Gauss Programs

Kenneth Train (loaded 18-Dec-02). Programs to estimate mixed logits with bounded distributions using hierarchical Bayes methods

Kenneth Train (loaded 24-Apr-01). Programs for discrete choice with simulation, including logit, nested logit, probit, mixed logit for panel data, and mixed logit using hierarchical Bayes procedures

Simon Potter (loaded Aug-98). Programs for Bayesian model averaging, threshold models, and impulse response functions for nonlinear models.

James Hamilton (linked Apr-98). Programs for estimation of the Markov switching models, one by numerical optimization and another using the EM algorithm; programs for specification testing of Markov switching models; estimation of Markov-switching ARCH models; bivariate analysis of SWARCH and Markov-switching autoregression. These are in *.zip archives for the PC.

Stephen G. Donald, David A. Green, and Harry J. Paarsch (loaded Feb-96). Program for computing a semi-parametric estimate of F(y|x), the cumulative distribution function of the random variable Y conditional upon a vector of covariates x.

Kenneth Train, David Revelt, and Paul Ruud (revised Aug-99; loaded Jul-96). Mixed logit estimation routine for panel data.

Kenneth Train, David Revelt, and Paul Ruud (revised Aug-99; loaded Aug-96). Mixed logit estimation routine for cross-sectional data.

Vassilis Hajivassiliou (linked Sep-95). Link to Gauss code for simulation routines for rectangle multivariate normal probabilities and derivatives.

John Rust (linked Oct-95). Link to Gauss code for nested fixed point maximum likelihood algorithm.