# Boston College Department of Economics

# Statistical Software Components

**Contact information of Boston College Department of Economics:**

Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670

Fax: +1-617-552-2308

Email:

Web page: http://fmwww.bc.edu/EC/

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Web: http://repec.org/docs/ssc.php **Editor:**

Additional information is available for the following
registered editor(s): Christopher F Baum
**For corrections or technical questions regarding this series, please contact
(Christopher F Baum)** **Series handle:** repec:boc:bocode
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### 1998

**GENFREQ: Stata module to produce a frequency distribution for a variable***by*Nicholas J. Cox**HBAR: Stata module to generate horizontal bar charts***by*Nicholas J. Cox**HPLOT: Stata module to generate horizontal plots***by*Nicholas J. Cox**FODSTR: Stata modules to handle fractional day calculations***by*William Gould**CATDEV: Stata modules for interpretation of categorical dependent variable models***by*J. Scott Long**RMANOVA: Stata module to estimate repeated measures ANOVA***by*George M. Hoffman**RANOVA: Stata module to estimate single factor repeated measures ANOVA***by*Joseph Hilbe**SEQ: Stata module to generate sequences of integers***by*Nicholas J. Cox**INTTERMS: Stata module to enumerate all indicators for all intersections of two categorical variables***by*Vince Wiggins**LMOMENTS: Stata module to generate L-moments and derived statistics***by*Nicholas J. Cox**REGRESBY: Stata module to generate regression residuals by byvarlist***by*Nicholas J. Cox**REGLIKE: Stata module to calculate log-likelihood function value from regress***by*Bill Sribney**PWEIBULL: Stata module to generate probability plot for data vs fitted Weibull distribution***by*Nicholas J. Cox**WBULL: Stata module to fit Weibull distribution by maximum likelihood***by*Nicholas J. Cox**QWEIBULL: Stata module to generate quantile-quantile plot for data vs fitted Weibull distribution***by*Nicholas J. Cox**REGPRED: Stata module to calculate linear regression predictions***by*Joanne M. Garrett**LOGPRED: Stata module to calculate logistic regression probabilities***by*Joanne M. Garrett**ADJMEAN: Stata module to calculate variables' means adjusted for covariates***by*Joanne M. Garrett**ADJPROP: Stata module to calculate adjusted probabilities from logistic regression estimates***by*Joanne M. Garrett**SPELL: Stata module for identification of spells or runs of similar values***by*Nicholas J. Cox & Richard Goldstein**SWITCHR: Stata module to estimate switching regression models***by*Fred Zimmerman**TRNBIN0: Stata module to estimate zero-truncated negative binomial regression***by*Joseph Hilbe**MVSAMP1I: Stata module to determine sample size and power for multivariate regression***by*David E. Moore**MVSAMPSI: Stata module to determine sample size and power for multivariate regression***by*David E. Moore**TPVAR: Stata module to generate turning-point variable for graphics labelling***by*Nicholas J. Cox**MVTEST: Stata module to perform multivariate F tests***by*David E. Moore**ADDTEX: Stata module to display text on a graph***by*Guy D. van Melle**PWCORRW: Stata module to print wide correlation matrix with significance indicators***by*Nicholas J. Cox**VLIST: Stata module to expand variable list in command syntax***by*David E. Moore**ARRAY: Stata package to support arrays of variables***by*David E. Moore**VIOLIN: Stata module to generate violin plots***by*Thomas Steichen**EBA: Stata module to perform extreme bound analysis***by*Gregorio Impavido**MSTDIZE: Stata module to produce marginal standardization of two-way tables***by*Nicholas J. Cox**ORTHOG: Stata module to orthogonalize variables***by*Bill Sribney**STCUMH: Stata module to check proportional hazards assumption***by*Kim Lyngby Mikkelsen**CCWEIGHT: Stata module to generate inverse sampling probability weights***by*Roger Newson**PSBAYES: Stata module to perform pseudo-Bayes smoothing of cell estimates***by*Nicholas J. Cox**OPROBPR: Stata module to display predicted probabilities from ordered probit and logit***by*Nick Winter**CNDNMB3: Stata module to calculate condition number of regressor matrix***by*Michael Blasnik**PBETA: Stata module to generate probability plot for data compared with fitted beta distribution***by*Nicholas J. Cox**QBETA: Stata module to generate quantile-quantile plot for data vs fitted beta distribution***by*Nicholas J. Cox**VMATCH: Stata module to match variables between subjects***by*Guy D. van Melle**KR20: Stata module to calculate Kuder-Richardson coefficient of reliability***by*Herve M. Caci**SBROWNI: Stata module to calculate Spearman-Brown reliability correction for test length***by*Herve M. Caci**CANON: Stata module (corrected) to compute canonical correlations***by*Bill Sribney**STBTCALC: Stata module to calculate time-varying regression coefficients in Cox PH models***by*Patrick Royston & Peter Sasieni**STGTCALC: Stata module to calculate time-varying regression coefficients in Cox PH models (variant)***by*Patrick Royston & Peter Sasieni**ZB_QRM: Stata module to Recoding multiple responses into binary variables***by*Eric Zbinden**CATENATE: Stata module to concatenate variables into string variable***by*Nicholas J. Cox**LPRPLOT: Stata module to produce logistic regression partial residual plots***by*Bill Sribney**NNEST: Stata module to perform J test and Cox-Pesaran-Deaton test for nonnested models***by*Gregorio Impavido**LONGPLOT: Stata module to produce exploratory plot for longitudinal data***by*Zhiqiang Wang & Nicholas J. Cox**PARMEST: Stata module to create new data set with one observation per parameter of most recent model***by*Roger Newson**QQPLOT2: Stata module to produce quantile-quantile plot***by*Nicholas J. Cox**ScoreContributions: