grocer

• Time series
  • a2m — expand an annual series into a monthly one
  • a2q — expand an annual series into a quarterly one
  • car2freq — transforms a car into a frequency
  • da2m — transformation of daily data into monthly ones
  • da2q — transformation of daily data into quarterly ones
  • date2fq — finds the frequency associated to a date
  • date2num — transforms a date into a number
  • date2num_fq — transforms a date into a number and its frequency
  • date2num_m — transforms a matrix of dates into numbers
  • datelf2hf — transformation of a date into a higher frequency date
  • datelf2hf0 — transformation of a date into a higher frequency date
  • datets — returns the time span of a ts
  • def0_basets — creation of the default frequencies data base
  • def_basets — creation of the frequencies data base
  • def_dailyform — creation of the data base for the format of daily dates
  • delda — differentiates a ts ignoring NA values
  • delts — differentiates a ts
  • diff_date — returns the difference between 2 dates
  • dummy — create a dummy variable
  • extrap — extrapolate a ts by another ts
  • freq2car — transforms a frequency into a string
  • freqts — returns the frequency of a ts
  • freqts_c — returns the frequency of a ts in complex form
  • growthr — growth rate of a ts
  • lagda — lag a ts ignoring NA values
  • lagts — lag a ts
  • m2a — transforms monthly data into annual ones
  • m2q — transforms monthly data into quarterly ones
  • num2date — transforms a number into a date
  • overlay — overlay several ts
  • prtts — print ts
  • q2a — transforms quarterly data into annual ones
  • q2m — expand a quarterly series into a monthly one
  • reshape — creation of a ts from a vector
  • seasdummy — create a seasonal dummy variable
  • series — returns the values of a ts
  • st_dev — standard deviation of a vector or a ts
  • subper — restrict a ts to a subperiod
  • ts2vec — transforms a ts into a vector
  • values — value of a ts at some date
  • var_t — variances of n ts at a given date
  • vec2ts — vector to timeseries
• Matrices of Time series
  • addts2tsmat — adds a ts to a tsmat
  • db2tsmat — Converts a database into a tsmat
  • ts2tsmat — Converts time series into a tsmat
  • tsmat2ts — Converts a tsmat into time series
  • tsmat_extrap — exatrpolates series in a tsmat
  • tsmat_names — Changes how the names of a tsmat are modified after an operation
• Basic functions
  • autocum — AR(1) cumulation
  • cols — # of columns in a matrix
  • com_size — replaces values of matrix x
  • commutation — commutation of a matrix
  • crlag — circular lag function
  • dblist — gives the content of a database
  • defaultcoef — finds default coefficients in equations
  • detrend — detrend a matrix
  • dmult — gauss dmult function
  • duplication — Magnus and Neudecker's duplication matrix
  • elimination — Magnus and Neudecker's elimination matrix
  • expbd2csv — exportation to Excel
  • expbd2exc — exportation to Excel
  • expbd2xls — exportation of a database to Excel
  • extraptab — extrapolation of statistical tables
  • findcoef — find coefficients in an equation
  • fuslist — merge vectors of a list
  • fusvect — sorted fusion of vectors
  • getconfig — Get the name of the O/S
  • impexc2bd — importation of a csv excel file
  • internet2sci — downlaod a file from Internet
  • invpd — mimic Gauss function invpd
  • invvech — inverse of vech
  • is_empty — check if a variable is empty
  • is_scalar — check if a matrix is a scalar
  • joinstr — concatenation of strings and strings vectors
  • lag — creation of a lagged matrix
  • longrun_variance — long run variance of a stationary series
  • matdiv — matrix quotient
  • matmul — matrix elementwise multiplication
  • meanc — mimics gauss function meanc
  • miss — converts a specified value to NA
  • missrv — converts a NA to a specified value
