Programs

Initially, we are providing only MATLAB code. We make no warranty, expressed or implied, that the code accomplishes what it claims to do. :-) Some of the programs come from Statbox, a statistics toolbox for MATLAB by G. K. Smyth. Others are rewrites of old Fortran code. Still others are serviceable applications of MATLAB features.

All of the programs are contained in a zipped file. Only the files listed in bold below have been included so far. The remainder will be added shortly.

Probability

Use these programs to expand the basic capabilities of MATLAB.

• random variable simulations: beta, chi-square, F, gamma, Poisson, Student t
• probability functions (p.d.f., c.d.f., and inverse c.d.f.): beta, chi-square, F, gamma, Poisson, Student t, normal
• digamma (or psi) function
• trigamma function
• Imhof algorithm: c.d.f. of a quadratic form in standard normal random variables

Statistics and Econometrics

Use these programs to learn about the methods. They are not meant to replace specialized statistical software or to be efficient MATLAB code.

• ordinary least squares (OLS)
• numerical optimization for maximum likelihood (ML) and generalized method of moments (GMM)

Examples

Additional econometric procedures are illustrated in the following programs. These examples appear in the textbook.

• polynomial distributed lag
• Student t linear regression
• nonlinear least squares
• multiplicative conditional heteroskedasticity
• natural rate of unemployment
• Hall's random walk
• Porter's simultaneous equations model for shipping