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Content
2025
- S459410 WINPROB: Stata module to compute the win probability for a single outcome
by Leonardo Guizzetti - S459409 WEAI: Stata module to compute different versions of the Women's Empowerment in Agricultural Index (WEAI)
by Malick Dione & Greg Seymour & Nathaniel Ferguson & Hazel Malapit - S459408 DKOBS: Stata module to drop or keep a range of observations
by Dejin Xie - S459407 SIMUFE: Stata module to simulate panel data with fixed effects and generate scatter plots with optional fitting lines
by Yujun Lian - S459406 SOCSTRAT: Stata module to compute and analyze social stratification variables
by Scott Oatley - S459405 MULTIAUC: Stata module to calculate of correlated areas under the receiver operating characteristic curves and their differences
by Leonardo Guizzetti - S459404 XTSTGATHERCOVID19: Stata module to Download COVID-19 Data from Our World in Data
by Diallo Ibrahima Amadou - S459403 ITSADGP: Stata module to generate artificial data for interrupted time-series analysis
by Ariel Linden - S459348 CC_XD_DIDTEXTBOOK: Stata module to provide do-files and datafiles for textbook
by Clément de Chaisemartin & Xavier D'Haultfoeuille - S458810 CODENSITY: Stata module for kernel density estimation for one or more variables or groups
by Nicholas J. Cox - S448456 MYREG2: Stata module to export results of regression models to a word document
by Zumin Shi - S448455 MODE: Stata module to display and store the mode of a variable
by Ariel Linden - S448454 MARKOVPREDICT: Stata module for predicting the next state of a Markov chain model given specified past states
by Ariel Linden - RTS00260 LOGSKEWTGARCH: RATS procedure to compute the log density of skew-t distribution for use with GARCH
by Tom Doan - RTS00259 LOGSKEWGEDGARCH: RATS procedure to compute the log density of skew-GED distribution for use with GARCH
by Tom Doan - RTS00258 LOGSKEWGEDDENSITY: RATS procedure to compute log density of skew-GED distribution
by Tom Doan - RTS00257 INVCHISQRPARMS: RATS procedure to computes parameters required for inverse chi-squared distribution
by Tom Doan - RTS00256 IMPACTSIGNFLIP: RATS procedure to corrects signs in covariance matrix factor to match theoretical choices
by Tom Doan - RTS00254 YULEVAR: RATS procedure to estimate a VAR on stationary data using Yule-Walker Equations
by Tom Doan - RTS00253 YULELAGS: RATS procedure to compute Information Criteria for AR models using Yule-Walker
by Tom Doan - RTS00252 WESTCHOTEST: RATS procedure to perform Heteroscedasticity-robust serial correlation test
by Tom Doan - RTS00251 SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM
by Tom Doan - RTS00250 REGTOTEX: RATS procedure to create a TeX equation from the most recent regression
by Tom Doan - RTS00249 REGSTRTEST: RATS procedure to perform a test for linearity vs nonlinear in the form of smooth transition
by Tom Doan - RTS00248 POTESTRESIDS: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration on 1st stage residuals
by Tom Doan - RTS00247 POTEST: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration
by Tom Doan - RTS00246 PACF2AR: RATS procedure to generate coefficients for an AR from input covariances
by Tom Doan - RTS00245 MVGARCHTOVECH: RATS procedure to extract a VECH representation from GARCH estimates
by Tom Doan - RTS00244 MCPROCESSIRF: RATS procedure to organize error bands for IRF's based upon MC results
by Tom Doan - RTS00243 MCGRAPHIRF: RATS procedure to organize graphs of IRF's with confidence bands
by Tom Doan - RTS00242 LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data
by Tom Doan - RTS00241 LAGPOLYROOTS: RATS procedure to create table of the roots of a lag polynomial
by Tom Doan - RTS00240 CXLOGDENSITYCV: RATS procedure to compute concentrated multivariate Whittle likelihood using complex matrices
by Tom Doan - RTS00239 CXLOGDENSITY: RATS procedure to compute Whittle likelihood using complex matrices
by Tom Doan - RTS00238 BSOPTION: RATS procedure to execute Black-Scholes option pricing procedure
by Tom Doan - RTS00237 BREITUNG: RATS procedure to perform Breitung test for unit roots in panel data
