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 [...]
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 [...]
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 [...]
Introduction Most GAUSS users keep their code and data from different projects in separate directories. This is a good practice since it helps keep your work organized. However, since it is your code and your computer, it can seem like the path of least resistance is to add full path references to any data that [...]
Introduction Autocomplete is becoming a common feature in the tools we use in all aspects of our lives, because of it's ability to help us to type more accurately and quickly. When programming in GAUSS, the autocomplete can also show you new functions you were not aware of. Today we will discuss how to use [...]
Introduction The key to getting the most performance from a matrix language is to vectorize your code as much as possible. Vectorized code performs operations on large sections of matrices and vectors in a single operation, rather than looping over the elements one-by-one. For example, we could scale a vector by looping over each element: [...]
Introduction Starting in GAUSS version 12, a new suite of random number generators was introduced. GAUSS now contains several options of high quality and high-performance random number generators (RNG), such as: The Mersenne-Twister (MT-19937, SFMT-19937 and MT-2208). Pierre L'ECuyer's MRG32K3a. Niederreiter and Sobol quasi-random number generators. GAUSS version 11 and older used a linear congruential [...]
Introduction The housing market has been on a roller coaster ride since the early 2000s. We have seen the rise and fall of one bubble and it is feared by some that we may be witnessing a second bubble today. If we want to study housing prices, an important first step is to check and [...]
Introduction 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 [...]
