ECN/EEC676 Advanced Econometrics, Spring 2012

• 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
• gdpgrowth1960i-2011iv.txt   Data on the annualized quarterly percentage growth rate of U.S. real GDP from the first quarter of 1960 to the last quarter of 2011
• Gibbs.pdf   Lecture notes on Gibbs sampling
• 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 illustrating 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
• TB3m1960i-2011iv.txt   Data on the nominal percentage interest rate on U.S. Treasury bills with three-month maturities, from the first quarter of 1960 to the last quarter of 2011
• Tbond10y1960i-2011iv.txt   Data on the nominal percentage interest rate on U.S. Treasury bonds with ten-year maturities, from the first quarter of 1960 to the last quarter of 2011

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
  
• Bureau of Economic Analysis
  
• EconData   Time series assembled by Inforum at the University of Maryland
  
• EconLit   Index and abstracts covering publications in economics
  
• Econometric Society
  
• Econometric Reviews
  
• Econometrics Journal
  
• Emacs   Editor Macros
  
• ESS   Emacs Speaks Statistics
  
• Farnsworth   Grant Farnsworth's "Econometrics in R"
  
• FRED   Data from the Federal Reserve Bank of St. Louis
  
• GNU Project   Free software
  
• Greenberg   Supplements to Edward Greenberg's Introduction to Bayesian Econometrics
  
• Gretl   Gnu Regression, Econometrics and Time-series Library
• ISBA   International Society for Bayesian Analysis
  
• JAGS   Just Another Gibbs Sampler
  
• Journal of Applied Econometrics
  
• Kleiber   Computer supplements to Kleiber and Zeileis's Applied Econometrics with R
  
• 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
  
• R   A free (GNU) language for statistical computing, similar to S
  
• Reproducible econometric research   Why and how to do it
  
• RFE   Bill Goffe's Resources for Economists on the Internet
  
• 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
• Train   Kenneth Train's Discrete Choice Methods with Simulation
  
• TUG   TeX Users Group