  • mlag — lag of a matrix
  • mlag0 — lag of a matrix
  • mlagb — lag a matrix
  • mvblockboot — Multivariate block-bootstrap
  • newey_west — Newey_West variance estimator
  • packr — deletes rows of a matrix containing missing values
  • polymult — mimics gauss function polymult
  • ptrend — matrix of polynomial trend
  • readxls2bd — importation of an excel file
  • readxlsx — Reads an Excel file
  • repmat — mimics Matlab function repmat
  • reshape_gauss — mimics gauss function reshape
  • rev — mimics gauss function rev
  • rows — # of rows in a matrix
  • sci_unzip — unzip a zipped file
  • search_cte — find the indexes of constant colums
  • seqa — production of a sequence of values
  • shiftr — mimics gauss function shiftr
  • sortc — mimics gauss function sortc
  • spencer — filters a series with a Spencer filter
  • stdc — mimics gauss function stdc
  • str2mat — mimics matlab function str2mat
  • str2vec — string to vector of strings
  • strsubst_trueobj — replace a "true' string by another one in a string
  • studentize — studentize a ts, a vector or a matrix
  • tdiff — produce matrix differences
  • transdif — differenciation and Box-Cox transformation
  • trend — exponentiated time trend
  • trimr — strip a matrix
  • undrift — removes the drift or a linear time trend
  • uninstall_grocer — uninstall grocer
  • var2cor — covariance to correlation
  • varcov0 — covariance matrix
  • vec — stacks columns of a matrix
  • vec2col — vector into column vector
  • vec2row — vector into row vector
  • vech — stacks a symmetric matrix
  • vech_gauss — mimics gauss function vech
  • vecr — stacks rowwise
  • xpnd1 — mimics gauss function xpnd
• General Functions for estimation
  • bounds — setting estimation bounds
  • explolist — splitting of a list
  • explon — explosion of several sequences of variables
  • explone — explosion of one sequence of variables
  • explots — explosion of a list of ts
  • explouniv — explosion of a sequence of variables
  • explovars — explosion of a sequence of variables
  • lagbounds — lag bounds in a regression
  • res2ts — result vector object to timeseries
• Optimisation
  • hessian — finite symmetric difference Hessiann
  • maxlik — maximization function
  • newton_GGN11 — find the 0 of a function by Grau-Sanchez, Grau and Noguera (2011) method
  • newton_GGN11_sp — find the 0 of a function by Grau-Sanchez, Grau and Noguera (2011) method
  • newton_U15 — find the 0 of a function by Ullah (2015) method
  • newton_U15_sp — find the 0 of a function by Ullah (2015) method
  • newton_WKG11 — find the 0 of a function by Wang, Kou and Gu (2011) method
  • newton_WKG11_sp — find the 0 of a function by Wang, Kou and Gu (2011) method
  • newton_XY16 — find the 0 of a function by Xiao and Yin (2016) method
  • newton_XY16_sp — find the 0 of a function by Xiao and Yin (2016) method
  • numz0 — numerical derivative
  • optimg — Grocer optimization function
• Single equation regressions
  • ar1_grad — gradient for ols model with AR1 errors
  • ar1_like — log-likelihood for ols model with AR1 errors
  • define_func2inv — store a list of functions and their inverse
  • deming — deming linear estimation
  • deming1 — deming linear estimation
  • dynfore — Dynamic simulation of an equation
  • hwhite — White's adjusted heteroscedastic estimation
  • hwhitemod — White's adjusted heteroscedastic estimation for a model equation
  • invxpx — inversion of X'X
  • iv — instrumental variables
  • iv1 — instrumental variables
  • ivmod — instrumental variables method for a model equation
  • lad — least absolute deviations regression
  • lad1 — Least absolute deviation method
  • ladmod — Estimate least absolute deviations regression for equations of a model
  • mcov — White's X'WX
  • nls — non linear least squares
  • nlsmod — Estimate non-linear least squares for equations of a model
