Bridging the gap between Ox and Gauss using OxGauss
AbstractThe purpose of this paper is to review and discuss the key improvements brought to OxGauss. Without having to install Gauss on his or her machine, the OxGauss user can run under Ox a wide range of Gauss programs and codes. Even with the consoleOx version (free for academics), Gauss codes can either be called from Ox programs or run and executed on their own. While the new OxGauss version is very powerful in most circumstances, it is of little use once the purpose is to execute programs thatattempt to solve optimization problems using Cml, Maxlik or Optmum. In this paper we propose a set of additional procedures that contribute to bridge the gap between Ox and three well-known Gauss application modules: Cml, Maxlik or Optmum.The effectiveness of our procedures is illustrated by revisiting a large number of freely available Gauss codes in which numerical optimization relies on the above Gauss application modules. The Gauss codes include many programs dealing with nonlinear models such as the Markov regime-switching models STAR models and various GARCH-type models. These illustrations highlight a further potentially interesting implication of OxGauss: it enables non-Gauss users to replicate existing empiricalresults using freely available Gauss codes.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2004012.
Date of creation: 00 Apr 2004
Date of revision:
Contact details of provider:
Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)
Fax: +32 10474304
Web page: http://www.uclouvain.be/core
More information through EDIRC
Other versions of this item:
- Jean-Pierre Urbain & Sébastien Laurent, 2005. "Bridging the gap between Ox and Gauss using OxGauss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(1), pages 131-139.
- Urbain,Jean-Pierre & Laurent,Sébastien, 2004. "Bridging the Gap Between Ox and Gauss using OxGauss," Research Memorandum 007, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francisco Cribari-Neto & Spyros Zarkos, 2003. "Econometric and Statistical Computing Using Ox," Computational Economics, Society for Computational Economics, vol. 21(3), pages 277-295, June.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
- Laurent, Sebastien & Peters, Jean-Philippe, 2002. " G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 447-85, July.
- Cribari-Neto, Francisco, 1997. "Econometric Programming Environments: GAUSS, Ox and S-PLUS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(1), pages 77-89, Jan.-Feb..
- Franses,Philip Hans & Dijk,Dick van, 2000.
"Non-Linear Time Series Models in Empirical Finance,"
Cambridge University Press, number 9780521779654.
- Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415.
- Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS).
If references are entirely missing, you can add them using this form.