Ox function to enable differentiation of vector-valued functions***by*Michael Creel**JB: Stata module to perform Jarque-Bera test for normality on series***by*J. Sky David & Gregorio Impavido**ZIP: Stata module to estimate zero inflated Poisson model on count data***by*Jesper Sorensen**ZINB: Stata module to estimate zero inflated negative binomial model on count data***by*Jesper Sorensen**HETPROB: Stata module to estimate heteroskedastic probit model***by*William Gould**UNIQUE: Stata module to report number of unique values in variable(s)***by*Tony Brady**LONGCH: Stata module to identify how many records satisfy a condition***by*Tony Brady**GWHET: Stata module to perform test for groupwise heteroskedasticity***by*Gregorio Impavido**WILLIAMS: Stata module to estimate logistic regression via Williams procedure***by*Joseph Hilbe**ADJUST: Stata module (corrected) to compute adjusted predictions and probabilities after estimation***by*Kenneth Higbee**BARPLOT2: Stata module to produce bar plot with optional error bars***by*Nicholas J. Cox**GRAND2: Stata module to compute an estimate of the grand mean/intercept and differences***by*Vince Wiggins**HISTPLOT: Stata module to produce histogram for frequency distribution***by*Nicholas J. Cox**XCORPLOT: Stata module to calculate and graph cross-correlation function***by*Nicholas J. Cox & Aurelio Tobias**MLOGPRED: Stata module to produce predicted probabilities after mlogit and svymlog***by*Bill Sribney**NPROC: Stata module to produce nonparametric receiver operating curves***by*Philip Price & Fred Wolfe**DUMMIES: Stata function to create families of dummy variables***by*Nicholas J. Cox**VALLIST: Stata module to list distinct values of a variable***by*Patrick Joly**PEXP: Stata module to produce probability plot for data compared with fitted exponential distribution***by*Nicholas J. Cox**QEXP: Stata module to produce quantile-quantile plot for data vs fitted exponential distribution***by*Nicholas J. Cox**LMS: Stata module to perform least median squares regression fit***by*Michael Blasnik**LEVENE: Stata module to test for equal population variances***by*Herve M. Caci**CENTROID: Stata module to calculate centroids***by*D. H. Judson**MEDOID: Stata module to calculate medoids***by*D. H. Judson**CLUSTER: Stata module to perform nonhierarchical k-means (or k-medoids) cluster analysis***by*D. H. Judson**FULLTAB: Stata module to generate 'full tables' which can be stacked into matrices***by*Guy D. van Melle**T2WAY5: Stata module to perform Tukey's Two-Way Analysis by Medians***by*Nicholas J. Cox**EPICONF: Stata module to assess confounding effects in epidemiological studies***by*Zhiqiang Wang**LSTACK: Stata module to stack variables with labelled _stack***by*Nicholas J. Cox**COLELMS: Stata module to calculate Cole's LMS values for growth data***by*Zhiqiang Wang & Mark S Pearce**CONFSVY: Stata module to assess confounding effects in survey studies***by*Zhiqiang Wang**MEDIAN: Stata module to perform the median test***by*Mario Cleves**WINSOR: Stata module to Winsorize a variable***by*Nicholas J. Cox**BYS: Stata module to automatically sort on the bylist (version 5)***by*Jeroen Weesie**TORATS: Stata module to facilitate transfer of data to RATS***by*Christopher F Baum & Nicholas J. Cox**VENNDIAG: Stata module to generate Venn diagrams***by*Jens M. Lauritsen**CHAOS: Stata module to iterate a logistic difference equation***by*Nicholas J. Cox**MUXYPLOT: Stata module to produce scatter plots with multiple x and y variables***by*Nicholas J. Cox**MUXPLOT: Stata module to produce scatter plots with y versus multiple x variables***by*Nicholas J. Cox**IRREPRO: Stata module to produce a simulation of irreproducible results***by*Nicholas J. Cox**TRIPLOT: Stata module to generate triangular plots***by*Nicholas J. Cox**TOMODE: Stata module to change values of a variable to mode(s)***by*Nicholas J. Cox & Fred Wolfe**CIRCSTAT: Stata modules to calculate circular statistics***by*Nicholas J. Cox**TRYEM: Stata module to run all possible subset regressions***by*Al Feiveson**STAR-STGARCH: GAUSS modules to estimate STAR models with ST-GARCH errors***by*Stefan Lundbergh**DCT: GAUSS module to read and write Stata numeric file dictionaries***by*Jon Faust**LABGRAPH: Stata module to place text labels on two-way graphs***by*Jon Faust**DEATON: Stata modules to analyze household surveys***by*Angus Deaton**CLARIFY: Stata modules for Monte Carlo simulation***by*Gary King**DURBINH: MATLAB module to calculate Durbin's h statistic***by*Ludwig Kanzler**DWATSON: MATLAB module to calculate Durbin-Watson statistic and significance***by*Ludwig Kanzler**QSTAT: MATLAB module to calculate Ljung-Box q statistic***by*Ludwig Kanzler**VARRATIO: MATLAB module to calculate heteroskedasticity-consistent variance ratio***by*Ludwig Kanzler**GPH: MATLAB module to calculate Geweke-Porter-Hudak long memory statistic***by*Ludwig Kanzler**ADFREG: MATLAB module to calculate augmented Dickey-Fuller regression***by*Ludwig Kanzler**ARCHTEST: MATLAB module to calculate test for autoregressive conditional heteroskedasticity***by*Ludwig Kanzler**BDS: MATLAB module to calculate Brock, Dechert & Scheinkman test for independence***by*Ludwig Kanzler**DFCRIT: MATLAB module to calculate Critical Dickey-Fuller values and level of significance***by*Ludwig Kanzler**PHILLIPS: MATLAB module to calculate Phillips-Perron test of the unit-root hypothesis***by*Ludwig Kanzler**UNITROOT: MATLAB module to calculate (Augmented) Dickey-Fuller and Phillips-Perron tests***by*Ludwig Kanzler**BDSSIG: MATLAB module to calculate Brock, Dechert & Scheinkman test significance***by*Ludwig Kanzler**GPH_SEAS: RATS module to perform fractional integration of seasonally adjusted timeseries***by*Christopher F Baum**ECONOMETRICS: MATLAB toolbox of econometrics functions***by*James P. LeSage

