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Oct 30

Econometrics Software

Posted by abiao at 20:33 | Code » Code site | Comments(0) | Reads(6558)
Dozens of Matlab code for Econometrics study, including:

Brock, Dechert& Scheinkman (1986) test for independence based on the correlation dimension

Significance level of the BDS statistic in small samples

Geweke &Porter-Hudak (1983) estimation of fractional differencing parameter

Heteroskedasticity-consistent variance-ratio evaluationfor any q spacing

Engle's(1982) test for ARCH

Box-Pierce(1970) Q test using Ljung & Box's (1978) finite-sample correction

Phillips-Perron test of the unit-root hypothesis in a Dickey-Fuller regression

Durbin h statistic and significance of the hypothesis of no serial correlation

Durbin-Watson d-statistic and significance level for the null hypothesis: DW = 2


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