@ABLAGS

Generates ArellanoBond set of instruments

@ACF

Performs autocorrelation analysis on a series

@ACF2PACF

Computes autocorrelations from partial autocorrelations

@ADFAUTOSELECT

Selects optimal lag length to be used for an ADF test

@ADTEST

AndersonDarling test for normality

@AGFRACTD

AndrewsGuggenberger estimate of fractional difference

@APBREAKTEST

AndrewsPloberger Structural Break Test

@APGRADIENTTEST

AndrewsPloberger Structural Break Test for GARCH/Maximum Likelihood

@ARAUTOLAGS

Computes Information Criteria for AR models using YuleWalker or Burg

@ARCHTEST

Tests a series for ARCH effects

@ARMADLM

Sets up a DLM based upon an ARMA model

@ARMASPECTRUM

Graphs the spectral density for an input ARMA model

@BAING

Estimates factors in a factor model using BaiNg formulas

@BAIPERRON

BaiPerron Test for Multiple Structural Changes

@BAYESTST

Bayesian Unit Root test

@BDINDTESTS

Battery of independence tests

@BDSTEST

BrockDecherScheinkman test for i.i.d.

%BETAPARMS

Computes parameters required for beta distribution

@BICORRTEST

Hinich bicorrelations test for autocorrelation

@BJAUTOFIT

Automated ARIMA model selection

@BJDIFF

Aids in selection of differencing operations

@BJEST

Estimates an ARIMA model

@BJFORE

Estimates and forecasts an ARIMA model

@BJIDENT

BoxJenkins identification tool

@BJTHEIL

Computes Theil U statistics for an ARIMA model

@BJTRANS

Aids in selection of preliminary transformation

@BKFILTER

Band pass filter using BaxterKing method

@BNDECOMP

BeveridgeNelson decomposition

@BPPANELTESTS

Does BreuschPagan (and related) tests for random effects

@BQDODRAWS

Does Monte Carlo draws from a VAR with BQ factorization

@BREITUNG

Breitung test for unit roots in panel data

@BRYBOSCHAN

BryBoschan business cycle dating (PaganHarding for quarterly data)

@BSOPTION

BlackScholes option pricing procedure

@BVARBUILDPRIOR

Builds up a prior for a linear equation one element at a time.

@BVARBUILDPRIORMN

Builds up a prior for a Bayesian VAR

@CANCORR

Computes canonical correlations for two sets of series

@CFEAT

Identifying turning points and cyclical phases of a series

@CFFILTER

Band pass filter using ChristianoFitzgerald method

@CHOWDENNING

ChowDenning multiple variance ratio test

@CHOWLIN

Distributes a series to a higher frequency using related series (obsolete: use @DISAGGREGATE instead)

@CLASSICALDECOMP

Decomposes a series into trend, seasonal, irregular

@CONDITION

Conditional forecasting procedure

@CORRADO

Corrado nonparametric event test

@CORRINTEGRAL

Computes a correlation integral for a series

@CROSSCORR

Computes and graphs cross correlations of two series

@CROSSPEC

Computes and graphs phase and coherence

@CSERIESSYMM

Complex series symmetrizer

@CUMPDGM

Durbin’s Cumulated Periodogram for serial correlation

@CUSUMTESTS

Computes and displays CUSUM and CUSUMQ tests

@CVSTABTEST

Stability tests on a covariance matrix of series

@CXLOGDENSITY

Computes Whittle likelihood using complex matrices

@CXLOGDENSITYCV

Computes concentrated multivariate Whittle likelihood using complex matrices

@DENTON

Distributes a series to a higher frequency using proportional Denton method (obsolete: use @DISAGGREGATE instead)

@DFUNIT

DickeyFuller unit root test

@DISAGGREGATE

General disaggregation (interpolation/distribution) procedure

@DISTRIB

Distribution from one frequency to a higher frequency

@DIVISIA

Computes a Divisia index

@DLMIRF

Impulse Reponse Function from a StateSpace model

@DMARIANO

DieboldMariano Forecast Comparison Test

@DURBINLEVINSON

Computes Autoregressive Representations using DurbinLevinson recursion

@EBA

Extreme Bounds Analysis, from Granger and Uhlig

@EGCRTVAL

Computes "exact" critical values for DickeyFuller unit root and EngleGranger cointegration tests.

