Codes and scripts



C/C++


Matlab/GNU Octave

Kalman Filter

Bayesian ARCH (see section 7.3 ARCH Models in Bauwens, Lubrano and Richard, 2003)

Bayesian GARCH

Maximum likelihood of ARIMA model (requires Sims' optimizer )

Multivariate Bayesian model (see chapter 9 in Bauwens, Lubrano and Richard, 2003)

Scilab

Econometrics

Macroeconomics

Random draws (see Appendix B in Bauwens, Lubrano and Richard, 2003 )

Various functions

Last revised on 28 August 2015.