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updated 8 days ago

Panel Data Toolbox for MATLAB by Javier Barbero Jiménez

A Panel Data Toolbox for MATLAB (panel data, instrumental panel, spatial panel)

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updated 24 days ago

MIDAS regression by Hang Qian

Hang Qian (view profile)

repack of the Mi(xed) Da(ta) S(ampling) regressions (MIDAS) programs written by Eric Ghysels (econometrics)

ForecastCombine(varargin)

HAC_kernel(errors,ktype)

MIDAS_ADL(DataY,DataYdate,DataX,DataXdate,varargin)

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updated 5 months ago

FQuantToolBox V1.3[NoHistData] byLY_faruto by faruto

faruto (view profile)

FQuantToolBox: A Data and Backtesting Quant Tool Box based on MATLAB by faruto. (quant, stock, trade)

GetIndexList_Web.m

GetIndexTSDay_Web.m

GetStockList_Web.m

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updated 6 months ago

Analytical solution for Orthogonal Linear Least Squares in two dimensions by Liber Eleutherios

The function returns the Orthogonal Linear Least Squares estimate for parameters of line ax+by+c=0 (statistics, probability, least squares)

OrthLLS2D(x, y)

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updated 8 months ago

TSLS (variable input) by raffaele

this function allows multiple input arguments for a TSLS regression (statistics, econometrics, regression)

tsls(y,x,varargin)

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updated 8 months ago

Symbolic Derivatives for Econometric Tests by Alan Weiss

How to calculate derivatives required by Econometric Toolbox tests via Symbolic Math Toolbox (symbolic, econometrics, jacobian)

symbolic_econometric_tests.m

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updated 1 year ago

AutoRegressive.m by Daniel Grewal

AutoRegressive process used to predict outcome of football matches for my application (autoregressive, time series analysis, econometrics)

AutoRegressive( input_args )

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updated 1 year ago

Newey-West Standard Errors by Guillaume Nolin

Computes Newey-West adjusted heteroscedastic-serial consistent standard errors. (standard errors, econometrics, timeseries)

NeweyWest(e,X,L,constant)

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updated 1 year ago

OLS with Newey-West and Hansen-Hodrick SE by Sandra

Computes OLS and reports Robust SE, NW AND HH corrected standard errors. (econometrics, serial correlation, overlapping data)

olshac(y,X,L,H)

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updated 2 years ago

TEMPORAL DISAGGREGATION LIBRARY by Enrique M. Quilis

Temporal disaggregation of economic time series (statistics, econometrics, time series)

[]=mtd_plot(res)

[]=td_plot(res)

[]=tduni_plot(res)

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updated almost 3 years ago

Simple Econometrics and Computational Finance Laboratory Toolbox by Leo Chen

Leo Chen (view profile)

Simple Econometrics and Computational finance Laboratory Toolbox for MATLAB 7.x (econometrics, computational finance, computational intelli...)

SECF__assess_R2( y_test, y_calculation )

SECF__assess_RMS( xi )

SECF__assess_mAP(data_matrix)

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updated 3 years ago

Aptech Gauss Dot Multiplication by Timos Papadopoulos

Computes dot multiplication (.*) as implemented in Aptech Gauss (finance, econometrics)

gauss_dot_mul(a,b)

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updated 3 years ago

Fast & Detailed Multivariate OLS Regression by Léon

Léon (view profile)

Performs a fast multivariate OLS regression and gives detailed information at your fingertips (statistics, finance, mathematics)

aic.m

ci1.m

ci2.m

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updated 3 years ago

GARCH Tool by Phil Goddard

Phil Goddard (view profile)

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

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updated almost 4 years ago

Toolkit on Econometrics and Economics Teaching by Hang Qian

Hang Qian (view profile)

Many MATLAB routines related to econometrics, statistics and introductory economics teaching. (econometrics, bayesian statistics, economic diagrams)

ADAPT_REJECT_SAMPLE.m

AGGREGATE_GIBBS1.m

AGGREGATE_ML1.m

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updated 4 years ago

ARFIMA(p,d,q) estimator by György Inzelt

Maximum likelihood estimators of stationary univariate ARFIMA(p,d,q) processes. (arfima, long memory, econometrics)

ar_constraint(params,arma_part)

arfima_covs.m

arfima_estimate.m

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updated 4 years ago

ARFIMA(p,d,q) goodness-of-fit test by György Inzelt

Goodness of fit test for post-validating fitted ARFIMA(p,d,q)processes (arfima, long memory, short memory)

arfima_gof.m

arfima_pr.m

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updated almost 5 years ago

Local Regression 2D by Arnout Tilgenkamp

Local Regression for 2D Data with plot/figure (finance, regression, local regression)

[y0]=MLR(X,y,span,X0,robuust)

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updated 5 years ago

Regression by Arnout Tilgenkamp

Non parametric regression using kernels to estimate density function of residuals. (regression, parametric, nonparametric)

KLMHR2(X,y)

KMLHR(B,X,y)

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updated 5 years ago

Using MATLAB to Develop Macroeconomic Models by Bob Taylor

Bob Taylor (view profile)

Analyze a stylized version of the Smets-Wouters model for the United States economy. (econometrics, macroeconomics, time series analysis)

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updated 5 years ago

ARFIMA simulations by Simone Fatichi

Time series simulation with ARFIMA models. (statistics, econometrics, time series)

ARFIMA_SIM(N,F,O,d,stdx,er)

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updated almost 6 years ago

Very large AR regressions by Alexander Migita

Very large autoregressions (econometrics, least squares, ols)

xL(y, x, lags)

example.m

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updated 6 years ago

Temporal Disaggregation Library by Enrique M. Quilis

Temporal disaggregation of economic time series (statistics, modeling, econometrics)

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updated 6 years ago

bbcorr: Bootstrap statistics for Pearson's correlation coefficient by Thomas Maag

Double block bootstrap percentile confidence interval for Pearson's r and Fisher's z. (econometrics, regression, statistics)

bbcorr.m

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updated 6 years ago

bbcorrdiff: Bootstrap statistics for the difference of correlation coefficients by Thomas Maag

Double block bootstrap confidence interval for the difference of two correlation coefficients. (econometrics, regression, statistics)

bbcorrdiff.m

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updated 6 years ago

ACMUB: Median Unbiased Estimation of the AR(p) Model by Thomas Maag

Approximately median unbiased estimation of the AR(p) model following Andrews and Chen (1994). (econometrics, statistics, time series)

[bw,b0,aw,a0]=acmub(Y,p,reps,tol1,tol2,model,silent)

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updated 6 years ago

GINV(X) by Luis Frank

GINV(X) computes a generalized inverse of matrix X. (matrix, moorepenrose, statistics)

ginv(X)

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