by Tom Doan - RTS00236 ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test
by Tom Doan - RTZ00235 STARDIAGNOSTICS: RATS program to perform diagnostics on STAR models
by Tom Doan - RTZ00234 WRIGHTJBES2000: RATS program to replicate Wright's Alternative Variance Ratio test results
by Tom Doan - RTZ00233 WEST_CHO_JOE1995: RATS program to replicate West and Cho(1995) analysis of GARCH models
by Tom Doan - RTZ00232 TSEJOE2000: RATS program to replicate Tse(2000)'s constant correlation GARCH test results
by Tom Doan - RTS00231 VRATIO: RATS procedure to implement variance ratio unit root test procedure
by Tom Doan - RTZ00231 STOCKWATSONJASA1998: RATS program to implement Stock and Watson(1998) Median Unbiased Estimation of Drift Variance
by Tom Doan - RTS00230 VARSPECTRUM: RATS procedure to compute multivariate spectral density of a Vector Autoregression
by Tom Doan - RTZ00230 SKALIN_TERASVIRTA_JAE1999: RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests
by Tom Doan - RTS00229 VARMADLM: RATS procedure to analyze a VARMA using state-space techniques
by Tom Doan - RTZ00229 SIMSZHAECM1999: RATS program to replicate Sims and Zha(1999) Error Bands calculations
by Tom Doan - RTS00228 VARLAGSELECT: RATS procedure to select lag length for a VAR model
by Tom Doan - RTZ00228 SADORSKY_EE2012: RATS program to replicate Sadorsky(2012)'s "Correlations and Volatility Spillovers..." paper
by Tom Doan - RTZ00227 LEBO_BOX_AJPS2008: RATS program to replicate Lebo and Box-Steffensmeier's DCC GARCH models
by Tom Doan - RTS00226 VARIRFDELTA: RATS procedure to compute the covariance matrix of an IRF using the delta method
by Tom Doan - RTZ00226 KILIAN_AER2009: RATS program to replicate Kilian(2009)'s VAR analysis of oil market/macro data
by Tom Doan - RTS00225 VARIRF: RATS procedure to organize graphs of Impulse responses for an estimated VAR
by Tom Doan - RTZ00225 HASBROUCK: RATS program to demonstrate decomposition of long-run variance as in Hasbrouck(1995)
by Tom Doan - RTS00224 VARIMAX: RATS procedure to perform factor rotation using varimax criterion
by Tom Doan - RTZ00224 GARCHDECO: RATS program to estimate a GARCH model with dynamic equicorrelation (DECO)
by Tom Doan - RTS00223 VARFROMDLM: RATS procedure to translate a state space representation to its implied VAR
by Tom Doan - RTZ00223 CHANKAROLYI: RATS program to estimate several versions of the CKLS(1992) model for interest rates
by Tom Doan - RTS00222 VARFPE: RATS procedure to compute minimum FPE representation for the equations in a VAR
by Tom Doan - RTZ00222 BAUWENS_LAURENT_JBES2005: RATS program to replicate Bauwens and Laurent(2005) Multivariate skew-t GARCH model
by Tom Doan - RTS00221 VARCALC: RATS procedure to perform a direct calculation of a simple OLS VAR
by Tom Doan - RTS00220 VARBOOTSETUP: RATS procedure to set up a parallel system for bootstrapping a VAR
by Tom Doan - RTS00219 UNIQUEVALUES: RATS procedure to extract unique values from a series
by Tom Doan - RTZ00219 WATSONAER1994: RATS program to replicate Watson(1994)'s use of Bry-Boschan business cycle dating algorithm
by Tom Doan - RTS00218 UNIFORMPARMS: RATS procedure to compute required parameters for uniform distribution
by Tom Doan - RTS00217 UHLIGFUNCS: RATS procedure to compute criteria for Uhlig sign-restricted shocks
by Tom Doan - RTS00216 UFOREERRORS: RATS procedure to compute forecast errors for a univariate model
by Tom Doan - RTZ00216 MATHESON_STAVREV_EL2013: RATS programs to replicate Matheson-Stavrev(2013) non-linear state-space model
by Tom Doan - RTZ00215 LEE_JIMF_1994: RATS program to replicate Lee(1994) VECM-BEKK GARCH analysis of spot/forward rates
by Tom Doan - RTS00214 TSECCTEST: RATS procedure to perform Tse test for constant correlation in MV-GARCH model
by Tom Doan - RTZ00214 LAUBACH_WILLIAMS_RESTAT2003: RATS program to replicate Laubach-Williams multivariate state-space model with regressors
by Tom Doan - RTS00213 TSAYTEST: RATS procedure to perform Tsay arranged regression test for threshold autoregression (TAR)
by Tom Doan - RTZ00213 L1TREND: RATS program to demonstrate L1 filtering (robust "HP" filter)
