Matlab Codes

 
  1. Matlab codes for the modified QLR test for regime switching in Okimoto, Kasahara and Shimotsu (2014) (mqlr.zip)


  1. Matlab codes for exact local Whittle estimation of fractionally cointegrated systems (elwfcicode.zip) in Shimotsu (2012). These codes require the codes in elwcode10.zip below.


  1. Matlab codes for local Whittle estimation and exact local Whittle estimation of the memory parameter (d) in fractionally integrated (I(d)) time series (elwcode10.zip) [Updated in September 2010]


  1. Jon Breslaw of Econotron Software has kindly converted (old version of) the above Matlab code to Gauss. It is freely downloadable from the “download” section of www.econotron.com .


  1. Matlab codes for cointegrating rank estimation with an exchange rate example. They reproduce the results in Nielsen and Shimotsu (2006). (fcicode.zip) These codes require the codes in elwcode10.zip above.


  1. Matlab codes for two tests of true versus spurious I(d). (spurious.zip) See Shimotsu (2006) “Simple (but effective) tests of long memory versus structural breaks” above. These codes require the codes in elwcode10.zip above.


  1. Matlab codes for multivariate GSE estimation in Shimotsu (2007). (multi_code.zip) These codes require the codes in elwcode10.zip above.

 
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