  • nwest — Estimation with Newey-West correction on standard errors
  • nwest1 — Estimation with Newey-West correction on standard errors
  • nwestmod — Estimate Newey-West's adjusted heteroskedastic and autocorrelation consistent least squares for equations of a model
  • ols — ordinary least squares
  • ols0 — ordinary least squares
  • ols1 — ordinary least squares
  • ols2 — ordinary least squares
  • ols2_cons — constrained ordinary least squares
  • ols_cons — constrained ordinary least squares
  • olsar1 — maximum likelihood estimation of an autocorrelated model
  • olsar1_1 — maximum likelihood estimation of an autocorrelated model
  • olsarma — ordinary least squares with ARMA errors
  • olsarma1 — ordinary least squares with ARMA errors
  • olsarmamod — Estimate by ols with arma errors equations of a model
  • olsc — Cochrane-Orcutt estimation of an autocorrelated model
  • olsc0 — Cochrane-Orcutt estimation of an autocorrelated model
  • olsc1 — Cochrane-Orcutt estimation of an autocorrelated model
  • olscmod — Estimate by Cochrane-Orcutt ols Regression for AR1 errors equations of a model
  • olsmod — Estimate by ols equations of a model
  • olspec — ordinary least squares with specification tests
  • olspec1 — ols with specification test
  • olspecmod — Estimate equations of a model by ols with specification test
  • olst — ols with t-distributed errors
  • olst1 — ols with t distributed errors
  • olstmod — Estimate equations of a model by ols with t-distributed errors
  • qreg — quantile regression estimation
  • qreg1 — quantile regression estimation
  • ridge — ridge regression
  • ridge1 — Hoerl_Kernard ridge regression method
  • ridgemod — Estimate equations of a model by Hoerl-Kennard Ridge Regression
  • robust — robust regression
  • rolreg — Compute rolling or recursive out-of-sample prevision
  • statfore — static forecast
  • theil — Theil-Goldberger mixed estimator
  • theil1 — Theil-Goldberger mixed estimator
• Econometric tests and diagnostics
  • AndPlob — Andrews and Ploberger brekapoint tests
  • archz — ARCH test
  • archz0 — ARCH test
  • arlm — Lagrange multiplier autocorrelation test
  • arlm0 — Lagrange multiplier autocorrelation test
  • arlm0_multi — LM multivariate test of autocorrelation
  • bkw — BKW multicollinearity diagnostic
  • bkw_scale — BKW scaled multicollinearity diagnostic
  • bkwols — BKW scaled multicollinearity diagnostic
  • bpagan — Breusch and Pagan heteroskedasticity test
  • bpagan0 — Breusch and Pagan heteroskedasticity test
  • chowtest — Chow usual test
  • chowtest0 — Chow usual test
  • clwest — Approximately normal test proposed by Clark and West (include test of martingal difference hypothesis)
  • cusumb — backward cusum stability tests
  • cusumf — forward cusum stability tests
  • cusumq_tab — cusum squared confidence band
  • dchange — Test for directional accuracy
  • des_stat — basic statistics
  • dfbeta — BKW influential observation diagnostics
  • diebmar — Diebold and Mariano test for predictive accuracy
  • doornhans — Doornik and Hansen normality test
  • doornhans0 — Doornik and Hansen normality test
  • hetero_sq — Xi² heteroskedasticity test
  • hetero_sq0 — Xi² heteroskedasticity test
  • hetero_sq0_multi — LM multivariate test of heteroskedasticity
  • jbnorm — Jarque and Bera normality test on the residuals of a regression
  • jbnorm0 — Jarque and Bera normality test on the residuals of a regression
  • jbnorm_var1 — Jarque and Bera normality test on the residuals of a regression
  • li_mcleod — Li McLeod autocorrelation test
  • ljungbox — Ljung-Box autocorrelation test
  • predfail — out of sample predictive failure test
  • predfailin — Chow predictive failure test
  • predfailin0 — Chow predictive failure test
  • recresid — recursive residuals
  • reliability — reliability of the coefficients in a regression
  • reset — Ramsey RESET test
  • reset0 — Ramsey RESET test
