implementing Granger-Newbold spurious regression example |
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Routine for computing means and deviations from means |
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Example batch file that estimates a productivity equation (run PQ.do first) |