### 1997

**WHITE: Stata module to perform White's test for heteroscedasticity***by*Jeroen Weesie**STRIP: Stata module to strip unwanted characters***by*P.T.Seed**RALLOC: Stata module to design randomized controlled trials***by*Philip Ryan**ACPLOT: Stata module to plot the autocorrelogram***by*Nicholas J. Cox**STACK: Stata module to stack datasets***by*William Gould**SYMMETRY: Stata modules to perform tests of symmetry for NxN contingency tables***by*Mario Cleves**OMODEL: Stata modules to perform tests on ordered probit and ordered logit models***by*Rory Wolfe**ALLCROSS: Stata modules to create variables corresponding to moment matrices***by*Kenneth Higbee**DUPS: Stata module to identify and optionally remove duplicate observations***by*Nicholas J. Cox & Thomas Steichen**IIA: Stata module to test the iia assumption in conditional logistic regression (version 5)***by*Jeroen Weesie**SDTEST: Stata modules (corrected) sdtest, sdtesti***by*Bill Sribney**VPLPLOT: Stata modules to generate paired data plots***by*Nicholas J. Cox**SUMMVL: Stata module to generate summary table with variable labels (version 5)***by*Jeroen Weesie**LABSUMM: Stata module to generate summary table with variable labels***by*Thomas Steichen**LOOPPLOT: Stata modules to generate scatter plots with loops***by*Nicholas J. Cox**ELAPSE: Stata module to calculate elapsed time in procedure***by*Fred Zimmerman**ISTDIZE: Stata module to generate indirectly standardized rates using a standard population***by*Mario Cleves**BLOGIT2: Stata module to produce grouped data logit with support for in***by*Nicholas J. Cox**SPARL: Stata module to produce scatter plot and y-x regression line***by*Nicholas J. Cox**VALLAB: Stata module to pack values and labels into a new string variable***by*Nicholas J. Cox**GOLOGIT: Stata module to estimate generalized ordered logit models***by*Vincent Kang Fu**MKSTRSN: Stata modules to format Social Security number variables***by*William Gould**POISML: Stata module to estimate maximum likelihood Poisson regression models***by*Joseph Hilbe**TRPOIS0: Stata module to estimate zero-truncated Poisson regression models***by*Joseph Hilbe**CENPOIS: Stata module to estimate censored maximum likelihood Poisson regression models***by*Joseph Hilbe & Dean Judson**SSSPLOT: Stata module to generate seasonal subseries plots***by*Nicholas J. Cox**HAUSMAN: Stata module to compute a Hausman test statistic (version 5)***by*Jeroen Weesie**STCSTAT: Stata module to generate evaluation of fit for Cox regression model***by*William Gould**GPHROB: RATS modules to perform tests for fractional integration of timeseries***by*Christopher F Baum & John T. Barkoulas

