LikPak 1.0: Likelihood Procedures

Econotron Software, Inc.

The following product is developed by Econotron Software, Inc. for use with GAUSS. Technical support is provided directly through the developer.

LikPak 1.0

LikPak 1.0 from Econotron Software consists of over 50 likelihood functions and examples for GAUSS. LikPak is designed to be used with GAUSS optimization packages such as Constrained Maximum Likelihood MT, Maximum Likelihood, and Maximum Likelihood MT. LikPak has been designed to complement the optimization packages; it saves the programmer from having to write the likelihood and shows how the likelihood can be parameterized for a particular problem. LikPak is designed to be used as a template; that is, select the example that is relevant to your problem and use that example as a starting point. The functions in LikPak corespond to the set of likelihoods currently used in economics, and each function is backed up with documentation describing typical parameterizations. The source code is written in GAUSS and will run on any platform of GAUSS or the GAUSS Engine. See below for a list of processes and utilities included in LikPak. Full documentation and examples are provided for each function. See the online manual at www.econotron.com for details. LikPak is available for Windows, Linux and Unix versions of GAUSS. You can visit Econotron Software's home page www.econotron.com for a full description of LikPak.

Platforms:

Windows, Mac OS X, LINUX, UNIX (requires GAUSS for Windows 4.0 or higher)

Processes and Utilities

• AR Processes
  • ARFIMA - Autoregressive fractional integrated moving average process
  • ARIMA - Autoregressive integrated moving average process
  • ARMA - Autoregressive moving average process
  • VARMA - Vector autoregressive moving average process
• Count Processes
  • NEGBIN - Negative binomial process
  • POISSON - Poisson process
• Discrete Processes
  • DBDC - Double-bounded dichotomous choice process
  • FMNP - Feasible multinomial probit
  • LOGIT - Binomial logit process
  • MNL - Multinomial logit
  • MNP - Multinomial probit
  • ORDLGT - Ordered logit process
  • ORDPRBT - Ordered probit process
  • PROBIT - Binomial multivariate probit process
• GARCH Processes
  • AGARCH - Asymmetric GARCH process
  • ARCH - Autoregressive conditional heteroscedastic process
  • EGARCH - Exponential GARCH process
  • FIGARCH - Fractionally integrated GARCH process
  • GARCH - GARCH process
  • IGARCH - Integrated GARCH process
  • MGARCH - Multivariate GARCH process
  • PGARCH - Power GARCH process
  • TGARCH - Truncated GARCH process
• Statistical Processes
  • BETA - Beta processBETA Beta process
  • CAUCHY - Cauchy process
  • EXPON - Exponential process
  • F - F process
  • GAMMA - Gamma process
  • GUMBEL - Gumbel (largest extreme value) process
  • INVGAUSS - Inverse Gaussian process
  • LAPLACE - Laplace process
  • LEVY - Levy process
  • LOGISTIC - Logistic process
  • LOGLOG - Loglogistice process
  • LOGNORM - Log normal process
  • NORMAL - Normal process
  • PARETO - Pareto process
  • PEARSON - Pearson
  • SEV - Smallest extreme value process
  • STUDENTS_T - Student's T process
  • VONMISES - Von Mises process
  • WEIBULL - Weibull process
• Other Processes
  • BOXCOX - BoxCox process
  • FPF - Frontier production function process
  • KALMAN - Kalman filter
  • MSM - Markov switching models
  • MVN - Multivariate normal process
  • NEURAL - Neural network process
  • NLS - Nonlinear least squares
  • NPE - Non parametric estimate
  • SV - Stochastic volatility process
  • TOBIT - Tobit process
  • WHITTLE - Local Whittle process
• LikPak Utilities
  • CENSORED - Censored process
  • DGP - Data generation process
  • FILTER - Data filter
  • MROOT - Largest root
  • PDROOT - Positive definite test for smallest root
  • QDFN - Multivariate normal rectangular probabilities
  • RNDTN - Truncated multivariate normal random numbers
  • TRUNCATED - Truncated process
• DS Utilities
  • dsDATA - Set data source
  • dsDATAGET - Retrieve data
  • dsOPTIONS - Set options
  • dsOPTIONGET - Retrieve options
• PV Utilities
  • pvCLEAR - Clear parameter
  • pvCONST - Set parameter as inactive
  • pvGET - Retrieve parameter
  • pvGETMASK - Retrieve parameter mask
  • pvPARAM - Set parameter as active
  • pvSET - Set parameter
  • pvSETMASK - Set parameter mask