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Oct 05 by aptech Posted in Simulation

Repeating simulations from older versions of GAUSS

Starting in GAUSS version 12, a new suite of high quality and high-performance random number generators was introduced. While new projects should always use one of the modern RNG’s, it is sometimes necessary to exactly reproduce some work from the past. GAUSS has retained a set of older LCG’s, which will allow you to reproduce the random numbers from older GAUSS versions for many distributions.

Jul 25 by Eric Posted in Econometrics, Time Series

Why the GLS-unit root test with multiple structural breaks?

Many estimations and forecasting methods are not valid if the mean and variance are not constant across time. Today we examine how to test for both using GLS-unit root tests with multiple structural breaks.

Tagged in housing, structural breaks

Jul 24 by Eric Posted in Panel data, Time Series

The Effects of Structural Breaks on GMM models

While structural breaks are a widely examined topic in pure time series, their impacts on panel data models have garnished less attention. However, in their forthcoming paper Chowdhury and Russell (2018)] demonstrate that structural breaks can cause bias in the instrumental variable panel estimation framework. This work highlights that structural breaks shouldn’t be limited to pure time series models and warrant equal attention in panel data models.

Tagged in structural breaks

Recent Posts

Repeating simulations from older versions of GAUSS

Why the GLS-unit root test with multiple structural breaks?

The Effects of Structural Breaks on GMM models

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