### 1996

**DLOGIT2: Stata modules to compute marginal effects for logit, probit, and mlogit***by*Bill Sribney**STATUTILITIES: Mathematica package of statistical utilities***by*David A. Belsley**ECONOMETRICS: Mathematica package of econometric tools***by*David A. Belsley**BLOCKMATRIX: Mathematica package to handle block matrix operations***by*David A. Belsley**ARFIMAFC: RATS modules to forecast fractionally differenced timeseries***by*Christopher F Baum & John T. Barkoulas

### 1995

**ROLLREG: RATS module to perform rolling and moving-window regressions***by*Simon van Norden**RIDDER: Stata module to solve equation by Ridder's method***by*Tim McGuire

### Undated

**RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests***by*Tom Doan**RATS program to replicate Pedroni JAE 2007 paper using panel cointegration***by*Tom Doan**RATS program to demonstrate Granger causality test with heterogeneous panel***by*Tom Doan**RATS program to demonstrate Monte Carlo Impulse Response for a structural near-VAR***by*Tom Doan**RATS program to demonstrate Gibbs sampling in a cointegrated model***by*Tom Doan**RATS program to demonstrate Inclan-Tiao test for breaks in variance***by*Tom Doan**RATS program to demonstrate IV estimation of VAR in panel data***by*Tom Doan**RATS program to demonstrate historical decomposition***by*Tom Doan**RATS program to replicate Hafner-Herwartz volatility impulse response functions***by*Tom Doan**RATS program to demonstrate Gibbs sampling on dynamic probit model***by*Tom Doan**RATS program to demonstrate univariate GARCH with nonparametric density***by*Tom Doan**RATS program to demonstrate Gibbs sampling applied to a DCC GARCH model***by*Tom Doan**RATS program to demonstrate bootstrapping on a multivariate GARCH model***by*Tom Doan**RATS program to replicate Faust 1998 paper on semi-structural VAR***by*Tom Doan**RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response***by*Tom Doan**RATS program to demonstrate forecasting an E-GARCH model using random simulations***by*Tom Doan**RATS program to demonstrate bootstrapping with an E-GARCH model***by*Tom Doan**RATS program to estimate various forms of DCC GARCH models***by*Tom Doan**RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models***by*Tom Doan**RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects***by*Tom Doan**RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR***by*Tom Doan**RATS program to demonstrate Gibbs Sampling applied to an ARMA model***by*Tom Doan**RATS program to replicate Arellano-Bond 1991 dynamic panel***by*Tom Doan**RATS programs to replicate Wright's Alternative Variance Ratio test results***by*Tom Doan**RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)***by*Tom Doan**RATS program to demonstrate lag length selection techniques in a VAR***by*Tom Doan**RATS program to demonstrate block causality tests in a VAR***by*Tom Doan**RATS programs to replicate Uhlig's VAR identification technique***by*Tom Doan**RATS program to demonstrate time-varying coefficient estimation in a VAR***by*Tom Doan**RATS programs to replicate Tse's constant correlation GARCH test results***by*Tom Doan**RATS programs to replicate Tsay's 1998 multivariate threshold results***by*Tom Doan**RATS programs to replicate Terasvirta's 1994 STAR model results***by*Tom Doan**RATS program to demonstrate Markov Switching ARCH***by*Tom Doan**RATS program to demonstrate Swamy GLS matrix weighted estimator***by*Tom Doan**RATS program to demonstrate estimation of a stochastic volatility model***by*Tom Doan**RATS program to demonstrate forecasting using spectral techniques***by*Tom Doan**RATS programs to replicate Sinclair(2009) bivariate state-space model***by*Tom Doan**RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"***by*Tom Doan**RATS program to demonstrate Shiller smoothness prior for distributed lag***by*Tom Doan**RATS program to demonstate robust estimation techniques in a linear model***by*Tom Doan**RATS program to demonstrate calculation of an arranged autoregression***by*Tom Doan**RATS program to estimate probit model with random effects***by*Tom Doan**RATS programs to replicate Quah and Vahey core inflation estimation***by*Tom Doan**RATS program to demonstrate quadratic programming***by*Tom Doan**RATS program to calculate optimal portfolios***by*Tom Doan**RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data***by*Tom Doan**RATS programs to replicate Perron-Wada state space model***by*Tom Doan

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