  • waldchi — Wald F-test
  • waldf — Wald F-test
  • waldf0 — Wald F-test
  • white — White's heteroskedasticity test
  • white0 — White's heteroskedasticity test
• Unit roots and cointegration
  • adf — adf unit root test
  • cadf — ADF statistic for residuals from a cointegrating regression
  • critecm — critical values and p-values for the error correction test
  • ers — Elliott-Rothenberg-Stock unit root test
  • kpss — KPSS unit root test
  • olsecm — Error correction test for cointegration
  • phil_perr — Phillips-Perron unit-root test
  • rztcrit — critical values for the cadf Zt statistic
  • schmiphi — computes Schmidt-Phillips test
  • schmiphi_tab — critical values for the Schmidt-Phillips statistic
• Johansen cointegration mmethod
  • c_sja — critical values for Johansen maximum eigenvalue statistic
  • c_sjt — critical values for Johansen trace statistic
  • johansen — Johansen cointegration tests
  • johansen_beta_part — impose and test restrictions on the cointegration relations
  • johansen_common_beta — impose and test common restrictions on the cointegration relations
  • johansen_eigen — calculate eigen values of a johansen procdure
  • johansen_known_alpha — impose and test known columns of the error correction terms
  • johansen_known_beta — impose and test restrictions on the cointegration relations
  • johansen_normalize — normalize the eigen vectors and error correction terms
  • johansen_test_exo_lt — test the correct inclusion of an exogenous in the cointegration space
  • johansen_test_lr_weakexo — test the long run weak exogeneity of a subset of variables
• Multivariate regressions
  • eq2xcol — Transformation of a system of equations into a matrix vector
  • eqlist — recovers objects names in an equation
  • exploeqs — Transformation of 2sls or 3sls equations
  • explosys — Transformation of sur equations
  • sur — Zellner Seemingly Unrelated Regression
  • surmod — Zellner Seemingly Unrelated Regression for equations of a model
  • syslist — recovers objects names in a system of equations
  • threesls — Three-Stage Least-squares Regression
  • twosls — Two-Stage Least-squares Regression
• VAR estimations
  • Hetero_TVP_VAR — Time varying structural VAR
  • Hetero_TVP_VAR1 — Time varying structural VAR
  • Hetero_TVP_VAR_irf — IRF for a Time varying structural VAR
  • Hetero_TVP_VAR_stdresid — standard deviations of residuals for a Time varying structural VAR
  • VAR — estimates a VAR model
  • becm — performs bayesian error correction model estimation
  • bvar — performs bayesian VAR estimation
  • bvar1 — low level estimation of a bayesian VAR model
  • ecm — performs error correction model estimation
  • irf — Calculates Impulse Response Function for VAR
  • irf0 — Low-level Impulse Response function
  • irf_asy — asymptotic Impulse Response function for VAR
  • irf_mc1 — Monte-Carlo Impulse Response function for VAR
  • rolirf — Calculates Impulse Response Function for rolling VAR
  • rolvar — computes rolling VAR
  • rolvar_granger — Granger (non-)causality tests for a rolling VAR
  • scstd — determines bvar function scaling factor
  • theilbv — Performs Theil-Goldberger for theilbv model
  • tvp_var_diagnos — computes MCMC convergence diagnostics for TVP VAR
  • tvp_var_diagnos_all — computes MCMC convergence diagnostics for all TVP VAR parmaeters
  • tvp_var_diagnos_hyperp — computes MCMC convergence diagnostics for TVP VAR hyperparameters
  • tvpvar_prior0 — returns prior tlist needed by Hetero_TVP_VAR function
  • var1 — estimates a VAR model (low level)
  • vare — residuals from a VAR estimation
  • varf — VAR forecasting
  • vargranger — Granger (non-)causality tests from a VAR
  • varwithfac — estimation of a VAR models with exogenous factors
• ARMA and VARMA tools
  • acf — autocorrelation function
  • arma2param — explodes a Varmax model for estimation uses
