GAUSS RESOURCES

Last modified: 2009 Jan 13
Current location: http://w.american.edu/cas/economics/gaussres/GAUSSIDX.HTM.

[ This Archive | Other Archived Code | Some Commercial Products | Disclaimer ]

GAUSS Source Code Archive at American University

Please email suggestions for additions to this resource list to aisaac AT american DOT edu.

• READ ME FIRST: USE AND SUBMISSION OF CODE (Rules of the Game)
• Bayesian Econometrics
• Covariance Matrix Estimators
• DYNARE (Juillard 1995/2003) is a program to simulate non-linear dynamic models with lag and lead variables. It uses a direct Newton-Raphson algorithm, proposed a some years ago by J.P. Laffargue. By taking into account the special structure of the Jacobian matrix, it can be applied to large models without prohibitive storage requirements. Manuals and a user's mailing list are available.
• Generalized Method of Moments
• A library of Goodness of Fit (Baird Nov94) statistics for empirical distribution functions and their critical values and p-values.
• Multivariate Statistics
• Optimization Routines
• PDFs and RNGs
• Qualitative Choice Models
• Regression
• Time Varying Parameters, including Markov Switching
• Simulation
• Simultaneous Equations Estimation
• Time Series
• Unit Roots and Cointegration
• Dynamic Programming
• Utilities

Code Archived Elsewhere

• Group de Recherche Opérationelle offers a library of statistical procedures.
• Stefan Steinhaus's Database Connection Kit (DCK) " gives GAUSS users the possibility to access nearly any kind of databases via the ODBC interface of Microsoft within GAUSS".
• Running GAUSS code in Ox.
• Bruce Hansen's code (time series).
• Mark Watson's code (time series)
• Kristian Jönsson's archive.
• Peter Hansen's code (time series).
• Paul Söderlind's Software Page.
• The archives of the gaussians mailing list are currently divided into the old and the new.
• CodEc mirrors of the American University site, in the UK, Japan, and St. Louis. The UK site is a much faster connection for UK residents. Unfortunately, the mirrors have not updated for quite some time.
• Joseph Cooper's discrete choice and contingent valuation method code at ERS.
• James Hamilton's time series routines at UCSD.
• Hodgson/Vorkink collection of code for adaptive estimation
• C.D. Kao's cointegration in panel data routines.
• Pedro J. F. de Lima offered a variety of time series applications while he was at Johns Hopkins University, including long memory and EGARCH estimation. If you know where he moved these, please let me know.
• Christopher Z. Mooney, West Virginia University, offers code for Monte Carlo Simulations and code for Bootstrapping and Jackknifing.
• Ron Schoenberg's code at University of Washington.
• Thierry Roncalli's page offers an extensive collection of utilities and useful programs, with an emphasis on applications in finance. Also see the LibGRO library offered by the Groupe de Recherche Opérationnelle.
• Dave Chapman's Archive of Ogaki's GMM and Cointegration routines.
• Geoffrey Shuetrim's GAUSS Code at the Financial Markets Group.
• Berwin Turlach's code for kernel density estimation
• Kuan-Pin Lin's compiled econometric routines at Portland State University.
• Code to do multinomial probit without using simulators is also available, along with a description and the paper ("Issues, Economics, and the Perot Candidacy: Voter Choice in the 1992 Presidential Election", R. Michael Alvarez and Jonathan Nagler, _American Journal of Political Science_, Vol 39, No 3, August, 1995, pgs 714-744.
• GAUSS at CodEc
• Gary King's code at Harvard University. See the large collection of statistical procedures and utilities, including some graphics utilities. (Only a few are archived on this site.) King also offers the Ecological Inference package as the freeware programs EI and EzI: these implement the statistical methods, graphics, and diagnostics in King's book Reconstructing Individual Behavior from Aggregate Data: A Solution to the Ecological Inference Problem (Princeton: Princeton University Press, April 1997).
• Ruud Koning's code, which includes a library for kernel estimation, code for testing for normality in probit models, and procedures for rejection sampling.
• Bart Hobijn's code at New York University.
• Compar at University of Toulouse. (Since Sept 2004, some access problems have been noted.)
• Chihwa Kao offers gauss-based econometric package, NPT 1.0, of doing nonstationary panel time series. The user guide and the program can be downloaded from his website.
• van Norden and Vigfusson's Switching Regime models. (Gauss software and article, see WP 96-3).
• Van Norden's code page.
• Felix Ritchie's GAUSS page contains some useful code (including the XPReg TV regression program), links to Web sites, and Felix's Beginner's Guide to Gauss.
• Cameron Rookley maintains a GAUSS page which includes a Perl program for converting Gauss code to Matlab along with code to get Matlab behave like Gauss. His archive of Finance Related GAUSS Code contains 70+ programs and procedures that focus on the analysis of derivatives, as well as nonparametric and local polynomial regression routines.
• Curt Wells's code at Lund University, including a translation of the Kalaba et al. Flexible Least Squares Model (fls.prg).
• Eric Zivot's GAUSS page.
• Mathtools's GAUSS page.
• Steven Berry offers a GAUSS emacs mode

A Few Commercial Products

• A useful list of available modules is available on Stefan Steinhaus's Scientific Web
• GAUSSX
• Luc Anselin's SpaceStat software for spatial data analysis.
• Kuan-Pin Lin and Lani Pennington's LSQ package, along with an innovative and useful online GAUSS tutorial, which includes applications of their LSQ package.
• Forward Computing produces the GAUSS modules SimGAUSS, QueGAUSS, CtrlGAUSS, and Fastsort.
• Ritme Informatique (France) produces the GAUSS module TSM.

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List of page authors: Alan G. Isaac.