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Statistics and Econometrics (107) See Also:
Sites:
» A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates
By Chihwa Kao. http://www.maxwell.syr.edu/maxpages/faculty/cdkao/working/program.zip » ALSCAL
Fortran code by Forrest W. Young for multidimensional scaling. http://forrest.psych.unc.edu/research/alscal.html » 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. http://merlot.stat.uconn.edu/~nalini/programs.html » ARMA and Kalman Filter model estimation
By J. Newton http://www.stat.tamu.edu/ftp/pub/jnewton/load.f » Adaptive Logistic Basis Function Regression (ALB)
Fortran 77 code by Peter M. Hooper. http://www.stat.ualberta.ca/~hooper/research/alb_software/ » Autoregressive model estimation
Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada. http://www.uinet.or.jp/~ishiyasu/wada/Airc.f » 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. http://users.iems.northwestern.edu/~nelsonb/ARTA/ » Bayesian Analysis, Computation and Communication (BACC)
By John Geweke. http://www2.cirano.qc.ca/~bacc/bacc98/index.html » Bayesian estimation of affine models
Fortran 77 code by Chris Lamoureux. http://finance.eller.arizona.edu/lam/rsrch/expdfap.txt » Bispectrum Test
Code for bispectrum test of Melvin Hinich. http://econwpa.wustl.edu/eprints/prog/papers/9603/9603001.abs » CANOCO
Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial] http://www.microcomputerpower.com/catalog/canoco.html » COVAR
A program for multifactor relative risks, confidence limits, and tests of hypotheses using regression coefficients and a variance-covariance matrix obtained from a previous additive or multiplicative regression analysis. By Leif E. Peterson, with accompan http://www.jstatsoft.org/v02/i04/ » 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 http://shkim.myweb.uga.edu/epm99.htm » Cloud Slice
Fortran 77 and IDL codes for time series regression and detrending. http://code916.gsfc.nasa.gov/Data_services/cloud_slice/regress.html » 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. http://www.stats.ox.ac.uk/~ripley/PRbook/clusfind » Cluster Analysis
Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan. http://www.pitt.edu/~csna/Milligan/readme.html » DATAPAC
Fortran 77 statistical library by James Filliben. http://www.itl.nist.gov/div898/software/datapac/homepage.htm » DECORANA and TWINSPAN
Fortran 77 programs for correspondence analysis, by Jari Oksanen. http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html » 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. http://agbu.une.edu.au/~kmeyer/dfreml.html » DIERCKX
Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection. http://www.netlib.org/dierckx/index.html » 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. http://www.desy.de/~blobel/ » 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 . http://www.philbrierley.com/main.html?code/fortran.html&code/codeleft.html » Dolph Schluter's Software
Includes a Fortran 77 program for univariate and multivariate cubic spline regression. http://www.zoology.ubc.ca/~schluter/software.html » EMMIX
Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan. http://www.maths.uq.edu.au/~gjm/emmix/EMMIX.f » Econometrics
Code for Bayesian analysis of long memory and persistence using ARFIMA models, benchmark priors for Bayesian model averaging, estimation of demand systems through consumption efficiency, model uncertainty in cross-country growth regressions, and Bayesian http://www.kent.ac.uk/ims/personal/mfs/software.html » 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. http://www1.fpl.fs.fed.us/covnorm.code.html » 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 http://fairmodel.econ.yale.edu/fp/fp.htm » Fast Statistical Methods
Fortran 90 and 77 codes by W.H. Press and G.B. Rybicki, for fast inversion matrices of an exponential form arising from autocorrelation functions of Ornstein-Uhlenbeck processes. http://www.lanl.gov/DLDSTP/fast/ » Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data
Fortran 77 programs by Yong Zeng. http://mendota.umkc.edu/paper-tick.html » 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," Computers and Math http://www.econ.iastate.edu/tesfatsi/fls.htm » Fortran Library
Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series. http://www.johnny-lin.com/flib.html#math » Fractal Analysis Programs of the National Simulation Resource
Programs for the generation of synthetic 1-dimensional signals that are simple fractional Brownian noise and for determining the fractal dimension D from a simple fractal time series. http://bioeng.washington.edu/software/fractal/ » GARCH Estimates: Analytic Derivatives
By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics. http://qed.econ.queensu.ca/jae/1996-v11.4/fiorentini-calzolari-panattoni/fcp-progs.zip » GCV
Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation. http://www.netlib.org/gcv/index.html » Garland B. Durham
Fortran 95 code to estimate of continuous-time diffusion processes, including stochastic volatility models. http://leeds-faculty.colorado.edu/durhamg/ » Gaussian Random Number Generator