@EGTEST

EngleGranger test for Cointegration

@EGTESTRESIDS

EngleGranger test for Cointegration on 1st stage residuals

@ELFCALC

Computes empirical likelihood for a set of moment conditions

@ENDERSGRANGER

Enders/Granger threshold unit root tests

@ENDERSSIKLOS

EndersSiklos test for cointegration with threshold effect

@EQNTOACF

Creates an ACF from an ARMA equation

@ERSTEST

ElliottRothenbergStock unit root tests

@EXACTINVERSE

Computes exact (limit) inverse with “infinite” components

@FLUX

General Nyblom fluctuations test

@FM

Estimates cointegrating vectors using Fully Modified Least Squares

@FORCEDFACTOR

Factors covariance matrix with specific vector column/row

@GAIN

Computes and graphs the gain and phase of a pair of series

%GAMMAPARMS

Computes parameters required for gamma distribution

@GARCHFORE

Univariate GARCH forecasting procedure

@GAUSSHERMITE

Generates weights and grid points for GaussHermite numerical integration

@GEDDRAW

Generates draws for a generalized error distribution

@GENCOMBOS

Generate all combinations of a set of integers

@GLSDETREND

Local to unity GLS detrending routine

@GMAUTOFIT

Automated ARIMA model selection (seasonal models)

@GNEWBOLD

GrangerNewbold forecast comparison test

@GPH

GewekePorterHudak estimate of fractional differencing

@GRAPHMATRIX

Graphs a RECTANGULAR array of series on separate graphs

@GREGORYHANSEN

GregoryHansen test for cointegration with breaks

@GRIDSERIES

Generates a series with an equally spaced grid

@HADRI

Hadri test for unit roots in panel data

@HALTON

Generates Halton sequences

@HANNANRISSANEN

Estimates an ARIMA model using the HannanRissanen algorithm

@HEGY

Performs a HEGY seasonal unit root test for quarterly data

@HILLGEV

Estimates tail index for a distribution using Hill’s method

@HINICHTEST

Hinich bispectrum test for linearity and Gaussianity

@HISTOGRAM

Histogram procedure

@HJBOUNDS

Computes HansenJagannathan bounds for a set of returns

@HPFILTER

HodrickPrescott filter (obsolete)

@HTUNIT

HarrisTzavalis unit root test for panel data

@HURST

Computes a Hurst exponent

@ICSS

InclanTiao test for breaks in variance

@IMHOF

Computes CDF for quadratic form in Normal(0,1) variables. Obsolete—use functions %QFORMPDF or %QFORMDPDF functions.

@IMPACTSIGNFLIP

Corrects signs of columns in a factor matrix

@INTERPOL

Interpolation from one frequency to a higher one

%INVCHISQRPARMS

Computes parameters required for inverse chisquared distribution

%INVGAMMAPARMS

Computes parameters required for inverse gamma distribution

@IPSHIN

Im, Pesaran and Shin panel unit root test

@IRFRESTRICT

Used to build up a set of zerovalued restrictions for impulse responses impact and higher steps

@JOHMLE

Johansen ML Cointegration analysis

@KPSS

KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test

@KSCPOSTDRAW

Draws from posterior density needed in stochastic volatility model

@LAGPOLYROOTS

Creates table of the roots of a lag polynomial

@LEVINLIN

LevinLinChu test for unit roots in panel data

@LIML

Limited information maximum likelihood estimation

@LOCALDLM

Creates matrices for local (level or trend) DLM

@LOCALDLMINIT

Calculates initial guesses for component variances in a local level/trend

@LOCALTREND

Local smoothing regression

@LOGMVSKEWT

Function for log density of multivariate skewt distribution

%LOGNORMALPARMS

Computes parameters required for log normal distribution

%LOGSKEWGEDDENSITY

Function for log density of skewGED distribution

%LOGSKEWGEDGARCH

Function for log density of skewGED distribution for use with GARCH with DENSITY option.

%LOGSKEWTDENSITY

Function for log density of skewt distribution

%LOGSKEWTGARCH

Function for log density of skewt distribution for use with GARCH with DENSITY option.

