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.
Macroeconometrics Tools (Classical Inference, Simulation)
VAR with Varied Frequency Data (VARDAS)
The Var(ied) Da(ta) S(ampling), or VARDAS model is built upon a standard VAR model but allows data of mixed frequencies. Frequencies can vary among variables and change over time. With the VARDAS model, you can put, say, quarterly GDP and monthly CPI data in one regression. Furthermore, within a time series you can mix older data of low frequency and recent data with higher frequency. The VARDAS package is friendly to users, who only need to provide the data and the computer will do the rest as routinely as a standard VAR model. In addition, the package comes with graphic interfaces that allow loading the data from an EXCEL file and running the estimation with the mouse clicking.
Users Guide to the VARDAS Package.pdf
Original Paper: Vector Autoregression with Varied Frequency Data, by Hang Qian
Generalized Method of Moments (GMM)
GMM package includes a graphical user interface to estimate the model using GMM. It minimizes the quadratic distance defined by the moments, iterating the estimated coefficient and the optimal weighing matrix. You first prepare your data and moment conditions in two EXCEL files. Follow instruction on the screen, you can estimate the model by clicking the mouse.
Panel Data Analysis: Fixed and Random Effects, Two-way Fixed Effects
Panel data analysis package includes one graphical user interface and three Matlab functions, which regress panel data with fixed effects, random effects and two-way fixed effects respectively. Fixed effects regression uses standard within transformation. Random effects regression uses standard theta difference. Two-way fixed effects regression use dummy variable least squares, with iterated projection algorithm to reduce memory usage. It first sweeps out the cross-sectional dummies by within transformation, and then it partitions time dummies (in residuals) into blocks and regress iteratively.
Dynamic Programming by Euler Equation Based Policy Function Iteration
This package illustrates solving dynamic programming problems of a standard macro model by policy function iteration on the basis of the Euler equations. This algorithm explores the idea of “N equations solve for N unknowns”. Compared with other algorithms such as value function iteration, quadratic approximation, Euler equation based policy function iteration is fast and flexible, and can be applied to many complicated programs.
Users guide: Euler Equation Based Policy Function Iteration.pdf
Structural Vector Autoregression (VAR) and Cointegration
The VAR package includes a variety of programs.
It can estimate Reduced form VAR, VECM, SVAR with shortrun and longrun restrictions.
A graphical user interface is provide to assist estimation.
To start estimation, run the file setup.m in Matlab.
Hodrick-Prescott filter (HP filter)
Hodrick-Prescott filter package includes a graphic interface to decompose a series into the cyclical component and the trend component. It is standard to apply the HP filtered data for studying business cycles in the macroeconomy. No MATLAB knowledge needed to run this program, since the input and output series are EXCEL data.
Weak Efficient Market Hypothesis Testing
The weak efficient market package includes a graphic interface to conduct hypothesis testing of weak efficiency market proposed by Fama.
Once asset price data are loaded into the program, the routine will use one of the four methods to decide whether the asset price follows random walk:
1) Sequences and reversals test
2) Runs test
3) Autocorrelation test
4) Variance ratio test
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.