Statistics and Econometrics (Source Code)

Statistics and Econometrics Sites:

Classical Item Analysis Classical Item Analysis: Program by Seock-Ho Kim for classical item analysis for tests that consist of multiple-choice or true-false items. In addition to item statistics for each item response, the program provides summary statistics of the total score, coefficient alpha, and te (Statistics and Econometrics) http://www.arches.uga.edu/~shkim/epm99.htm Research Tools Developed by the Mann Group Research Tools Developed by the Mann Group: Fortran 77 code for the Mann & Lees Multi-Taper Method (MTM) and Mann & Park MTM-SVD Multivariate Signal Analysis. (Statistics and Econometrics) http://holocene.evsc.virginia.edu/Mann/tools/tools.html Pricing Derivative Securities Pricing Derivative Securities: Fortran 77 and C++ code for book by T. W. Epps, in a zip file. (Statistics and Econometrics) http://www.worldscientific.com/books/4415.zip Data Analysis Data Analysis: Fortran 77 codes by Volker Blobel for sorting, linear algebra, random number generation, least squares fitting with constraints and with many variables, and unfolding of measured distributions. (Statistics and Econometrics) http://www.desy.de/~blobel/ COVAR COVAR: Computer Program for Multifactor Relative Risks and Tests of Hypotheses Using a Variance-Covariance Matrix from Linear and Log-Linear Regression, by Leif E. Peterson, Journal of Statistical Software v2 (1997). (Statistics and Econometrics) http://www.jstatsoft.org/v02/i04/ ALSCAL ALSCAL: Fortran code by Forrest W. Young for multidimensional scaling. (Statistics and Econometrics) http://forrest.psych.unc.edu/research/alscal.html Software for Stochastic Simulation Input Modeling Software for Stochastic Simulation Input Modeling: Fortran 77 code and Windows executables for fitting Johnson distributions, Poisson processes, and other topics. By James R. Wilson. (Statistics and Econometrics) http://www.ie.ncsu.edu/jwilson/page3.html Clustering Clustering: Fortran 90 codes. (Statistics and Econometrics) http://www.sissa.it/dataclustering/bretton_woods.html Simulation from the Multivariate Normal and t Distributions Subject to Linear Constraints Simulation from the Multivariate Normal and t Distributions Subject to Linear Constraints: By John Geweke. (Statistics and Econometrics) http://www.biz.uiowa.edu/faculty/jgeweke/papers/paper47/eff.f I-NoLLS Least-Squares Fitting Program I-NoLLS Least-Squares Fitting Program: Fits the parameters of physical models to (experimental) data using an Interactive Non-Linear Least Squares procedure. The code, by Mark M. Law and Jeremy M. Hutson, is designed to be highly modular. (Statistics and Econometrics) http://www.abdn.ac.uk/~che194/research/inolls/index.html Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator: By Wouter J. Denhaan. (Statistics and Econometrics) http://econ.ucsd.edu/~wdenhaan/varhac.html ODRPACK: Software for Orthogonal Distance Regression ODRPACK: Software for Orthogonal Distance Regression: Solves the Orthogonal Distance Regresson (ODR) problem, that is, to find parameter estimates that minimize the sum of the squares of the weighted orthogonal distances between each observed data point and the curve described by a nonlinear equation. (Statistics and Econometrics) http://www.boulder.nist.gov/mcsd/Staff/JRogers/odrpack.html GARCH Estimates: Analytic Derivatives GARCH Estimates: Analytic Derivatives: By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics. (Statistics and Econometrics) http://qed.econ.queensu.ca/jae/1996-v11.4/fiorentini-calzolari-panattoni/fcp-progs.zip Clusfind Clusfind: Complete code of six stand-alone Fortran programs for cluster analysis, described and illustrated in L. Kaufman and P.J. Rousseeuw (1990), "Finding Groups in Data: an Introduction to Cluster Analysis", Wiley. (Statistics and Econometrics) http://www.stats.ox.ac.uk/~ripley/PRbook/clusfind Neural Network Freeware Neural Network Freeware: Fortran 90 code using