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Gauss Programming for Basic Econometric Models
Lecture note:
GAUSS Programming Tutorial for Basic Econometric Models
Data
- FFR, Inflation, Unemployment rate
- GDP growth rate
- Real interest rate
- GDP deflator inflation
- House Prices
- Financial data (KOR)
- hw3_garch.wf1
-
Watson data
- Exchange rate
Codes
1.CLT
2.OLS
3.OLSproc
4.Hypothesis Test
5.Chow Test
6.GLS
7.IV Estimation
8.Probit
9.Recursive VAR
10.Dynamic Factor Model
11.Fixed Effect
12. Unobserved Component Model
13. Markov-Switching Model