Month: November 2018

A Simple Test for Structural Breaks in Variance

Introduction Though many standard econometric models assume that variance is constant, structural breaks in variance are well-documented, particularly in economic and finance data. If these changes are not accurately accounted for, they can hinder forecast inference measures, such as forecast variances and intervals. In this blog, we consider a tool that can be used to [...]

Diagnosing a singular matrix

Introduction G0121: Matrix not positive definite and G0048: Matrix singular are common errors encountered during estimation. Today we will run some code to compute OLS estimates, using real data from some golf shots hit by this author and recorded by a launch monitor. The data Our dataset, golf_ballflight.csv, contains 46 observations with the following variables: [...]

Graph high frequency Forex data

Introduction Last week we learned how to use the date keyword to load dates into GAUSS. Today, we will plot some high-frequency Forex data. The data Today's dataset (usdcad_tick.csv) contains tick data for a little over 30,000 observations of the bid price for the USD/CAD currency pair from January 2, 2018. This file has two [...]

Reading dates and times in GAUSS

Introduction Time series data with inconsistently formatted dates and times can make your work frustrating. Dates and times are often stored as strings or text data and converting to a consistent, numeric format might seem like a daunting task. Fortunately, GAUSS includes an easy tool for loading and converting dates and times – the date [...]

What you need to know about #include

Introduction If you have run much publicly available GAUSS code, you have probably come across the #include command. Since it is used so much, it will be helpful to answer these questions: What does #include do? What is the most common error when using #include? How can I resolve the most common error? What does [...]
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