  • arma_dv — Computes the partial derivatives in a VARMA model
  • mak — centered moving average for a matrix
  • makts — centered moving average for a time series
  • maok — k-periods uncentered moving average for a matrix
  • maokts — k-periods uncentered moving average for a time series
  • pacf — Partial autocorrelation function
  • theta2arm2 — transformation of VARMA estimate into the corresponding matrices
  • theta2arma — transformation of VARMA model into its reduced form
  • transf_roots — reverses roots lower than 1 in a L polynom
  • varma — estimation of a (V)ARMA(X) model
  • varmaf — forecasts from a VARMA model
• GARCH models
  • garch — garch estimation
  • garch_grad — Generates garch gradient
  • garch_grad2 — Generates garch gradient
  • garch_like — log likelihood for garch model
  • garch_sigt — Generates garch sigmas
  • garch_trans — Transforms garch parameters
• Automatic estimation
  • auto_test — build specification tests function and vector of names
  • automatic — automatic general to specific regression
  • automatic_signed — automatic general to specific regression with sign constraints on coefficients
  • autovar2var — transforms VAR taken from Automatic estimation into a standard VAR
  • test_spec0 — five specification tests
  • test_varspec0 — three default specification tests for VAR estimation
• Kalman filter estimation
  • filter — Kalman filter
  • filter_like — Kalman filter log-likelihood
  • kalman — Kalman filter estimation
  • smoothing — Kalman smoother
  • tvp — Time varying parameters estimation
  • tvp_param1 — transformation of tvp parameters into kalman compatible ones
  • tvp_param1a — transformation of tvp parameters into kalman compatible ones
  • tvp_param1ad — transformation of tvp parameters into kalman compatible ones
  • tvp_param1d — transformation of tvp parameters into kalman compatible ones
  • tvp_param2 — transformation of tvp parameters into kalman compatible ones
  • tvp_param2a — transformation of tvp parameters into kalman compatible ones
  • tvp_param2ad — transformation of tvp parameters into kalman compatible ones
• Supplementary distibution functions
  • beta — beta function
  • beta_pdf — beta probability distribution
  • beta_rnd — beta random draws
  • bincoef — binomial coefficients
  • bino_rnd — binomial random draws
  • chis_pdf — chi-squared probability distribution
  • chis_rnd — chi-squared random draws
  • fdis_pdf — Fisher probability distribution
  • fdis_rnd — Fisher random draws
  • gamm_pdf — Gamma probability distribution
  • gamm_rnd — Gamma random draws
  • hypg_cdf — hypergeometric cumulative distribution
  • hypg_inv — hypergeometric quantile
  • hypg_pdf — hypergeometric probability distribution
  • hypg_rnd — hypergeometric random draws
  • logn_cdf — lognormal cumulative distribution
  • logn_inv — lognormal cumulative distribution
  • logn_pdf — lognormal probability distribution
  • logn_rnd — lognormal random draws
  • logt_cdf — logistic cumulative distribution
  • logt_inv — logistic quantiles
  • logt_pdf — logistic probability distribution
  • logt_rnd — logistic random draws
  • norm_pdf — normal distribution
  • norm_rnd — normal random draws
  • pois_pdf — Poisson distribution
  • pois_rnd — Poisson random draws
  • quantile — calculate the quantiles of variables
  • stdn_pdf — Student distribution
  • tdis_pdf — Student probability distribution
  • tdis_rnd — Student random draws
  • unif_rnd — Uniform random draws
  • wish_rnd — Wishard random draws
• Business cycle tools
  • agf — autocovariance generating function
  • banerji — performs banerji test to evaluate the leading profile of a series against another one
  • bkfilter — Baxter-King filter
  • brybos — Bry-Boshan turning points datation
  • cffilter — Christiano-Fitzgrald filter
  • define_recession — define the location of peaks and troughs
  • hpfilter — Hodrick Prescott filter
