All the programs can be freely downloaded for the purpose of research and academic communication.
It cannot be resold or used for any commercial purpose.
Comments and suggestions are sincerely appreciated.
Bayesian Econometrics Tools
Where there is a maximum likelihood estimator, there is a Bayesian counterpart. Modern Bayesian econometrics relies heavily on the MCMC. Most programs are implemented by the Gibbs sampler with flat but proper priors.
- Linear regression and extensions: regime change, restricted parameters, serial correlation, mixture models.
- Microeconometrics models: Logit, Probit, Tobit, missing and aggregated covariates.
- Macroeconometrics models: VAR, Panel data analysis.
- Other Bayesian tools: HPD interval, marginal likelihood, stochastic search variable selection, etc.
Microeconometrics Tools (Classical Inference, Simulation)
Various microeconometric models are included the toolbox, with estimation techniques ranging from least squares to maximum likelihood and expectation maximization.
- OLS and more.
- Logit, Probit, Tobit, multinomial Logit, nested Logit, etc.
- Aggregated covariates regression, bootstrap bias correction with MIV.
- Illustration of EM algorithm by several models.
Macroeconometrics Tools (Classical Inference, Simulation)
Several econometric model commonly applied in macroeconomics are included the toolbox. There are also some illustrative codes solving the dynamic programming problems.
- Generalized Method of Moments (GMM).
- Structural vector autoregression (VAR) and cointegration.
- Panel data analysis: fixed and random effects, two-way fixed effects.
- Illustration of dynamic programming with Euler equation iteration.
Numerical Methods
Some topics in numerical methods are covered in the this toolbox.
- Climb High: A Numerical Optimization Routine on the basis of the BFGS algorithm.
- Numerical pure and mixed strategy Nash Equilibrium of a static game, with complete or incomplete information.
- Universal Random Sampler: Inverse CDF, rejection sampling, adaptive rejection sampling, weighed bootstrap.
- Probability and distributions: common pdf, cdf and random number generator.
Utilities and Extras
Small software that assists economic teaching and research.
- Matlab to R Codes Translator, Matlab to Gauss Codes Translator
- Econ 101 Diagram / Graph Generator
- Class Attendance Checker
- Grades and Data Transformer
The compatibility package is useful only if the MATLAB statistics toolbox and optimization toolbox are not installed on your computer. If these packages are not installed on your computer, an error message will pop up when you use the programs. In that case, you may install this compatibility package as a makeshift. Please note that those functions are written by an individual and just a coarse substitute to the commercial statistics and optimization toolbox.
These programs were originally written by Dr. Hang Qian of Iowa State University.
Since these codes are not available on the author's website, they were reproduced here.