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Applied Econometrics 
Econ 508 - Fall 2014

Professor: Roger Koenker 

TA: Nicolas Bottan 

Routines

Disclaimer: It is a tradition for faculty and teaching assistants of Econ 508 to write statistical routines with the single purpose of stimulating students to create their own computational programs. Every year these routines are updated, and consequently they are subject to changes without prior notice. These routines are designed for educational purposes only, and the providers do not assume any responsibility for the outcomes of applying them outside the course.


R Language



Routine

Description

System

Quantile Smoothing Splines
R
Censored Regression Model
R
Dantzig selector (Candes and Tao, 2005)
R
Augmented Dickey-Fuller test
R
Granger causality test
R
Routine for implementing Johansen's cointegration test
R
Code for the Figure 1, Lecture 9 (unit root forecast)
R
A collection of functions for panel estimation
R
Two-stages least squares
R
Confidence ellipses and the Malinvaud example
R
Simulations to illustrate the Hotelling-Secrist effect
R
Simple version of the Granger-Newbold spurious regression simulation
R


Other Languages



Routine

Description

System

Baseline do-file to help on calculating Akaike and Schwarz Inf. Criteria
STATA
Routine for implementing Granger-Newbold spurious regression example
STATA
Routine for computing means and deviations from means
STATA
Example batch file that estimates a productivity equation (run PQ.do first)
STATA