the backpropagation algorithm to fit a neural network to pairs of input vectors and target vectors. Numerical Recipes code is used for singular value decomposition. (Statistics and Econometrics) http://mensch.org/neural/ StatLib Index StatLib Index: See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code. (Statistics and Econometrics) http://lib.stat.cmu.edu/ Logic Regression Logic Regression: In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS. (Statistics and Econometrics) http://bear.fhcrc.org/~ingor/logic/html/program.html Nonparametric Estimation Nonparametric Estimation: Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. It can also give the order statistics needed for any sample size to create the same estimates. (Statistics and Econometrics) http://www1.fpl.fs.fed.us/nonpar.html Department of Biomathematics, University of Texas M. D. Anderson Hospital Department of Biomathematics, University of Texas M. D. Anderson Hospital: Random numbers, distributions, and many more (dcflib, ranlib, ...) (Statistics and Econometrics) http://odin.mdacc.tmc.edu/biomath/anonftp/ Progress Progress: Robust regression. (Statistics and Econometrics) http://www.wis.kuleuven.ac.be/stat/Programs/progress.f Smoothing Splines Smoothing Splines: RKPACK and RKPACK-II are collections of RATFOR (rational FORTRAN) routines by Chong Gu for Gaussian regression using smoothing splines, penalized likelihood density and hazard estimation. (Statistics and Econometrics) http://www.stat.purdue.edu/~chong/software.html Qstat Qstat: Fortran 77 code by Ruey Tsay to calculate the portmanteau statistic for multivariate time series regression. (Statistics and Econometrics) http://www.gsb.uchicago.edu/fac/ruey.tsay/teaching/fts/qstat.f James MacKinnon James MacKinnon: Fortran codes for cointegration tests and other time series topics. (Statistics and Econometrics) http://qed.econ.queensu.ca/pub/faculty/mackinnon/ Quantiles of the Multivariate Studentized Range Procedure Quantiles of the Multivariate Studentized Range Procedure: By Otto Schwalb. (Statistics and Econometrics) http://www.stat.rice.edu/~schwalb/ Random Number Generator Random Number Generator: KISS RNG by George Marsaglia (Statistics and Econometrics) http://www.fortran.com/kiss.f90 Monahan statistics code Monahan statistics code: Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan (Statistics and Econometrics) http://www4.stat.ncsu.edu/~monahan/aug00/toc.htm EMMIX EMMIX: Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan. (Statistics and Econometrics) http://www.maths.uq.edu.au/~gjm/emmix/EMMIX.f TULSIM TULSIM: Fortran 77 programs and Windows binaries by M. T. Boswell to generate random numbers and compute the cumulative and inverse cumulative distribution functions for several statistical distributions. (Statistics and Econometrics) http://ftp.aset.psu.edu/pub/ger/fortran/tulsim.zip Computer Assisted Analysis of Mixtures (C.A.MAN) Computer Assisted Analysis of Mixtures (C.A.MAN): Program designed to analyse mixtures of densities from the exponential family. (Statistics and Econometrics) http://ftp.ukbf.fu-berlin.de/sozmed/caman.html Tight T Tight T: Program to determine appropriate sample sizes, allocate specimens, and analyze results in the case in which a response predictor is used to sort the specimens prior to treatment. (Statistics and Econometrics) http://www1.fpl.fs.fed.us/papers.html#Tight_T Nearest Point Algorithm (NPA) for Dense Kernels Nearest Point Algorithm (NPA) for Dense Kernels: Fortran 77 code by S. Sathiya Keerthi to accompany paper "A Fast Iterative Nearest Point Algorithm for Support Vector Machine Classifier Design". (Statistics and Econometrics) http://guppy.mpe.nus.edu.sg/~mpessk/npa.f Group Sequential Tests Group Sequential Tests: Programs from book by Christopher Jennison. (Statistics and Econometrics) http://www.bath.ac.uk/~mascj/book/programs/general Statistical Analysis of Climate Time Series Statistical Analysis of Climate Time Series: Codes