UC Davis Agricultural and Resource Economics

Gauss Code Page

  1. Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures, Journal of Applied Econometrics, 2005, 20(3): 405-422, 2005.
    Click here for code and data.
  2. Level Shifts and the Illusion of Long Memory in Economic Time Series, Journal of Business and Economic Statistics, 23(3):321-335, 2005. (note: this program also works with OxGauss, which is available free here)
    Code: modGPH.gau
    Data: sandp.dat

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