ECON 7010 - GRADUATE ECONOMETRICS I

Below, I provide the GAUSS programs that I used in Graduate Econometrics I.

They are tested in GAUSS version 9 and up. They should also work with OXGAUSS.

I have started converting the programs to python using numpy, scipy and matplotlib libraries.

My understanding of python is very elementary so conversion will be slow.

GAUSS PROGRAMS

[1] A REPRESENTATION OF TYPE I ERROR [python version]

[2] MISSPECIFICATION - OMITTING A (IR)RELEVANT VARIABLE (MC Simulation)

[3] GAUSS MARKOV THEOREM - (MC Simulation)

[4] INSTRUMENTAL VARIABLES - (MC Simulation) [python version]

[5] MAXIMUM LIKELIHOOD ESTIMATION

i. NORMAL LINEAR REGRESSION [python version]

ii. PROBIT MODEL [python version]

iii. LINEAR MODEL WITH AR(1) ERRORS

[6] NON LINEAR LEAST SQUARES

i. GAUSS NEWTON REGRESSION[python version]

ii. MINIMIZATION OF NLS RSS[python version]

[7] Other GAUSS Programs (available upon request)

i. FWL Theorem

ii. Misspecification - including an irrelevant variable -(MC Simulation)

iii. GLS & FGLS - (MC Simulation)

iv. Simple BOOTSTRAP[python version]

v. Examples of simple procedures

©Umut OGUZOGLU