  • hpofilter — Hodrick Prescott one-sided filter
  • spectral — non parametric spectral analysis of time series
  • specvarma — compute parametric spectral analysis of time series
• Contributions
  • balance_identity — Balances an identity numerically approximatively true
  • contrib — contribution of an exogenous variable
  • contrib_logq2gra — contributions to an annual growth rate
  • mainf — Infinite Moving average representation
• Panel equation regressions
  • cdtest — Panel cross-sectional dependence test
  • cdtest_he0 — Panel cross-sectional dependence test
  • cdtest_lmadj_he0 — Panel cross-sectional dependence test for heterogeneous panels
  • cdtest_lmadj_ho0 — Panel cross-sectional dependence test
  • movblockboot — Moving-block bootstrap
  • paneldb — Construct a tlist in grocer panel format
  • panelfit — Compute fitted value implied by panel estimation
  • pbetween — between Estimation for Panel Data
  • pbetween1 — between Estimation for Panel Data
  • pcce — Common correlated effects estimators
  • pccemg1 — Mean group common correlated effects estimator
  • pccep1 — Pooled common correlated effects estimator
  • pdccemg1 — Mean group common correlated effects estimator for dynamic models
  • pdccemg_jkn1 — Mean group common correlated effects estimator with half-panel jackknife correction for dynamic models
  • pfixed — Panel equation regressions
  • pfixed1 — Random Effects Estimation for Panel Data
  • pfixed_hac1 — Panel equation regressions
  • pfixed_mbb1 — Panel equation regressions
  • phaussman — Haussman test on panel estimations
  • ppooled — Panel equation regressions
  • ppooled1 — Pooled Estimation for Panel Data
  • ppooled_hac1 — Panel equation regressions
  • prandom — Random Effects Estimation for Panel Data
  • prandom1 — Random Effects Estimation for Panel Data
• Panel unit root tests
  • ADF_Individual — ADF Unit Root Tests on Individual Time Series
  • BNG_ur — Bai and Ng Panel Unit Root Test
  • BNG_ur1 — Bai and Ng Panel Unit Root Test
  • Chang_IV — Chang Panel Unit Root Test
  • Chang_IV1 — Chang Panel Unit Root Test
  • Choi — Choi Panel Unit Root Test
  • Choi1 — Choi Panel Unit Root Test
  • IPS — Im, Pesaran and Shin Panel Unit Root Test
  • IPS1 — Im, Pesaran and Shin Panel Unit Root Test
  • Levin_Lin — Levin and Lin Panel Unit Root Test
  • Levin_Lin1 — Levin and Lin Panel Unit Root Test
  • Maddala_Wu — Maddala and Wu Panel Unit Root Test
  • Maddala_Wu1 — Maddala and Wu Panel Unit Root Test
  • Moon_Perron — Moon and Perron Panel Unit Root Test
  • Moon_Perron1 — Moon and Perron Panel Unit Root Test
  • Pesaran — Pesaran Panel Unit Root Test
  • Pesaran1 — Pesaran Panel Unit Root Test
• Time series disaggregation
  • chowlin — Temporal disaggregation using the Chow-Lin method
  • chowlin1 — Temporal disaggregation using the Chow-Lin method
  • aggreg1 — Generates a temporal aggregation matrix
  • bfl — Temporal disaggregation using the Boot-Feibes-Lisman method
  • bfl1 — Temporal disaggregation using the Boot-Feibes-Lisman method
  • denton — Multivariate temporal disaggregation with transversal constraint
  • denton1 — Multivariate temporal disaggregation with transversal constraint
  • difonzo — Multivariate temporal disaggregation with transversal constraint
  • difonzo1 — Multivariate temporal disaggregation with transversal constraint
  • etalcalinsee — Disaggregation using Insee's method
  • fernandez — Temporal disaggregation using the Fernandez method
  • fernandez1 — Temporal disaggregation using the Fernandez method
  • litterman — Temporal disaggregation using the Litterman method
  • litterman1 — Temporal disaggregation using the Litterman method
• Markov-switching models
  • cod_kern — divides data into quantiles with a kernel method
  • ms_estimate — Markvov Switching regression model
  • ms_forecast — forecast from a Markvov Switching regression model
