ECN/EEC676 Advanced Econometrics
John P. Burkett
Spring 2008
This site provides links to class materials and related resources for
econometrics.
CLASS MATERIALS
- BayesGen.g A Gauss program illustrating
Bayesian regression with a normal prior distribution on slope parameters
- BayesIC2.g A Gauss program illustrating
Bayesian regression with inequality constraints
- BayesICCI.g A Gauss program
illustrating computation of posterior credible intervals
- beetle.m A Matlab program illustrating ML
estimation of a logistic regression. It calls a function provided by
NR_logistic.m and uses data from beetle.dat. The inputs and outputs are
displayed
in NRlogistic.pdf
- FIML-3SLS.g A Gauss program
illustrating FIML and 3SLS estimation
- GCSR.m A Matlab
program for a simple example of Gibbs sampling described by Gelman,
Carlin, Stern, and Rubin
- lags.prg A RATS program to estimate a
distributed lag using a smoothness prior and Gibbs
sampling. Data come from rates.rat
- matrixalg.g A Gauss program
illustrating
basic matrix operations. Data come from matrixalg.asc
- matrixalg.R
An R program illustriating basic matrix operations. Data come from
matrixalg.data
- mwg.m A Matlab
program illustrating the Metropolis within Gibbs procedure
- scivdp.g A Gauss program to compute
scaled condition indexes and variance decomposition proportions
- scivdp.m A similar Matlab program
- scivdp.R
A similar R program
- sur.m
A Matlab/BACC program illustrating estimation of seemingly
unrelated regressions
- syllabus
RESOURCES FOR ECONOMETRICIANS
- Abadir
and Magnus Notation
in Econometrics: A Proposal for a Standard. The recommended notation
is facilitated by the LaTeX style file ee.sty
- American
Statistical Association, Business and Economic Statistics Section
- BACC Bayesian Analysis,
Computation, and Communication
- BUGS Bayesian
Analysis Using Gibbs Sampling
- Bureau of Economic Analysis
- DPD Dynamic
Panel Data programs for Gauss and Ox
- EA/Limdep A
limited version of Limdep for use with Greene's Econometric
Analysis
- EconData
Time series assembled by Inforum at the University of
Maryland
- EconLit
Index and abstracts covering publications in economics
- Econometric Society
- Econometrics
Journal
- Emacs Editor
Macros
- ESS Emacs Speaks Statistics
- FRED Data
from the Federal Reserve Bank of St. Louis
- Gauss
Tutorials and white papers for the Gauss programming language
- Geweke
Supplements to John Geweke's Contemporary Bayesian Econometrics and Statistics
- GNU Project Free software
- Greene
Data, errata, and examples for Greene's Econometric Analysis
- ISBA International Society
for Bayesian Analysis
- JAGS Just
Another Gibbs Sampler
- Journal of Applied Econometrics
- Leamer
Edward Leamer's classic book, Specification Searches: Ad Hoc Inference with Nonexperimental Data
- MathSciNet
Index and abstracts of mathematical publications
- MathWorld Math encyclopedia
- Matlab A commercial
matrix programming language, installed in some URI computer labs
- Mittelhammer
Supplements to Mittelhammer, Judge, and Miller's Econometric
Foundations
- Octave A free (GNU) matrix programming
language, similar to Matlab
- Ox
A fast object-oriented matrix language developed by Oxford
econometricians
- PlanetMath
Math encyclopedia, papers, and books under GNU Free Documentation License
- Quantian
Knoppix A bootable cdrom/dvd version of Linux, including many
applications useful for econometrics
- RFE Bill Goffe's Resources for
Economists on the Internet
- R A free (GNU) language for
statistical computing, similar to S
- S
An object-oriented language designed to facilitate data
analysis
- SAGE Open-source
mathematics software
- Scilab A
scientific software package, similar to Matlab, but distributed free
of charge
- TUG TeX Users Group
Last modified: January 15, 2008
John P. Burkett
Department of Environmental and Natural Resource Economics
Coastal Institute
University of Rhode Island
Kingston, RI 02881
phone (401) 874–9195
email burkett at uri dot edu