Gauss: procedures, keywords, codes

/* Keywords: GARCH, Bootstrap, utilities*/

General archives

American U.'s GAUSS archive

Econometrics Institute Rotterdam's GAUSS links

Aptech System's collection of GAUSS links: you may find the latest stuff here.

Procedures and keywords

Collections online:

American U.'s Time series procedures

Cameron Rookley's finance GAUSS: a bunch of ARMA and GARCH estimation and simulation, boostrapping, ...

Gary King's

Paul Soderlind's GAUSS and others

Sander Greenland's Procs: matrix manupulation, bootstrap, tails of cdf,

My collections:

mm.g Returns min,max,mean,median of data
percent.g Calculate percentiles from data

Description of file desc:

This proc computes some basic descriptive statistics for the
distributions of the columns of x, including percentiles useful for
analysis of Monte-Carlo simulation results. Will also supply histograms
to accompany these statistics. See DESCRIBE.G for a simpler, faster
running proc to describe actual data, including GAUSS datasets.

Description of file describe:

This proc computes basic descriptive statistics on a dataset
that has no missing values.

Description of file pctile:

This proc returns the boundaries for percentile (quantile) categories,
including the maximum as the top boundary.
WARNING: There is no provision for ties.
NOTES: 1) If rows(x) is not divisible by ncat, the remaining units are
allocated one-by-one to categories starting from the highest.
2) Boundaries are included in the category below them.

Description of file negpart:

This proc returns the negative part of the elements of the matrix x.

Description of file waldtest:

This proc performs a Wald test of each column of b[i,.] using
the covariance matrix bcov[i,i].

openf.g Open, load into a specific matrix, and close file
loadA, loadVars load ascii file into matrix or variables

urowind.g Creates row indices for a file

writef.g opens, writes and closes a file

Add new observations to an existing GAUSS data set. (Isaac Jun95)

rndgam.g Random gamma generator
rndgams.g Random gamma generator with seed

All combinations of r elements drawn from {1,2,...,n}

Graph utilites 1, 2, 3

MaxLik, various MLE models and sample datasets
Description of file glml:

This proc does Maximum-Likelihood estimation via Newton-Raphson for
generalized-linear models. Separate record must be entered for each
observed regressor-outcome category
NOTE CAREFULLY: ll, dll1, and dll2
1) MUST be defined to handle vector inputs.
2) MUST be passed with the character "&" in front of their names.
ALSO: 3) The first two moments of the y distribution should exist.
4) Each record must represent an independent observation.

***PDFs, David Baird's PDFs, CDFs, random numbers
rndMN, rndMT, random (unstandardized) multivariate normal and Student's t draws

ARIMA simulation GARCH simu. Andrew's Garch Proc

GARCH(1,1) esti and simu .GARCH estm t-GARCH estimation SGARCH estim

Programs

Collections online:

Ronald Schoenberg's: GARCH estimation ...

De Lima's Time series codes

Christopher Mooney's Boostrapping and Monte Carlo

My collections:

Parking lot

RePEc's software series

FANPAC (not free)

Tsz-Cheong Lai's GAUSS tutorial

GAUSS on MIMAS

mm.g Returns min,max,mean,median of data percent.g Calculate percentiles from data Description of file desc: This proc computes some basic descriptive statistics for the distributions of the columns of x, including percentiles useful for analysis of Monte-Carlo simulation results. Will also supply histograms to accompany these statistics. See DESCRIBE.G for a simpler, faster running proc to describe actual data, including GAUSS datasets. Description of file describe: This proc computes basic descriptive statistics on a dataset that has no missing values. Description of file pctile: This proc returns the boundaries for percentile (quantile) categories, including the maximum as the top boundary. WARNING: There is no provision for ties. NOTES: 1) If rows(x) is not divisible by ncat, the remaining units are allocated one-by-one to categories starting from the highest. 2) Boundaries are included in the category below them. Description of file negpart: This proc returns the negative part of the elements of the matrix x. Description of file waldtest: This proc performs a Wald test of each column of b[i,.] using the covariance matrix bcov[i,i].
openf.g Open, load into a specific matrix, and close file loadA, loadVars load ascii file into matrix or variables urowind.g Creates row indices for a file writef.g opens, writes and closes a file Add new observations to an existing GAUSS data set. (Isaac Jun95)
rndgam.g Random gamma generator rndgams.g Random gamma generator with seed
All combinations of r elements drawn from {1,2,...,n}
Graph utilites 1, 2, 3
MaxLik, various MLE models and sample datasets Description of file glml: This proc does Maximum-Likelihood estimation via Newton-Raphson for generalized-linear models. Separate record must be entered for each observed regressor-outcome category NOTE CAREFULLY: ll, dll1, and dll2 1) MUST be defined to handle vector inputs. 2) MUST be passed with the character "&" in front of their names. ALSO: 3) The first two moments of the y distribution should exist. 4) Each record must represent an independent observation.
***PDFs, David Baird's PDFs, CDFs, random numbers rndMN, rndMT, random (unstandardized) multivariate normal and Student's t draws

ARIMA simulation	GARCH simu.	Andrew's Garch Proc
GARCH(1,1) esti and simu	.GARCH estm	t-GARCH estimation	SGARCH estim