by Manfred Mudelsee. PearsonT estimates Pearson’s correlation coefficient from serially dependent time series. Rampfit estimates ramp function regressions. TAUEST estimates persistence in unevenly spaced weather/climate time series. XTREND estimat (Statistics and Econometrics) http://www.uni-leipzig.de/~meteo/MUDELSEE/ Autoregressive model estimation Autoregressive model estimation: Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada. (Statistics and Econometrics) http://www.uinet.or.jp/~ishiyasu/wada/Airc.f Nonparametric Kernel Regression Nonparametric Kernel Regression: Code for Monte Carlo simulation with discrete and continuous outcomes, by Tom Mroz. (Statistics and Econometrics) http://www.unc.edu/~mroz/programs.html Statistics Statistics: Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression: runs, taut strings, and local extremes. (Statistics and Econometrics) http://wwwstat.mathematik.uni-essen.de/~davies/ Finite Mixtures Finite Mixtures: NOCOM estimates the parameters (means, variance, proportions of components) of a mixture of normal distributions for independent observations (quantitative data). COMPMIX assumes a mixture of normal distributions, with parameters for each component in tha (Statistics and Econometrics) http://linkage.rockefeller.edu/ott/nocom.htm cSVM cSVM: Fortran 95 program for the training and model selection of a Support Vector Machine for binary classification tasks. (Statistics and Econometrics) http://www.smartlab.dibe.unige.it//smartlab/software/software.shtml Mersenne Twister in Fortran Mersenne Twister in Fortran: Random number generators in Fortran. (Statistics and Econometrics) http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html STARPAC - Statistical & Time Series Package STARPAC - Statistical & Time Series Package: Fortran 77 code for times series and least-squares regression including nonlinear regression. (Statistics and Econometrics) http://www.scd.ucar.edu/softlib/STARPAC.html Receiver Operating Characteristic (ROC) Analysis Receiver Operating Characteristic (ROC) Analysis: Fortran 77 code for ROC analysis, which is appropriate in situations where there are 2 possible "truth states" (i.e., diseased/normal, event/non-event, or some other binary outcome), "truth" is known for each case, and "truth" (Statistics and Econometrics) http://www.bio.ri.ccf.org/Research/ROC/ Andrew Jeffrey's Fortran 90 routines Andrew Jeffrey's Fortran 90 routines: Routines for i) the calculation of some linear algebra ii) non-linear minimization, iii) numerical integration and differentiation, iv) random number generation from a Normal distribution with mean zero and variance one, and v) the implementation of the (Statistics and Econometrics) http://mayet.som.yale.edu/~amj23/f90.htm Hypothesis Testing using Shape-Restricted Regression Hypothesis Testing using Shape-Restricted Regression: Code for convex and monotone regression, by Mary C. Meyer. (Statistics and Econometrics) http://www.stat.uga.edu/~mmeyer/codehyp.html Robust Statistics Robust Statistics: Code for regression and covariance matrix estimation, from the Antwerp Group On Robust & Applied Statistics. (Statistics and Econometrics) http://www.agoras.ua.ac.be/Robustn.htm Simulating Rectangle Multivariate Normal Probabilities and Derivatives Simulating Rectangle Multivariate Normal Probabilities and Derivatives: By Vassilis Hajivassiliou. (Statistics and Econometrics) http://econ.lse.ac.uk/~vassilis/pub/simulation/fortran/ Simulating stationary and non-stationary Gaussian random processes Simulating stationary and non-stationary Gaussian random processes: By Grace Chan. (Statistics and Econometrics) http://www.stat.uiowa.edu/~grchan/index.html#research Mersenne Twister Mersenne Twister: Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa. (Statistics and Econometrics) http://homepage.esoterica.pt/~jrfsousa/fortran.html Econometrics Econometrics: Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite. (Statistics and