GAUSS:プログラムサンプル配布ＨＰ

ＧＡＵＳＳのサンプルプログラムと，
そのプログラムで使用するデータを配布しているＨＰ．

『Computational Econometrics
GAUSS Programming for Econometricians and Financial Analysts
ETEXT Publishing, 2001. ISBN 0-9705314-3-5
Copyrightジ 2001 by Kuan-Pin Lin
All Rights Reserved』

http://eclab.econ.pdx.edu/gpe2/

のっているサンプルはデータのとりこみからはじまり，
一連のレッスンを全て見ていくと，ＧＡＵＳＳが使えるようになりそう．
かなり大量のプログラムがあるが，全てをダウンロードも可能．
どんなプログラムがあるか，下に全てのせておく．

（Thanks for O先生♪）

Lesson 2.2: File I/O
Lesson 2.3: Data Transformation
Lesson 2.4: Data Analysis
Chapter III Linear Regression Models
Lesson 3.1: Simple Regression
Lesson 3.2: Residual Analysis
Lesson 3.3: Multiple Regression
Lesson 3.3a: Beta Coefficients
Lesson 3.4: Cobb-Douglas Production Function
Lesson 3.5: Testing for Structural Change
Lesson 3.5a: Testing for Model Stability
Lesson 3.6: Residual Diagnostics
Chapter IV Dummy Variables
Lesson 4.1: Seasonal Dummy Variables
Lesson 4.2: Dummy Variable Trap
Lesson 4.3: Testing for Structural Change: Dummy Variable Approach
Chapter V Multicollinearity
Lesson 5.1: Condition Number and Correlation Matrix
Lesson 5.2: Theil's Measure of Multicollinearity
Lesson 5.3: Variance Inflation Factors (VIF)
Lesson 5.4: Ridge Regression and Principal Components
Chapter VI Nonlinear Optimization
Lesson 6.1: -- One-Variable Scalar-Valued Function
Lesson 6.2: -- Two-Variable Scalar-Valued Function
Lesson 6.3: Estimating Probability Distributions
Lesson 6.4: Mixtures of Probability Distributions
Lesson 6.5: Minimizing Sum-of-Squares Function
Lesson 6.6: Maximizing Log-Likelihood Function
Chapter VII Nonlinear Regression Models
Lesson 7.1: CES Production Function
Lesson 7.2: Box-Cox Variable Transformation
Lesson 7.3: Hypothesis Testings for Nonlinear Models
Lesson 7.4: Likelihood Ratio Tests of Money Demand Equation
Chapter VIII Discrete and Limited Dependent Variables
Lesson 8.1: Probit Model of Economic Education
Lesson 8.2: Logit Model of Economic Education
Lesson 8.3: Tobit Analysis of Extramarital Affairs
Chapter IX Heteroscedasticity
Lesson 9.1: Heteroscedasticity-Consistent Covariance Matrix
Lesson 9.2: Goldfeld-Quandt Test and Correction for Heteroscedasticity
Lesson 9.3: Breusch-Pagan Test and Correction for Heteroscedasticity
Lesson 9.4: Multiplicative Heteroscedasticity
Chapter X Autocorrelation
Lesson 10.1: Heteroscedasticity-Autocorrelation-Consistent Covariance Matrix
Lesson 10.2: ests for Autocorrelation
Lesson 10.3: Cochrane-Orcutt Iterative Procedure
Lesson 10.4: Hildreth-Lu Grid Search Procedure
Lesson 10.5: Higher Order Autocorrelation
Lesson 10.6: ARMA(1,1) Error Structure
Lesson 10.7: Nonlinear ARMA Model Estimation
Chapter XI Distributed Lag Models
Lesson 11.1: Testing for Autocorrelation with Lagged Dependent Variable
Lesson 11.2: Instrumental Variable Estimation
Lesson 11.3: Almon Lag Model Revisited
Lesson 11.4: Almon Lag Model Once More
Chapter XII Generalized Method of Moments
Lesson 12.1: Gamma Probability Distribution
Lesson 12.2: A Nonlinear Rational Expectation Model
Lesson 12.3: GMM Estimation of U. S. Consumption Function
Chapter XIII System of Simultaneous Equations
Lesson 13.1: Klein Model I
Lesson 13.2: Klein Model I Reformulated
　　　　　　　　Berndt-Wood Model
Lesson 13.4: Berndt-Wood Model Extended
Lesson 13.5: Klein Model I Revisited
Chapter XIV Unit Roots and Cointegration
Lesson 14.1: Augmented Dickey-Fuller Test for Unit Roots
Lesson 14.2: Cointegration Test: Engle-Granger Approach
Lesson 14.3: Cointegration Test: Johansen Approach
Chapter XV Time Series Analysis
Lesson 15.1: ARMA Analysis of Bond Yields
Lesson 15.1a: ARMA Analysis of Bond Yields (II)
Lesson 15.2: ARMA Analysis of U. S. Inflation
Lesson 15.2a: ARMA Analysis of U. S. Inflation (II)
Lesson 15.3: ARCH Model of U. S. Inflation
Lesson 15.4: ARCH Model of Deutschemark-British Pound Exchange Rate
Lesson 15.5: ARCH-M Model of Deutschemark-British Pound Exchange Rate
Lesson 15.6: EARCH Model of Deutschemark-British Pound Exchange Rate
Lesson 15.7: GARCH Model of Deutschemark-British Pound Exchange Rate (II)
Chapter XVI Panel Data
Lesson 16.1: One-Way Panel Data Analysis: Dummy Variables Approach
Lesson 16.2: One-Way Panel Data Analysis: Deviation Approach
Lesson 16.3: Two-Way Panel Data Analysis
Lesson 16.4: Panel Data Analysis for Investment Demand: Deviation Approach
Lesson 16.5: Panel Data Analysis for Investment Demand: SUR method
Chapter XVII Least Squares Prediction
Lesson 17.1:Ex-Post Forecasts and Forecast Error Statistics
Lesson 17.2:Ex-Ante Forecasts
Appendix A 　GPE Control Variables
Appendix B
GPE Application Modules
Nonlinear ARMA Model Estimation
Residuals Diagnostic Checking
Nonlinear GARCH Model Estimation
Nonlinear GMM Estimation
Johansen Cointegration Tests
One-Way Panel Data Analysis
Two-Way Panel Data Analysis
Tests for Model Stability