Exact Confidence Bounds on a Normal Distribution Coefficient of Variation
Obtains a two-sided confidence interval on a coefficient of variation for data from a normal distribution.
Fair-Parke Program
Allows one to estimate and analyze dynamic, nonlinear, simultaneous equations models. The models can be rational expectations models, and they can have autoregressive errors of any order. The estimation techniques include OLS, 2SLS, 3SLS, FIML, LAD, 2SLAD, and some versions of Hansen's method of moments estimator.
Fast Statistical Methods
Fortran 90 and 77 codes by W.H. Press and G.B. Rybicki, for fast inversion matrices of an exponential form arising from autocorrelation functions of Ornstein-Uhlenbeck processes.
Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data
Fortran 77 programs by Yong Zeng.
Finite Mixtures
NOCOM estimates the parameters (means, variance, proportions of components) of a mixture of normal distributions for independent observations (quantitative data). COMPMIX assumes a mixture of normal distributions, with parameters for each component in that mixture. The COMPMIX program then calculates the conditional probability, given an observed value, that it belongs to the i-th component.
Flexible Least Squares (FLS)
Developed by Robert E. Kalaba and Leigh Tesfatsion, implements the flexible least squares (FLS) approach to time-varying linear regression proposed by Kalaba and Tesfatsion in "Time-Varying Linear Regression Via Flexible Least Squares," Computers and Mathematics With Applications 17 (1989), 1215-1245. The FLS program has been incorporated into the statistical packages SHAZAM (Version 8.0) and GAUSS (TSM version 1.2).
Fortran Code for L-p Distance Statistic
Subroutines by David Allen to calculate the L-1 and L-2 distances between two density estimates. The L-1 statistic has been used successfully to testing the hypothesis that two samples come from the same distribution.
Fortran Library
Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
Fractal Analysis Programs of the National Simulation Resource
Programs available for (1) the generation of synthetic 1-dimensional signals that are simple fractional Brownian noise, and (2) analysis programs for determining the fractal dimension D (or the Hurst coefficient H, H = E + 1 - D, where E is the Euclidean dimension) from a simple fractal time series, i.e. a 1-dimensional signal.
GARCH Estimates: Analytic Derivatives
By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.
Gaussian Random Number Generator
Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
GCV
Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
Geophysical Data Analysis
Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.
Geostatistical Software LIBrary (GSLIB)
Codes in Fortran 90 and 77. Accompanies the book "GSLIB: Geostatistical Software Library and User's Guide" by Clayton Deutsch and André Journel.
Group Sequential Tests
Programs from book by Christopher Jennison.
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
By Wouter J. Denhaan.
Hypothesis Testing using Shape-Restricted Regression
Code for convex and monotone regression, by Mary C. Meyer.
I-NoLLS Least-Squares Fitting Program
Fits the parameters of physical models to (experimental) data using an Interactive Non-Linear Least Squares procedure. The code, by Mark M. Law and Jeremy M. Hutson, is designed to be highly modular.
James MacKinnon
Fortran codes for cointegration tests and other time series topics.
Kalman smoothing routine for Hodrick-Prescott filter
By E. Prescott.
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