by Tom Doan - RTS00212 TSAYNLTEST: RATS procedure to perform Tsay test for neglected non-linearities
by Tom Doan - RTZ00212 KOUTMOS_JBFA1996: RATS program to replicate Koutmos(1996) MV EGARCH with spillovers
by Tom Doan - RTZ00211 KILIANVIGFUSSON_QE2011: RATS programs to replicate Kilian-Vigfusson(2011) asymmetric VAR
by Tom Doan - RTS00210 THRESHTEST: RATS procedure to perform Hansen's Test for Threshold Break
by Tom Doan - RTZ00210 KILIAN_RESTAT1998: RATS program to replicate Kilian(1998)'s bootstrap-within-bootstrap
by Tom Doan - RTS00209 TAR: RATS procedure to estimate a threshold autoregression, tests for threshold effect
by Tom Doan - RTZ00209 JORDAAER2005: RATS program to replicate Jorda(2005)'s local projection IRF calculations
by Tom Doan - RTS00208 SWTRENDS: RATS procedure to test cointegration rank using common trends analysis
by Tom Doan - RTS00207 SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS
by Tom Doan - RTZ00207 RATS program to demonstrate decomposition of long-run variance as in Hasbrouck(1995)
by Tom Doan - RTS00206 SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set
by Tom Doan - RTZ00206 GRIER_HENRY_ETAL_JAE2004: RATS program to replicate Grier, Henry, Olekalns and Shields(2004) GARCH model
by Tom Doan - RTS00205 SURGIBBSSETUP: RATS procedure to set up Gibbs sampler for SUR model
by Tom Doan - RTZ00205 GONZALES-RIVERA_ND1998: RATS program to replicate Gonzales-Rivera(1998) STAR-GARCH model
by Tom Doan - RTS00204 STRUCTRESIDS: RATS procedure to compute structural residuals from standard residuals
by Tom Doan - RTS00203 STOCKWAT: RATS procedure to perform Stock-Watson and Dickey-Fuller Unit Root Tests
by Tom Doan - RTZ00203 GARCHUVFLEX: RATS program to estimate a GARCH model with a non-standard density
by Tom Doan - RTS00202 STEPPROBIT: RATS procedure to perform backwards stepwise reduction of a probit model
by Tom Doan - RTZ00202 GARCHM_UV_DUMMY: RATS program to demonstrate estimation of a GARCH-M with dummy M effect
by Tom Doan - RTS00201 STARTEST: RATS procedure to perform test for linearity vs. LSTAR or ESTAR
by Tom Doan - RTZ00201 FRY_PAGAN_JEL2011: RATS program to demonstrate Fry-Pagan(2011) median target estimates for impulse response functions
by Tom Doan - RTS00200 STAMPDIAGS: RATS procedure to perform a standard battery of specification tests for a state space model
by Tom Doan - RTZ00200 FARRANT_PEERSMAN_JMCB2006: RATS program to replicate Farrant-Peersman(2006) sign restricted VAR's
by Tom Doan - RTS00199 STABTEST: RATS procedure to perform Hansen's stability test for OLS
by Tom Doan - RTZ00199 DIEBOLDYILMAZ_IJF2012: RATS program to replicate Diebold and Yilmaz(2012) spillover calculations
by Tom Doan - RTS00198 SSMSPECTRUM: RATS procedure to compute multivariate spectral density of a state space model
by Tom Doan - RTZ00198 CUSHMAN_ZHA_JME1997: RATS program to replicate Cushman and Zha(1997) structural near-VAR
by Tom Doan - RTZ00197 CHANMCALEER_AFE2003: RATS program to replicate Chan and McAleer(2003) STAR-STGARCH models
by Tom Doan - RTS00196 SPECTRUM: RATS procedure to compute/graph spectral density
by Tom Doan - RTZ00196 CHANMAHEUJBES2002: RATS program to estimate Jump GARCH models with fixed and varying jump intensities
by Tom Doan - RTS00195 SPECFORE: RATS procedure to compute forecasts using spectral techniques
by Tom Doan - RTZ00195 CECCHETIRICH_JBES2001: RATS program to replicate Ceccheti and Rich(2001) estimates of the sacrifice ratio
by Tom Doan - RTS00194 SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions
by Tom Doan - RTZ00194 CAMACHO_JEL2011: RATS programm to replicate Camacho's JEL 2011 paper on unit root test in presence of Markov Switching
by Tom Doan - RTZ00193 BALKE_RESTAT2000: RATS program to replicate Balke(2000)'s threshold VAR
by Tom Doan - RTS00192 RUNTEST: RATS procedure to compute a run test for a two-state series
by Tom Doan - RTZ00192 BALCILARGUPTAMILLER_EE2015: RATS program to replicate Balcilar, Gupta, Miller(2015) Markov Switching VECM
by Tom Doan - RTS00191 RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)
by Tom Doan - RTZ00191 RATS program to replicate Skalin and Terasvirta(1999) STAR models and causality tests
