GAUSS RESOURCES

Last modified: 2006 May 29
Current location: http://www.american.edu/academic.depts/cas/econ/gaussres/GAUSSIDX.HTM.

[ This Archive | Other Archived Code | Some Commercial Products | Disclaimer ]

GAUSS Source Code Archive at American University

Please email suggestions for additions to this resource list to aisaac AT american DOT edu.

• READ ME FIRST: USE AND SUBMISSION OF CODE (Rules of the Game)
• Bayesian Econometrics
• Covariance Matrix Estimators
• DYNARE (Juillard 1995/2003) is a program to simulate non-linear dynamic models with lag and lead variables. It uses a direct Newton-Raphson algorithm, proposed a some years ago by J.P. Laffargue. By taking into account the special structure of the Jacobian matrix, it can be applied to large models without prohibitive storage requirements. Manuals and a user's mailing list are available.
• Generalized Method of Moments
• A library of Goodness of Fit (Baird Nov94) statistics for empirical distribution functions and their critical values and p-values.
• Multivariate Statistics
• Optimization Routines
• PDFs and RNGs
• Qualitative Choice Models
• Regression
• Time Varying Parameters, including Markov Switching
• Simulation
• Simultaneous Equations Estimation
• Time Series
• Unit Roots and Cointegration
• Dynamic Programming
• Utilities

Code Archived Elsewhere

• Group de Recherche Opérationelle offers a library of statistical procedures.
• Stefan Steinhaus's Database Connection Kit (DCK) " gives GAUSS users the possibility to access nearly any kind of databases via the ODBC interface of Microsoft within GAUSS".
• Running GAUSS code in Ox.
• Bruce Hansen's code (time series).
• Kristian Jönsson's archive.
• Peter Hansen's code (time series).
• Paul Söderlind's Software Page.
• The archives of the gaussians mailing list are currently divided into the old and the new.
• CodEc mirrors of the American University site, in the UK, Japan, and St. Louis. The UK site is a much faster connection for UK residents. Unfortunately, the mirrors have not updated for quite some time.
• Joseph Cooper's discrete choice and contingent valuation method code at ERS.
• James Hamilton's time series routines at UCSD.
• Hodgson/Vorkink collection of code for adaptive estimation
• C.D. Kao's cointegration in panel data routines.
• Pedro J. F. de Lima offered a variety of time series applications while he was at Johns Hopkins University, including long memory and EGARCH estimation. If you know where he moved these, please let me know.
• Christopher Z. Mooney, West Virginia University, offers code for Monte Carlo Simulations and code for Bootstrapping and Jackknifing.
• Ron Schoenberg's code at University of Washington.
• Thierry Roncalli's page offers an extensive collection of utilities and useful programs, with an emphasis on applications in finance.
• Dave Chapman's Archive of Ogaki's GMM and Cointegration routines.
• Geoffrey Shuetrim's GAUSS Code at the Financial Markets Group.
• Berwin Turlach's code for kernel density estimation
• Kuan-Pin Lin's compiled econometric routines at Portland State University.
• Code to do multinomial probit without using simulators is also available, along with a description and the paper ("Issues, Economics, and the Perot Candidacy: Voter Choice in the 1992 Presidential Election", R. Michael Alvarez and Jonathan Nagler, _American Journal of Political Science_, Vol 39, No 3, August, 1995, pgs 714-744.
• GAUSS at CodEc
• Gary King's code at Harvard University. See the large collection of statistical procedures and utilities, including some graphics utilities. (Only a few are archived on this site.) King also offers the Ecological Inference package as the freeware programs EI and EzI: these implement the statistical methods, graphics, and diagnostics in King's book Reconstructing Individual Behavior from Aggregate Data: A Solution to the Ecological Inference Problem (Princeton: Princeton University Press, April 1997).
• Ruud Koning's code, which includes a library for kernel estimation, code for testing for normality in probit models, and procedures for rejection sampling.
• Mark Harris's collection of Dynamic Panel Data routines (Harris Oct96) is available at Monash University.
• Bart Hobijn's code at New York University.
• Compar at University of Toulouse. (Since Sept 2004, some access problems have been noted.)
• Chihwa Kao offers gauss-based econometric package, NPT 1.0, of doing nonstationary panel time series. The user guide and the program can be downloaded from his website.
• van Norden and Vigfusson's Switching Regime models. (Gauss software and article, see WP 96-3).
• Van Norden's code page.
• Felix Ritchie's GAUSS page contains some useful code (including the XPReg TV regression program), links to Web sites, and Felix's Beginner's Guide to Gauss.
• Cameron Rookley maintains a GAUSS page which includes a Perl program for converting Gauss code to Matlab along with code to get Matlab behave like Gauss. His archive of Finance Related GAUSS Code contains 70+ programs and procedures that focus on the analysis of derivatives, as well as nonparametric and local polynomial regression routines.
• Curt Wells's code at Lund University, including a translation of the Kalaba et al. Flexible Least Squares Model (fls.prg).
• Eric Zivot's GAUSS page.
• Mathtools's GAUSS page.
• Steven Berry offers a GAUSS emacs mode

A Few Commercial Products

• A useful list of available modules is available on Stefan Steinhaus's Scientific Web
• GAUSSX
• Luc Anselin's SpaceStat software for spatial data analysis.
• Kuan-Pin Lin and Lani Pennington's LSQ package, along with an innovative and useful online GAUSS tutorial, which includes applications of their LSQ package.
• Forward Computing produces the GAUSS modules SimGAUSS, QueGAUSS, CtrlGAUSS, and Fastsort.
• Ritme Informatique (France) produces the GAUSS module TSM.

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List of page authors: Alan G. Isaac.