  • ms_mean — Markov Switching mean-variance model
  • ms_mean_oos — run out-of-sample a MS-mean
  • ms_quali — Estimates a ms turning point model
  • ms_reg — Markvov Switching regression model
  • ms_reg_oos — run out-of-sample a MS regression
  • ms_var — Markov Switching VAR model
  • ms_var_oos — run out-of-sample a MSVAR
  • msvar_draw — simulate an artifical MS-VAR process
  • msvar_irf — impulse response functions (irf) for a Markov-switching VAR model
  • msvar_irf_cb — msvar irf with confidence bands
  • MSVAR_stderr — Markvov Switching 2nd order moments
• Bayesian Model Averaging
  • DMA — Dynamic model averaging
  • DMA1 — Dynamic model averaging
  • bintodec — During each BMA step, convert "base 2" models codification into bits
  • bma_g — Bayesian model averaging
  • bma_g1 — Bayesian model averaging
  • bmapost_g — Evaluate log marginal posterior of a BMA model
  • densbma_g — Print the posterior density function of estimated coefficients by BMA method
  • find_new — Determine if the selected variables in a BMA step represent a new model
  • jump_g — MCMC with reversible jump to sample variables for changing model size in BMA
  • mc3_g — MCMC model composition to sample variables for changing model size in BMA
• Generalized Method of Moments
  • gmm — Generalized Method of Moments
  • gmm1 — Generalized Method of Moments
  • gmmAndMon — Andrews-Monahan HAC estimators
  • gmmCcapmJ — Gradients of moment condition for power utility CCAPM example
  • gmmCcapmM — Moments condition for power utility CCAPM example
  • gmmDiagW — Plots GMM weighting matrix
  • gmmDtest — performs D test of model comparaison for GMM
  • gmmLM — LM test for GMM
  • gmmLinJ — Jacobian of moment conditions for linear GMM estimation
  • gmmLinM — Provide moment conditions for linear GMM estimation
  • gmmLsFunc — GMM objective function
  • gmmLsGrad — GMM gradients of the objective function
  • gmmMomtRestr — Performs test of moment restriction
  • gmmMsdJ — Jacobian for Mean/StdDev GMM estimation
  • gmmMsdM — Provide moment conditions for Mean/StdDev GMM estimation
  • gmmNlWald — Wald test for GMM with nonlinear restrictions
  • gmmRdef — Computes the value for the restrictions in a nonlinear Wald test
  • gmmS — Spectral density matrix in GMM
  • gmmWald — Wald test
• Factor Analysis
  • fac_kalman — dynamic factor analysis with the Kalman filter
  • fac_pca — Static factor analysis
  • fac_pca1 — Static factor analysis
• Qualitative Econometrics Functions
  • logit — logit regression
  • multilogit — multivariate logit regression
  • multilogit1 — multivariate logit regression
  • ologit — multivariate ordered logit regression
  • ologit1 — multivariate ordered logit regression
  • oprobit — multivariate ordered probit regression
  • oprobit1 — multivariate ordered probit regression
  • probit — probit regression
  • tobit — Tobit estimation
• Gauss to Scilab translation
  • gauss2sci — Gauss to Scilab translation
• Symbolic Analysis
  • add_derivative — add a derivative to the list of analytic ones
  • analyse_eq — breaks down an equation into elementary bricks
  • deriv_eq — derivate an equation decomposed in a tlist
  • rebuild_eq — build an equation from an analytic tlist
• Creation and simulation of macroeconometric models
  • addeq — add an equation to a model
  • addsym — add a variable to a model
  • bounds_db4model — find the admissible bounds for a model and its database
  • changeq — change an equation in a model
  • changesym — change the status of variables to a model
  • create_emptymodel — create an empty model
  • create_model — create a model from a a text file
  • deleq — delete equations in a model
  • delsym — remove variables from a model
  • find_in_equations — in a model, finds the equations where an object is used
  • model_setval — enter the values of a coefficient or a parameter into a model tlist