Econometrics) http://agbu.une.edu.au/~kmeyer/rrg_main.html Studies of Random Numbers Studies of Random Numbers: Fortran 77 codes by Ilpo Vattulainen. (Statistics and Econometrics) http://www.physics.helsinki.fi/~vattulai/rngs.html Robust Estimation of Simple Statistics Robust Estimation of Simple Statistics: By T. Beers, K. Flynn, and K. Gebhardt. (Statistics and Econometrics) http://www.pa.msu.edu/ftp/pub/beers/posts/rostat/rostat.f Richard Chandler's software Richard Chandler's software: Fortran 77 code for random number generation (uniform, exponential, normal, binomial, poisson, geometric, gamma, beta, negative binomial and Weibull), and GLIMCLIM (Generalised Linear Modelling of daily climate sequences). (Statistics and Econometrics) http://www.homepages.ucl.ac.uk/~ucakarc/work/index.html DFREML DFREML: Suite of programs to estimate (co)variance components or covariance functions, and the resulting genetic parameters, by Restricted Maximum Likelihood fitting an animal model, by K. Meyer. (Statistics and Econometrics) http://agbu.une.edu.au/~kmeyer/dfreml.html Department of Economics Data & Software Department of Economics Data & Software: Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss. (Statistics and Econometrics) http://econ.ucsd.edu/software/ARCH.html Flexible Least Squares (FLS) Flexible Least Squares (FLS): Developed by Robert E. Kalaba and Leigh Tesfatsion, implements the flexible least squares (FLS) approach to time-varying linear regression proposed by Kalaba and Tesfatsion in "Time-Varying Linear Regression Via Flexible Least Squares," Computer (Statistics and Econometrics) http://www.econ.iastate.edu/tesfatsi/fls.htm Phil Everson research Phil Everson research: TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions. (Statistics and Econometrics) http://www.swarthmore.edu/NatSci/peverso1 VPLX: Variance Estimation for Complex Samples VPLX: Variance Estimation for Complex Samples: Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication. (Statistics and Econometrics) http://www.census.gov/sdms/www/vwelcome.html Wes' programs page Wes' programs page: Fortran 77 codes by W. J. Metzger to construct a minimum spanning tree and calculate a confidence level for the hypothesis that two sets of points are from the same distribution. (Statistics and Econometrics) http://metzger.home.cern.ch/metzger/programs.html University of California, Berkeley, Econometrics Laboratory Fortran Software University of California, Berkeley, Econometrics Laboratory Fortran Software: Econometrics codes. (Statistics and Econometrics) http://elsa.berkeley.edu/fortran_progs.shtml SNOB SNOB: Mixture modelling by Minimum Message Length (MML). (Statistics and Econometrics) ftp://ftp.cs.monash.edu.au/software/snob/Snob.README STSPAC STSPAC: Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics. (Statistics and Econometrics) http://www.itl.nist.gov/div898/software/reeves/homepage.htm Mode Testing Mode Testing: By Michael C. Minnotte. Uses a random number generator (RNG) from NAG, but another RNG can be used. (Statistics and Econometrics) http://math.usu.edu/~minnotte/research/software/tme.f AR and ARFIMA models AR and ARFIMA models: Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers. (Statistics and Econometrics) http://merlot.stat.uconn.edu/~nalini/programs.html Statistical programs Statistical programs: Code for "Invariant Small Sample Confidence Intervals For The Difference Of Two Success Probabilities" and "Bootstrap Prediction and Confidence Bands: a Superior Statistical Method for Analysis of Gait Data", by Thomas Santner. (Statistics and Econometrics) http://www.stat.ohio-state.edu/~tjs/ Non-Negative Least Squares (NNLS) Non-Negative Least Squares (NNLS): Codes in Fortran 77, 90, C, IDL, and Matlab. (Statistics and Econometrics) http://hesperia.gsfc.nasa.gov/~schmahl/nnls/ Time Series Analysis and Forecasting Techniques Time Series Analysis and Forecasting Techniques: By Hossein Arsham.   (Statistics and Econometrics) http://obelia.jde.aca.mmu.ac.uk/resdesgn/arsham/opre330Forecast.htm Computer Intensive Statistical Methods Computer Intensive Statistical Methods: Fortran 77 programs from book by Urban Hjorth: cross validation of forward selection, forward validation, and bootstrapping. (Statistics and Econometrics) http://www.math.chalmers.se/~hjorth/cism.html Recipe: REGression Confidence Intervals for PErcentiles Recipe: REGression Confidence Intervals for PErcentiles: Determines one-sided tolerance limits (in particular, A- and B-basis material property values) for regression models in the presence of between-batch variability. By Mark Vangel. (Statistics and Econometrics) http://www.itl.nist.gov/div898/software/recipe/homepage.html Nonparametric Statistics Nonparametric Statistics: Local polynomial regression fitting with ridging, kernel regression fitting with local and global bandwidth optimization, and kernel density estimation with global bandwidth selection. (Statistics and Econometrics) http://www.unizh.ch/biostat/Software/ Statistical Computing Statistical Computing: Fortran 90 and Matlab codes for course by Lynne Seymour. (Statistics and Econometrics) http://www.stat.uga.edu/~seymour/8060/course.html LSQR LSQR: Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse. (Statistics and Econometrics) http://www.stanford.edu/group/SOL/software/lsqr/f77/ Ahlquist Time Series Analysis Ahlquist Time Series Analysis: Fortran 77 codes, some of which call Numerical Recipes. (Statistics and Econometrics) http://www.met.fsu.edu/ftp/ahlquist/time_series_analysis/ PIRLS PIRLS: Poisson Iteratively Reweighted Least Squares Program for Additive, Multiplicative, Power, and Non-linear Models, by Leif E. Peterson, Journal of Statistical Software v2 (1997). (Statistics and Econometrics) http://www.jstatsoft.org/v02/i05/ Bayesian Analysis, Computation and Communication (BACC) Bayesian Analysis, Computation and Communication (BACC): By John Geweke. (Statistics and Econometrics) http://www2.cirano.qc.ca/~bacc/bacc98/index.html Fortran Code for L-p Distance Statistic Fortran Code for L-p Distance Statistic: Subroutines by David Allen to calculate the L-1 and L-2 distances between two density estimates. The L-1 statistic has been used successfully to testing the hypothesis that two samples come from the same distribution. (Statistics and Econometrics) http://www.eou.edu/~dallen/lp_dist_code.html Lyapunov Exponent of Noisy Nonlinear Systems (LENNS) Lyapunov Exponent of Noisy Nonlinear Systems (LENNS): Fortran 77 code for paper by Ronald Gallant. (Statistics and Econometrics) http://econwpa.wustl.edu/eprints/prog/papers/9603/9603002.abs Exact Confidence Bounds on a Normal Distribution Coefficient of Variation Exact Confidence Bounds on a Normal Distribution Coefficient of Variation: Obtains a two-sided confidence interval on a coefficient of variation for data from a normal distribution. (Statistics and Econometrics) http://www1.fpl.fs.fed.us/covnorm.code.html Multivariate Normal and Multivariate t Integrals Over Convex Regions Multivariate Normal and Multivariate t Integrals Over Convex Regions: Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3. (Statistics and Econometrics) http://www.jstatsoft.org/v03/i04/ Option Pricing Option Pricing: Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model. (Statistics and Econometrics) http://gsbwww.uchicago.edu/fac/ruey.tsay/teaching/fts/kou.f Demo Fortran90 Multilayer Perceptron Backprop Code Demo Fortran90 Multilayer Perceptron Backprop Code: By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html . (Statistics and Econometrics) http://www.philbrierley.com/main.html?code/fortran.html&code/codeleft.html Cubic Splines Cubic Splines: Univariate and multivariate spline regression, by Dolph Schluter. (Statistics and Econometrics) http://www.zoology.ubc.ca/~schluter/splines.html Multivariate Analyses Multivariate Analyses: Fortran 90 codes for univariate and multivariate random number