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updated 8 days 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 6 months 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 7 months ago

MIDAS regression by Hang Qian

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

ForecastCombine(varargin)

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

MixFreqData(DataY,DataYdate,DataX,DataXdate,xlag,ylag,hor...

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updated 8 months 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 almost 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 2 years ago

Simple Econometrics and Computational Finance Laboratory Toolbox by Leo Chen

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 2 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 almost 3 years ago

Fast & Detailed Multivariate OLS Regression by Léon

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 almost 3 years ago

GARCH Tool by Phil Goddard

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

GARCHTool

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updated 3 years ago

Toolkit on Econometrics and Economics Teaching by Hang Qian

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 3 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 3 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 4 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 4 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 almost 5 years ago

Using MATLAB to Develop Macroeconomic Models by Bob Taylor

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 5 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 5 years ago

Temporal Disaggregation Library by Enrique M. Quilis

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

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updated 5 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 5 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 5 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 almost 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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updated almost 6 years ago

Analytical solution for Orthogonal Linear Least Squares in two dimensions by Francesco Pozzi

The function returns the Orthogonal Linear Least Squares estimate for parameters of line ax+by+c=0 (least squares, orthogonal least squa..., orthogonal linear lea...)

OrthLLS2D(x, y)

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