  • rhs_minus_lhs — displays the absolute maximum value of model equations if it is above a threshold
  • set_residuals2zero — in a tsmat associated to a model, set all residuals to 0
  • simul_shock — simulate the impact of shocks to exogenous variables with a model
  • simulate — make a simulation with a model
  • simulate_eq — simulate an equation of a model
• Printings and graphs
  • dealyna — splits y series containing NAs
  • drawx — draw a readable x axis
  • drawy — draw a readable y axis
  • fan_chart — draws a fan-chart
  • font_title — changes the font of the title
  • histg — plots as an histogram a probability distribution function
  • histo_ts — plots series with bars as in Excel
  • mat2latex — LaTex matrix or LaTex table representation of a scilab matrix
  • mpltseries — multiple 2d plot in one page
  • ndigits — Rounds all elements of a matrix to the desired number of decimals
  • param_g — determines the font parameters
  • plt_cusum — plots the results of the cusum test
  • plt_dfb — plots dfbetas
  • plt_dff — plots dffits, studentized residuals ...
  • plt_impact_shock — plots the result of a shock simulation
  • pltacf — plots partial autocorrelation fonction
  • pltdensbma_g — plots the posterior density function of coefficients in a BMA regression
  • pltfac_kalm — plots the residuals of an ARMA estimation
  • pltirf1 — plots impulse functions
  • pltirf2 — plots impulse functions
  • pltms_prob — plots smoothed or filtered probabilities of a Markov switching regression
  • pltms_quali — plots smoothed or filtered probabilities of a qualtitative turning point estimation
  • pltms_resid — plots residuals from a Markov switching regression
  • pltms_yyhat — plots the raw and adjusted series from a Markov switching regression
  • pltseries — 2d plot
  • pltseries0 — 2d plot
  • plttvp — plots tvp results
  • pltuniv — plots univariate results
  • pltvarma — plots the residuals of an ARMA estimation
  • printmat — prints a matrix
  • printsep — prints a separator
  • prt_impact_shock — prints the result of a shock simulation
  • prt_test — prints the results of specification tests embodied in a tlist results
  • prt_tsmat( — prints tsmats or a comparison between3 of them
  • prtauto — prints automatic() results
  • prtauto_multi — prints some automatic() results
  • prtauto_univ — prints some automatic() results
  • prtbma_g — prints Bayesian Model Averaging results
  • prtcdtest — Display of the Panel cross-sectional dependence test
  • prtchi — prints a Chi2 test
  • prtdiebmar — prints the result from the Diebold-Mariano test
  • prtdisag — prints the results of a time series disaggregation
  • prtfac_kalm — prints fac_kalm estimation results
  • prtfac_acp — prints static factor estimation results
  • prtfish — prints a Fisher test
  • prtgmm — prints gmm estimation results
  • prthaussman — prints the results of a panel Haussman test
  • prtjohan — prints Johansen cointegration results
  • prtjohvec — prints Johansen cointegration vectors
  • prtms — prints Markov switching regression results
  • prtms_quali — prints the results of a HMM estimation based upon qualitative data
  • prtres — prints any regression results
  • prtsys — prints sur estimation results
  • prttvp — prints tvp estimation results
  • prtunitr — prints unit root estimation results
  • prtuniv — prints univariate estimation results
  • prtvar — prints VAR estimation results
  • prtvarf — prints VAR or VARMA forecast results
  • prtvarma — plots partial autocorrelation fonction
  • yscale — determines y scale
• Xls read and write
  • xlinfo — Test if file is an Excel workbook file and get info
  • xlread — Read Microsoft Excel spreadsheet file using Java
  • xlread_data — Auxiliary function used by xlread
  • xlread_scan — Auxiliary function used by xlread
  • xlwrite — Write to Microsoft Excel spreadsheet file using Java