Last modified: 2006 Jan 19

Regression

• Markov Switching models.
• Adaptive Least Squares (ALS) with supporting paper (McCulloch apr2005). (Available also on author's website.) The author comments: The program gives both filter estimates of the regression coefficients (based just on past and current observations) and smoother estimates (based on the entire data set), along with covariance matrices, for each point in time. The signal/noise ratio and observation variance are estimated by Maximum Likelihood, using a maximization proc that is included in the program file. Sargent, Stock and Watson, and others have implemented similar models, but my ALS is a little more refined, in that it collapses to the basic Local Level Model (LLM) when there is only an intercept in the regression, is estimated by ML, is self-initialized with a diffuse (uninformative) prior, and requires no knowledge of the regressor moment matrix , let alone the existence of these moments.
• Panel-Corrected Standard-Errors with Non-rectangular and/or Missing Data (comes with instructions and documentation. (Available on author's website.) (Franzese 1996)
• Amelia (missing data utility)

  Author: Honaker, Joseph, King, Scheve, and Singh 2003)
  Date: 20030715
  Abstract: a widely cited program for missing data.
  Archived 20050630: amelia.zip
  

  Note: PDF documentation is included. Note: See Garry King's website for additional information.
• How to deal with non-invertible Hessian problem. (Gill and King 2004)
  Archived code and paper.
• Shin's Pooled Mean Group Estimator. (You will need the paper and additional documentation.)
• Local Regression
  • loess regression with multiple independent variables, with dlibrary and dll. Or altogether as mloess.zip.(Schoenberg Dec99)
  • Local Regression and Optional Robust Fitting and Symmetric Errors (Jackman Mar96)
  • Local Polynomial Regression (Rookley Feb99)
• OLS w/ Jackknife Estimated Variances (Turlea May99)
• Hazard Models
• Box-Cox Regression (Nerlove Nov98)
• Box-Cox Regression package (Schoenberg Nov98) with source code, a compiled .dll and an example. (.zip file)
• Error Components - Seemingly Unrelated Regression (Ecsur) For Unbalanced Data (Wilde Sep99)
• Cubic Smoothing Spline (Baird 95 and Soderlind 00)
• Dynamic Panel Data
• Panel-Corrected Standard-Errors (Franzese,Mar96) implements the Beck-Katz PCSEs in data sets with non-rectangular and/or missing data.
• Principal Components (Loretan,Apr96)
• Iterated Cochrane-Orcutt (Isaac Aug96)
• Least Absolute Deviation (Schoenberg, May95)
• Misspecification Test (Bradley/McClelland 1993)
• Interatively Reweighted Least Squares with Poisson Errors (Thompson, Jul95)
• Univariate Non-Parametric Regression (Rookley Nov96) automates the process of running a univariate non-parametric regression while being rather flexible. It is written for the Nadaraya-Watson weighting scheme.
• Linear Mixed Models, including GLMM.PAK - Version 1.0 (Steele Feb97).
• Quantile Regression
  • QREG is a library for quantile regression. (Jacomy, Messines, and Roncalli 2000) The authors provide documentation. (Most recent versions here.)
  • Stable Distribution Parameter Estimation by Quantile Method (McCulloch, Aug96).
  • (Btw, there is S-PLUS and Ox code for quantile regression estimation at Roger Koenker's web page. The programs, documented in a recent Statistical Science paper by Roger Koenker and Steve Portnoy, appear more efficient and faster than programs based on older algorithms. If you implement this in GAUSS, please submit it.)
• Symmetric Stable Linear Regression (McCulloch, Aug97) performs linear regression with symmetric stable disturbances. Includes a short driver program to demonstrate its use.