@LPUNIT

LumsdainePapell unit root test with structural breaks

@LSDVC

Estimates a dynamic FE model with correction for bias

@LSUNIT

LeeStrazicich unit root tests with one or more structural breaks

@MAAUTOLAGS

Computes Information Criteria for MA models using innovations algorithm

@MACKINNONCV

Computes Mackinnon’s Critical values for DF and EG tests

@MANNWHITNEY

Performs MannWhitney test for comparison of samples

@MARKOV

Functions supporting Markov Chain Models (obsolete use @MSSETUP instead)

@MATPEEK

Extracting/inserting information from/into rectangular arrays (obsolete: use %XSUBMAT and %PSUBMAT functions instead)

@MCFEVDTABLE

Organizes tables of FEVD’s with confidence bands

@MCGRAPHIRF

Organizes graphs of IRF’s with confidence bands

@MCLEODLI

Performs a McLeodLi test for 2nd order dependence

@MCMCPOSTPROC

Calculates sample statistics from MCMC realizations

@MCPROCESSIRF

Organizes error bands for IRF’s based upon MC results

@MCVARDODRAWS

Does Monte Carlo draws from a VAR to generate IRF’s

@MEANGROUP

Mean group estimator for panel data

@MEPLOT

Does Mean Excess Return plots

@MESA

Computes and graphs a spectrum using Maximum Entropy Method

@MHEGY

Implements the monthly version of the “HEGY” tests

@MIXED

Mixed estimation of a single equation

@MIXVAR

Mixed estimation of an equation with a Bayesian prior

@MONTEVAR

Monte Carlo Integration of VAR Impulse Response confidence bands

@MSEMSETUPSTD

Markov switching procedures for EM estimation

@MSREGRESSION

Markov switching linear regression procedures

@MSSETUP

Markov switching general support procedures

@MSSYSREGRESSION

Markov switching linear systems regression procedures

@MSVARSETUP

Markov switching VAR setup procedures

@MULTIPLEBREAKS

Multiple structural change analysis per BaiPerron

@MVARCHTEST

Multivariate test for ARCH

@MVBNDECOMP

Multivariate BeveridgeNelson decomposition via a VAR

@MVGARCHFORE

Multivariate GARCH forecasting

@MVGARCHTOVECH

Extracts a VECH representation from GARCH estimates

@MVIDENT

Creates a TiaoBox cross correlation matrix

@MVJB

Multivariate JarqueBera normality test

@MVQSTAT

Hosking’s Multivariate Q statistic

@NBERCYCLES

Generates dummies based upon NBER cycle dates

@OLSHODRICK

Computes Hodrick standard errors

@PACF2AR

Generates coefficients for an AR from input covariances

@PANCOINT

Panel data unit root/cointegration testing procedure (Pedroni tests)

@PANELDOLS

Panel data group mean DOLS

@PANELFM

Panel data group mean FMOLS

@PANELTHRESH

Does analysis of up to two threshold breaks in a fixed effects panel model

@PDL

Polynomial Distributed Lags regression

@PDLREG

Polynomial Distributed Lags regression

@PERRONBREAKS

Compute various unit root tests with breaks

@PERRONNGMTESTS

Compute various PerronNg “M” unit root tests

@PERRONRODRIGUEZ

PerronRodriguez unit root test allowing for break at unknown date

@PERSIST

Sum of coefficients of a MA representation for a series

@PHILLIPSHANNAN

PhillipsHannan Efficient estimator for multivariate regressions

@POLYMULT

Multiplies lag polynomial coefficients. Obsolete: use %POLYMULT function instead.

@POTEST

PhillipsOuliarisHansen test for Cointegration

@POTESTRESIDS

PhillipsOuliarisHansen test for Cointegration on 1st stage residuals

@PPUNIT

PhillipsPerron Unit Root test

@PRINCOMP

Extracts principal components

@PRINFACTORS

Principal componentsbased factor analysis

@PRJCONDITIONAL

Predicted probabilities for conditional logit model

@PRJMULTINOMIAL

Predicted probabilities for multinomial logit model

@PRJPOISSON

Predictions and marginal effects for Poisson count model

@QPLOT

Graphs a Q plot against a hypothesized distribution

@QUARTIMAX

Does factor rotation using quartimax criterion

%RANGRID

Random draw from a distribution approximated across grid of points

@RANMIXTURE

Random draws from a mixture of Normals

@RANNORMALTRUNC

Random draws from a truncated Normal (procedure). Obsolete: use %RANTRUNCATE function instead.

@REGACTFIT

Regression postprocessing, fancy graph of actual/fitted/resids

@REGANOVA

Displays an analysis of variance table from most recent regression

@REGCONFIDENCE

Displays a table of confidence intervals from most recent regression

@REGCORRS

Computes and graphs autocorrelations from residuals

@REGCRITS

Computes information criteria for most recent regression

@REGEXACTDW

Computes the exact significance level for the DurbinWatson

@REGHBREAK

Performs structural break test with bootstrapped pvalues

@REGPARTCORR

Computes partial correlations between the regressors and dep var.