generation, computation of simple statistics, covariance matrices, principal components analysis, multiple regression, and jacknife cross-validation, by Dan Hennen. (Statistics and Econometrics) http://www.esg.montana.edu/eguchi/multivariate/#Fortran Spatial Statistics Spatial Statistics: Fortran 90 code by Kelley Pace. (Statistics and Econometrics) http://www.spatial-statistics.com/software_index.htm Cluster Analysis Cluster Analysis: Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan. (Statistics and Econometrics) http://www.pitt.edu/~csna/Milligan/readme.html Autoregressive to Anything (ARTA) Autoregressive to Anything (ARTA): Code by Marne C. Cario and Barry L. Nelson to simulate stationary time series with arbitrary marginal distributions and feasible autocorrelation structure specified through lag p. (Statistics and Econometrics) http://users.iems.nwu.edu/~nelsonb//ARTA/ Monte Carlo Methods in Bayesian Computation Monte Carlo Methods in Bayesian Computation: Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim. (Statistics and Econometrics) http://merlot.stat.uconn.edu/~mhchen/mcbook/ Kalman smoothing routine for Hodrick-Prescott filter Kalman smoothing routine for Hodrick-Prescott filter: By E. Prescott. (Statistics and Econometrics) http://dge.repec.org/codes/hpfilter.for DATAPAC DATAPAC: Fortran 77 statistical library by James Filliben. (Statistics and Econometrics) http://www.itl.nist.gov/div898/software/datapac/homepage.htm Simultaneous Nonparametric Regression Simultaneous Nonparametric Regression: By Laurie Davies. (Statistics and Econometrics) http://wwwstat.mathematik.uni-essen.de/~davies/cmprnprg.html ARMA and Kalman Filter model estimation ARMA and Kalman Filter model estimation: By J. Newton (Statistics and Econometrics) http://stat.tamu.edu/ftp/pub/jnewton/load.f BIO 248 Programs BIO 248 Programs: Fortran and S codes for neural networks and optimization. (Statistics and Econometrics) http://icommons.harvard.edu/~hsph-bio248-01/Software/ Bispectrum Test Bispectrum Test: Code for bispectrum test of Melvin Hinich. (Statistics and Econometrics) http://econwpa.wustl.edu/eprints/prog/papers/9603/9603001.abs Time-Varying Autoregression (TVAR) Time-Varying Autoregression (TVAR): Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's. (Statistics and Econometrics) http://www.stat.duke.edu/~mw/tvar.html Predictor Sort Confidence Interval Simulation Predictor Sort Confidence Interval Simulation: Program by Steve Verrill that performs a simulation to test how well corrected confidence intervals based on blocked and unblocked ANOVAs perform in a predictor sort sampling ANOVA. It also estimates coverages for confidence intervals based on an analysis (Statistics and Econometrics) http://www1.fpl.fs.fed.us/psconf.html Multivariate normal or t-probabilities Multivariate normal or t-probabilities: Fortran and SAS/IML programs by Frank Bretz. (Statistics and Econometrics) http://www.bioinf.uni-hannover.de/~bretz/ Nonlinear Time Series Analysis (TISEAN) Nonlinear Time Series Analysis (TISEAN): Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos). (Statistics and Econometrics) http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.1/index.html Gaussian Random Number Generator Gaussian Random Number Generator: Code to generate autocorrelated Gaussian variates by S. Tim Hatamian. (Statistics and Econometrics) http://www.fortran.com/fm_gauss.html Fair-Parke Program Fair-Parke Program: Allows one to estimate and analyze dynamic, nonlinear, simultaneous equations models. The models can be rational expectations models, and they can have autoregressive errors of any order. The estimation techniques include OLS, 2SLS, 3SLS, FIML, LAD, 2SLAD (Statistics and Econometrics) http://fairmodel.econ.yale.edu/fp/fp.htm Z-transformed Discrete Correlation Function algorithm (ZDCF) Z-transformed Discrete Correlation Function algorithm (ZDCF): By Tal Alexander. (Statistics and Econometrics) http://www.weizmann.ac.il/home/tal/zdcf/zdcf_v1.2.f