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Dicas para Scilab

Acho que não dei esta dica ainda. Então aí vai: GROCER.

# Grocer Capabilities: most standard econometric capabilities:

– ordinary least squares and various single equation methods (autocorelated models, instrumental variables, non linear least squares, limited dependent variables, robust methods,…)
– specification tests (multicolinearity, autocorelation, heteroskedasticity, normality, predictive failure,…)
– simultaneous equations methods (SUR, two and three stage least squares,…)
– VAR, VECM, VARMA and GARCH estimation
– the Kalman filter and time varying parameters estimation
– unit root tests (ADF, KPSS,…) and cointegration methods (CADF, Johansen,…)
– various business cycle tools: HP, Baxter-King and Christiano-Fitzgerald filters, the Bry-Boschan-Harding-Pagan procedure for the datation of turning points, spectral analysis
– basic panel data estimation: fixed and random effects, between estimation
– numerous time series disaggregation methods: Chow-Lin, Litterman,…

# some more rare -but useful- ones:

– a pc-gets like device, that performs automatic general to specific estimations
– estimation of Markov-switching models
– Bayesian Model Averaging estimation
– a contributions device, that provides contributions of exogenous variables to an endogenous one for any dynamic equation

# a -rough- interface with Excel and unlike Gauss, it deals with true timeseries objects.

Claudio

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