by Tom Doan - RTS00190 RRGQTEST: RATS procedure to compute a Goldfeld-Quandt test on recursive residuals
by Tom Doan - RTZ00190 RATS program to replicate Pedroni JAE 2007 paper using panel cointegration
by Tom Doan - RTZ00189 RATS program to demonstrate Granger causality test with heterogeneous panel
by Tom Doan - RTS00188 ROLLREG: RATS procedure to compute rolling regressions for least squares
by Tom Doan - RTZ00188 RATS program to demonstrate Monte Carlo Impulse Response for a structural near-VAR
by Tom Doan - RTS00187 ROBUSTLMTEST: RATS procedure to perform robust LM test for orthogonality of residuals and input series
by Tom Doan - RTZ00187 RATS program to demonstrate Gibbs sampling in a cointegrated model
by Tom Doan - RTS00186 RGSE: RATS procedure to compute fractional differencing parameter using semiparametric methods
by Tom Doan - RTZ00186 RATS program to demonstrate Inclan-Tiao test for breaks in variance
by Tom Doan - RTS00185 REGWUTEST: RATS procedure to perform Wu (or Durbin-Wu-Hausman) specification test on regression
by Tom Doan - RTZ00185 RATS program to demonstrate IV estimation of VAR in panel data
by Tom Doan - RTS00184 REGWHITETEST: RATS procedure to perform White heteroscedasticity test on regression
by Tom Doan - RTZ00184 RATS program to demonstrate historical decomposition
by Tom Doan - RTS00183 REGWHITENNTEST: RATS procedure to perform White neural network test on regression
by Tom Doan - RTZ00183 RATS program to replicate Hafner-Herwartz(2006) volatility impulse response functions
by Tom Doan - RTS00182 REGTREE: RATS procedure to perform a CART (Classification and Regression Trees) analysis
by Tom Doan - RTZ00182 RATS program to demonstrate Gibbs sampling on dynamic probit model
by Tom Doan - RTS00181 REGRESET: RATS procedure to perform Ramsey RESET test on regression
by Tom Doan - RTZ00181 RATS program to demonstrate univariate GARCH with nonparametric density
by Tom Doan - RTZ00180 RATS program to demonstrate Gibbs sampling applied to a DCC GARCH model
by Tom Doan - RTS00179 REGPCSE: RATS procedure to compute panel-corrected standard error calculation
by Tom Doan - RTZ00179 RATS program to demonstrate bootstrapping on a multivariate GARCH model
by Tom Doan - RTZ00178 RATS program to replicate Faust 1998 paper on semi-structural VAR
by Tom Doan - RTZ00177 RATS program to replicate Ehrmann-Ellison-Valla(2003) regime dependent impulse response
by Tom Doan - RTS00176 REGHBREAK: RATS procedure to perform structural break test with bootstrapped p-values
by Tom Doan - RTZ00176 RATS program to demonstrate forecasting an E-GARCH model using random simulations
by Tom Doan - RTS00175 REGEXACTDW: RATS procedure to compute the exact significance level for the Durbin-Watson
by Tom Doan - RTZ00175 RATS program to demonstrate bootstrapping with an E-GARCH model
by Tom Doan - RTZ00174 RATS program to estimate various forms of DCC GARCH models
by Tom Doan - RTZ00173 RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models
by Tom Doan - RTZ00172 RATS program to replicate Baillie and Bollerslev GARCH models with day-of-week effects
by Tom Doan - RTZ00171 RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR
by Tom Doan - RTZ00170 RATS program to demonstrate Gibbs Sampling applied to an ARMA model
by Tom Doan - RTZ00169 RATS program to replicate Arellano-Bond 1991 dynamic panel
by Tom Doan - RTS00168 RANMIXTURE: RATS procedure to perform random draws from a mixture of Normals
by Tom Doan - RTZ00168 RATS programs to replicate Wright's Alternative Variance Ratio test results
by Tom Doan - RTZ00167 RATS programs to replicate Willinger, Taqqu, Teverovsky(1999)
by Tom Doan - RTS00166 QUARTIMAX: RATS procedure to perform factor rotation using quartimax criterion
by Tom Doan - RTZ00166 RATS program to demonstrate lag length selection techniques in a VAR
by Tom Doan - RTZ00165 RATS program to demonstrate block causality tests in a VAR
by Tom Doan - RTS00163 PRJMULTINOMIAL: RATS procedure to compute predicted probabilities for multinomial logit model
by Tom Doan - RTZ00163 RATS programs to replicate Uhlig's VAR identification technique