SNP: A Program for Nonparametric Time Series Analysis SNP: A Program for Nonparametric Time Series Analysis: Code by A. Ronald Gallant and George Tauchen for nonparametric time series analysis that employs a Hermite polynomial series expansion to approximate the conditional density of a multivariate process. (Statistics and Econometrics) http://www.econ.duke.edu/~get/snp.html StatCodes StatCodes: Metasite with links to source codes in Fortran and C implementing statistical methods which are freely available on the Internet. The codes are chosen for their potential utility for research in astronomy and other physical sciences. (Statistics and Econometrics) http://www.astro.psu.edu/statcodes/ Multivariate Data Analysis Multivariate Data Analysis: Code for principal components, partitioning, clustering, discriminant analysis, multidimensional scaling, Kohonen self-organizing map, sorting, errors-in-variable regression, minimal spanning trees, and GMDH, by Fionn Murtagh. (Statistics and Econometrics) http://astro.u-strasbg.fr/~fmurtagh/mda-sw/ Multivariate Normal Rectangle Probabilities Multivariate Normal Rectangle Probabilities: Fortran and C codes by H. Joe to accompany paper. (Statistics and Econometrics) http://tigger.smu.edu.sg/software/mnp-stuff/stat.ubc.ca/ Geostatistical Software LIBrary (GSLIB) Geostatistical Software LIBrary (GSLIB): Codes in Fortran 90 and 77. Accompanies the book "GSLIB: Geostatistical Software Library and User's Guide" by Clayton Deutsch and André Journel. (Statistics and Econometrics) http://www.gslib.com/ Quality Control and Engineering Statistics code Quality Control and Engineering Statistics code: For a course, authored by Karen Jensen, F. F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, Andy Chiang, and Brandon L. Paris. (Statistics and Econometrics) http://www.public.iastate.edu/~vardeman/stat531/531software.html Raw General Linear Model (GLM) Raw General Linear Model (GLM): Code to accompany paper "Rolling Your Own: Linear Model Hypothesis Testing and Power Calculations via the Singular Value Decomposition". (Statistics and Econometrics) http://www1.fpl.fs.fed.us/glm.html RedFit RedFit: Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation. (Statistics and Econometrics) http://www.ngdc.noaa.gov/paleo/softlib/redfit/redfit.html WWZ and TS WWZ and TS: TS is a time series statistical program for analyzing variable star data. WWZ is a time series analysis program used to study the time-evolution of variable star data, capable of measuring changes in period, amplitude, and mean magnitude. (Statistics and Econometrics) http://www.aavso.org/data/software/wwztsfort.shtml Model-Based Clustering Software (MCLUST/EMCLUST) Model-Based Clustering Software (MCLUST/EMCLUST): Model-based clustering, discriminant analysis, and density estimation including hierarchical clustering and EM for parameterized Gaussian mixtures + Poisson noise. Written in Fortran and interfaced to the S-PLUS commercial software package and the R langu (Statistics and Econometrics) http://www.stat.washington.edu/fraley/software.html/ DECORANA and TWINSPAN DECORANA and TWINSPAN: Fortran 77 programs for correspondence analysis, by Jari Oksanen. (Statistics and Econometrics) http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html Permutation Methods: A Distance Function Approach Permutation Methods: A Distance Function Approach: Code for book by Paul W. Mielke Jr. and Kenneth J. Berry. (Statistics and Econometrics) http://www.stat.colostate.edu/~mielke/permute.html CANOCO CANOCO: Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial] (Statistics and Econometrics) http://www.microcomputerpower.com/catalog/canoco.html Numerical Methods for Estimation and Inference in Bayesian VAR-models Numerical Methods for Estimation and Inference in Bayesian VAR-models: Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson. (Statistics and Econometrics) http://qed.econ.queensu.ca/jae/1997-v12.2/kadiyala-karlsson/