Code to generate autocorrelated Gaussian variates by S. Tim Hatamian. http://www.fortran.com/fm_gauss.html » Generalized Maximum Entropy Leuven Estimator (MEL) under Severe Multicollinearity Conditions : A Computer Program
Fortran 77 code to compute the estimators of multiple regression parameters by a family of Maximum Entropy Leuven Estimators under severe multicollinearity. http://www.freewebs.com/nehu_economics/nmel.html » 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. http://www.gslib.com/ » Group Sequential Tests
Programs from book by Christopher Jennison. http://people.bath.ac.uk/mascj/book/programs/general » 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. http://www.abdn.ac.uk/~che194/research/inolls/index.html » ISMLIB Software
Institute of Statistical Mathematics Software and Data Library. http://www.ism.ac.jp/ismlib/soft_e.html » ISOPAC
CLUSPAC for cluster analysis, TSPAC for time-series segmentation, and IMPAC for segmenting digital images, by Stanley L. Sclove. http://www.uic.edu/classes/idsc/ids594/ISOPAC/home.htm » James MacKinnon
Fortran codes for cointegration tests and other time series topics. http://qed.econ.queensu.ca/pub/faculty/mackinnon/ » Kalman smoothing routine for Hodrick-Prescott filter
By E. Prescott. http://dge.repec.org/codes/hpfilter.for » LSQR
Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse. http://www.stanford.edu/group/SOL/software/lsqr/f77/ » Lyapunov Exponent of Noisy Nonlinear Systems (LENNS)
Fortran 77 code for paper by Ronald Gallant. http://econwpa.wustl.edu/eprints/prog/papers/9603/9603002.abs » Mersenne Twister
Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa. http://homepage.esoterica.pt/~jrfsousa/fortran.html » Mersenne Twister in Fortran
Random number generators in Fortran. http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html » 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 http://www.stat.washington.edu/fraley/software.html/ » Monahan statistics code
Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan http://www4.stat.ncsu.edu/~monahan/aug00/toc.htm » Monte Carlo Methods in Bayesian Computation
Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim. http://merlot.stat.uconn.edu/~mhchen/mcbook/ » 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. http://www.esg.montana.edu/eguchi/multivariate/#Fortran » Multivariate Normal Rectangle Probabilities
Fortran and C codes by H. Joe to accompany paper. http://tigger.smu.edu.sg/software/mnp-stuff/stat.ubc.ca/ » 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. http://www.jstatsoft.org/v06/i08/ » Multivariate normal or t-probabilities
Fortran and SAS/IML programs by Frank Bretz. http://www.biostat.uni-hannover.de/staff/bretz/ » NONPAR: Nonparametric Estimation Program
Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. Also calculates the order statistics needed for any sample size to create the same estimates. Includes source code http://www1.fpl.fs.fed.us/nonpar.html » 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. http://mensch.org/neural/ » Non-Negative Least Squares (NNLS)
Codes in Fortran 77, 90, C, IDL, and Matlab. http://hesperia.gsfc.nasa.gov/~schmahl/nnls/ » 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). http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.1/index.html » Numerical Methods for Estimation and Inference in Bayesian VAR-models
Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson. http://qed.econ.queensu.ca/jae/1997-v12.2/kadiyala-karlsson/ » ODRPACK
Solves the weighted orthogonal distance regression problem 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. Includes doc http://www.netlib.org/odrpack/ » Option Pricing
Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model. http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts/kou.f » 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). http://www.jstatsoft.org/v02/i05/ » Parallel Random Forests (PARF)
Fortran 90 for a classification algorithm. http://www.irb.hr/en/research/projects/it/2004/2004-111/ » Permutation Methods: A Distance Function Approach
Code for book by Paul W. Mielke Jr. and Kenneth J. Berry. http://www.stat.colostate.edu/~mielke/permute.html » Peter Green
Links to AutoRJ for reversible jump MCMC, Nmix for Bayesian analysis of univariate normal mixtures by MCMC, Cpt for Bayesian multiple change point analysis for point processes, and Dirichlet tessellation software. http://www.stats.bris.ac.uk/~peter/ » Phil Everson research
TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions. http://www.swarthmore.edu/NatSci/peverso1 » Predictor Sort Confidence Interval Simulation
Performs a simulation to evaluate the performance of corrected confidence intervals based on blocked and unblocked ANOVAs in a predictor sort sampling ANOVA. Also estimates coverages for confidence intervals based on an analysis of covariance, and for con http://www1.fpl.fs.fed.us/psconf.html » 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. http://www.public.iastate.edu/~vardeman/stat531/531software.html » Quantiles of the Multivariate Studentized Range Procedure
By Otto Schwalb. http://www.stat.rice.edu/~schwalb/ » RRGIBBS
Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite. http://agbu.une.edu.au/~kmeyer/rrgibbs.html » Raw General Linear Model Code
Code for linear model hypothesis testing and power calculations via the singular value decomposition. http://www1.fpl.fs.fed.us/glm.html » 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. http://www.itl.nist.gov/div898/software/recipe/homepage.html » RedFit
Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation. http://www.ncdc.noaa.gov/paleo/softlib/redfit/redfit.html » Research Tools Developed by the Mann Group
Fortran 77 code for the Mann and Lees Multi-Taper Method (MTM) and Mann and Park MTM-SVD Multivariate Signal Analysis. http://holocene.meteo.psu.edu/Mann/tools/tools.html » 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). http://www.homepages.ucl.ac.uk/~ucakarc/work/index.html » Robust Estimation of Simple Statistics
By T. Beers, K. Flynn, and K. Gebhardt. http://www.pa.msu.edu/ftp/pub/beers/posts/rostat/rostat.f » Robust Statistics
Code for regression and covariance matrix estimation, from the Antwerp Group On Robust and Applied Statistics. http://www.agoras.ua.ac.be/Robustn.htm » SNOB
Mixture modelling by Minimum Message Length (MML). ftp://ftp.cs.monash.edu.au/software/snob/Snob.README » 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. http://www.econ.duke.edu/~get/snp.html » SPECTRUM
Analogue data is collected and digitized with an A/D converter. Having then a collection of digitized time series which reside in the computer, this program calculate amplitude density, autospectral (power) density and cross-spectral density functions fro http://archives.math.utk.edu/software/msdos/numerical.analysis/spectr21/.html » STARPAC - Statistical & Time Series Package
Fortran 77 code for times series and least-squares regression including nonlinear regression. http://www.cisl.ucar.edu/softlib/STARPAC.html » STSPAC
Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics. http://www.itl.nist.gov/div898/software/reeves/homepage.htm » Simulation of Multinomial Probit Probabilities and Imputation
By Steven Stern. http://www.people.virginia.edu/~sns5r/resint/imputstf/fortran.html » 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. http://www.stat.purdue.edu/~chong/software.html » Smoothing splines
Fortran 90 routines by Ian Enting for calculating smoothing splines and propagating data uncertainties to obtain uncertainty ranges for the spline fits. http://www.ms.unimelb.edu.au/~enting/spline.html » 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. http://www.ise.ncsu.edu/jwilson/page3.html » Software for the Analysis of Binary Recurrent Events (SABRE)
Fortran 77 code for the statistical analysis of multi-process random effect response data. These responses can take the form of binary, ordinal, count and linear recurrent events. http://sabre.lancs.ac.uk/ » Some Uniform and Normal Random Number Generators
Two pseudorandom number generators, ranut and rannw, written in Fortran 77 by Richard P. Brent and released under the GNU General Public License. http://wwwmaths.anu.edu.au/~brent/random.html » Source Code for the Tight T Program
Free 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. Includes downloads for Solaris and DOS. http://www1.fpl.fs.fed.us/source.html » Spatial Statistics
Fortran 90 code by Kelley Pace. http://www.spatial-statistics.com/software_index.htm » 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. http://astrostatistics.psu.edu/statcodes/ » StatLib
System for distributing statistical software, datasets, and information on the internet. Includes Applied Statistics algorithms (of the Royal Statistical Society) and a considerable amount of other Fortran code. http://lib.stat.cmu.edu/ » StatLib---Software and extensions for the S (Splus) language
Links to many packages with Fortran source. http://lib.stat.cmu.edu/S/ » 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 http://www.manfredmudelsee.com » Statistical Computing
Fortran 90 and Matlab codes for course by Lynne Seymour. http://www.stat.uga.edu/~seymour/8060/course.html » 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. http://www.stat.osu.edu/~tjs/ » Stochastic Differential Equations
Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method. http://math.nyu.edu/phd_students/barreiro/projects.html » 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. http://ftp.aset.psu.edu/pub/ger/fortran/tulsim.zip » Tobit and Adjusted Maximum Likelihood Estimation
Fortran 77 code and documentation by Tim Cohn. http://www159.pair.com/cohns/TimCohn/TAC_Software/Tobit/ » University of California, Berkeley, Econometrics Laboratory Fortran Software
Econometrics codes. http://elsa.berkeley.edu/fortran_progs.shtml » VPLX: Variance Estimation for Complex Samples
Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication. http://www.census.gov/sdms/www/vwelcome.html » xSVM Family Software
Fortran 95 programs for the training and model selection of support vector machines for classification and regression tasks. http://www.smartlab.dibe.unige.it/sw_svm.aspx This category needs an editor
Last Updated: 2007-01-02 19:57:55
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