by Tom Doan - RTS00162 PRJCONDITIONAL: RATS procedure to compute predicted probabilities for conditional logit model
by Tom Doan - RTZ00162 RATS program to demonstrate time-varying coefficient estimation in a VAR
by Tom Doan - RTS00161 PRINFACTORS: RATS procedure to perform principal components-based factor analysis
by Tom Doan - RTZ00161 RATS programs to replicate Tse's constant correlation GARCH test results
by Tom Doan - RTS00160 PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test
by Tom Doan - RTZ00160 RATS programs to replicate Tsay(1998)'s multivariate threshold results
by Tom Doan - RTS00158 PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions
by Tom Doan - RTZ00158 RATS programs to replicate Terasvirta's 1994 STAR model results
by Tom Doan - RTS00157 PERSIST: RATS procedure to compute sum of coefficients of a MA representation for a series
by Tom Doan - RTZ00157 RATS program to demonstrate Markov Switching ARCH
by Tom Doan - RTS00156 PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date
by Tom Doan - RTZ00156 RATS program to demonstrate Swamy GLS matrix weighted estimator
by Tom Doan - RTS00155 PERRONNGMTESTS: RATS procedure to compute various Perron-Ng "M" unit root tests
by Tom Doan - RTZ00155 RATS program to demonstrate estimation of a stochastic volatility model
by Tom Doan - RTS00154 PERRONBREAKS: RATS procedure to compute various unit root tests with breaks
by Tom Doan - RTS00152 PANELTHRESH: RATS procedure to analyze up to two threshold breaks in a fixed effects panel model
by Tom Doan - RTZ00152 RATS program to demonstrate forecasting using spectral techniques
by Tom Doan - RTS00151 PANELFM: RATS procedure to perform panel data group mean FMOLS
by Tom Doan - RTZ00151 RATS programs to replicate Sinclair(2009) bivariate state-space model
by Tom Doan - RTS00150 PANELDOLS: RATS procedure to perform panel data group mean DOLS
by Tom Doan - RTS00147 OLSHODRICK: RATS procedure to compute Hodrick standard errors
by Tom Doan - RTS00146 NBERCYCLES: RATS procedure to generate dummies based upon NBER cycle dates
by Tom Doan - RTS00145 MVQSTAT: RATS procedure to compute Hosking's Multivariate Q statistic
by Tom Doan - RTZ00145 RATS programs to replicate Sims and Zha(1999) "Error Bands for Impulse Responses"
by Tom Doan - RTZ00144 RATS program to demonstrate Shiller smoothness prior for distributed lag
by Tom Doan - RTS00143 MVJB: RATS procedure to perform Multivariate Jarque-Bera normality test
by Tom Doan - RTZ00143 RATS program to demonstate robust estimation techniques in a linear model
by Tom Doan - RTS00142 MVIDENT: RATS procedure to create a Tiao-Box cross correlation matrix
by Tom Doan - RTS00141 MVGARCHFORE: RATS procedure to perform Multivariate GARCH forecasting
by Tom Doan - RTZ00141 RATS program to estimate probit model with random effects
by Tom Doan - RTS00140 MVBNDECOMP: RATS procedure to compute a multivariate Beveridge-Nelson decomposition via VAR's
by Tom Doan - RTS00139 MVARCHTEST: RATS procedure to perform Multivariate test for ARCH
by Tom Doan - RTZ00139 RATS programs to replicate Quah and Vahey core inflation estimation
by Tom Doan - RTS00138 MULTIPLEBREAKS: RATS procedure to perform multiple structural change analysis
by Tom Doan - RTS00137 MSVARSETUP: RATS procedure to perform Markov switching VAR setup procedures
by Tom Doan - RTZ00137 RATS program to demonstrate quadratic programming
by Tom Doan - RTS00136 MSSYSREGRESSION: RATS procedure to perform Markov switching linear systems regression procedures
by Tom Doan - RTS00135 MSSETUP: RATS procedure to perform Markov switching general support procedures
by Tom Doan - RTZ00135 RATS program to calculate optimal portfolios
by Tom Doan - RTS00134 MSREGRESSION: RATS procedure to perform Markov switching linear regression procedures
by Tom Doan - RTZ00134 RATS programs to replicate Pesaran, Shin and Smith, pooled mean group panel data
by Tom Doan - RTS00133 MSEMSETUPSTD: RATS procedure to perform Markov switching procedures for EM estimation
by Tom Doan - RTZ00133 RATS programs to replicate Perron-Wada state space model
by Tom Doan