@REGPCSE

Panelcorrected standard error calculation

@REGRECURSIVE

Regression postprocessing, computes recursive resids, does tests (largely obsolete—use RLS instruction instead).

@REGRESET

Performs Ramsey RESET test on regression

@REGTOTEX

Creates a TeX equation from the most recent regression

@REGTREE

Performs a CART (Classification and Regression Trees) analysis

@REGWHITENNTEST

Performs White neural network test on regression

@REGWHITETEST

Performs White heteroscedasticity test on regression

@REGWUTEST

Performs Wu (or DurbinWuHausman) specification test on regression

@RGSE

Semiparametric fractional differencing parameter estimation

@ROBUSTLMTEST

Robust LM test for orthogonality of residuals and input series

@ROLLREG

Computes rolling regressions for least squares

@RRGQTEST

Computes a GoldfeldQuandt test on recursive residuals

@RSSTATISTIC

R/S Statistic (classical or Lo’s modified)

@RUNTEST

Computes a run test for a twostate series

@SEASONALDLM

Creates the matrices for the seasonal component of a DLM

@SHORTANDLONG

Factor covariance matrix with short and long run restrictions

@SPECFORE

Forecasting using spectral techniques

@SPECTRUM

Computes/graphs spectral density

@SPLOM

Produces an NxN matrix of SCATTER plots

@SPUNIT

Computes various “SchmidtPhillips” tests (TAU) for a unit roots

@SSMSPECTRUM

Multivariate spectral density of a state space model

@STABTEST

Perfoms Hansen’s stability test for OLS

@STAMPDIAGS

Performs a standard battery of specification tests for a state space model

@STARTEST

Test for linearity vs. LSTAR or ESTAR

@STEPPROBIT

Backwards stepwise reduction of a probit model

@STOCKWAT

StockWatson and DickeyFuller Unit Root Tests

@STRUCTRESIDS

Computes structural residuals from standard residuals

@SURGIBBSSETUP

Sets up Gibbs sampler for SUR model

@SWAMY

Computes a GLS matrix weighted estimator for a panel data set

@SWDOLS

Estimates cointegrating vectors using dynamic OLS

@SWTRENDS

Tests cointegration rank using common trends analysis

@TAR

Estimates a threshold autoregression, tests for threshold effect

@THRESHTEST

Hansen’s Test for Threshold Break

@TLOOKUP

Provides a procedure for doing table lookups

@TSAYNLTEST

Tsay test for neglected nonlinearities

@TSAYTEST

Tsay arranged regression test for threshold autoregression (TAR)

@TSECCTEST

Tse test for constant correlation in MVGARCH model

@TVARSET

Timevarying VAR setup routine

@UFOREERRORS

Forecast errors for a univariate model

@UHLIGFUNCS

Computes criteria for Uhlig signrestricted shocks

%UNIFORMPARMS

Computes required parameters for uniform distribution

@UNIQUEVALUES

Extracts unique values from a series

@VARBOOTSETUP

Sets up a parallel system for bootstrapping a VAR

@VARCALC

Does a direct calculation of a simple OLS VAR

@VARFPE

Minimum FPE representation for the equations in a VAR

@VARFROMDLM

Computes a state space representation to its implied VAR

@VARIMAX

Does factor rotation using varimax criterion

@VARIRF

Organizes graphs of Impulse responses for an estimated VAR

@VARIRFDELTA

Computes the covariance matrix of an IRF using the delta method

@VARLAGMD

Computes the sums of the VAR lag coefficients (obsolete, use %MODELLAGSUMS function)

@VARLAGSELECT

Selects lag length for a VAR model

@VARMADLM

Routines for analyzing a VARMA using DLM

@VARSPECTRUM

Multivariate spectral density of a Vector Autoregression

@VRATIO

Variance ratio random walk test procedure

@WESTCHOTEST

Heteroscedasticityrobust serial correlation test

@WHITTLETEST

Implements Whittle test for independence of state sequences

@YULELAGS

Computes Information Criteria for AR models using YuleWalker (obsolete: use @ARAutoLags instead).

@YULEVAR

Estimates a VAR on stationary data using YuleWalker Equations

@ZIVOT

ZivotAndrews Unit Root Test
