James Engel's Business Cycle Dating Programs (BBQ). Matlab (zip, 11kb) and GAUSS (txt, 31kb) versions.
Excel macro worksheet and instructions to implement the GAUSS and MATLAB BBQ programs by James Engel. The Excel worksheet was written by Sam Ouliaris of the IMF Institute.
Matlab code and data to accompany
"The Devil is in the Detail: Hints for Practical Optimisation" by T M Christensen, A S Hurn and K A Lindsay
Code to accompany
"Momentum in Australian Stock Returns: An Update" by A.S. Hurn and V. Pavlov.
C code, data and additional simulation results to accompany
"Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations" by A.S. Hurn, J. Jeisman and K.A. Lindsay. Journal of Financial Econometrics. Link to paper at Oxford Journals.
- OU Experiments (zip,9.5mb)
- CIR Experiments (zip,9.39mb)
- CKLS Application(zip, 52kb)
- Simulation Results (pdf, 41kb)
Data to reproduce the results from:
Gruen, D., Pagan, A. and Thompson, C. (1999) ”The Phillips curve in Australia", Journal of Monetary Economics, 44, 15-32.