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Econometrics literally means 'economic measurement'. It is a combination of mathematical economics, statistics, economic statistics and economic theory.

The two main purposes of econometrics are to give empirical content to economic theory and also to empirically verify economic theory. For example, econometrics could empirically verify if, indeed, a given demand curve slopes downward as economic theory would suggest. Empirical content is also applied, in that a numerical value would be given to this slope, while economic theory alone is usually mute on actual specific values.

Arguably the most important tool of econometrics is regression analysis (for an overview of a linear implementation of this framework, see linear regression).

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Time Series Package - Fortran 77 code for times series and least-squares regression including nonlinear regression.

Adaptive Logistic Basis Function Regression (ALB) - Fortran 77 code by Peter M. Hooper.

ALSCAL - Fortran code by Forrest W. Young for multidimensional scaling.
Meta Description: [ ViSta - The Visual Statistics System - is designed for those teaching and learning statistics. The visualizations help you see what your data seem to say. ]

404 Andrew Jeffrey's Fortran 90 routines - Routines for i) the calculation of some linear algebra ii) non-linear minimization, iii) numerical integration and differentiation, iv) random number generation from a Normal distribution with mean zero and variance one, and v) the implementation of the Generalized Method of Moments statistical estimation procedure.
Meta Description: [ Some Fortran 90 routines written by Andrew Jeffrey ]

AR and ARFIMA models - Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers.

ARMA and Kalman Filter model estimation - By J. Newton

Autoregressive model estimation - Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.

Autoregressive to Anything (ARTA) - Code by Marne C. Cario and Barry L. Nelson to simulate stationary time series with arbitrary marginal distributions and feasible autocorrelation structure specified through lag p.

Bayesian Analysis, Computation and Communication (BACC) - By John Geweke.

BIO 248 Programs - Fortran and S codes for neural networks and optimization.

Bispectrum Test - Code for bispectrum test of Melvin Hinich.

CANOCO - Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial]

Classical Item Analysis - Program by Seock-Ho Kim for classical item analysis for tests that consist of multiple-choice or true-false items. In addition to item statistics for each item response, the program provides summary statistics of the total score, coefficient alpha, and test scoring results. The cross classification of quintile group by item response can be obtained optionally. The program can be obtained from the author.

Cloud Slice - Fortran 77 and IDL codes for time series regression and detrending.

Clusfind - Complete code of six stand-alone Fortran programs for cluster analysis, described and illustrated in L. Kaufman and P.J. Rousseeuw (1990), Finding Groups in Data: an Introduction to Cluster Analysis, Wiley.

Cluster Analysis - Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan.

Clustering - Fortran 90 codes.

Computer Assisted Analysis of Mixtures (C.A.MAN) - Program designed to analyse mixtures of densities from the exponential family.

Computer Intensive Statistical Methods - Fortran 77 programs from book by Urban Hjorth: cross validation of forward selection, forward validation, and bootstrapping.

COVAR - Computer Program for Multifactor Relative Risks and Tests of Hypotheses Using a Variance-Covariance Matrix from Linear and Log-Linear Regression, by Leif E. Peterson, Journal of Statistical Software v2 (1997).

cSVM - Fortran 95 program for the training and model selection of a Support Vector Machine for binary classification tasks.

Cubic Splines - Univariate and multivariate spline regression, by Dolph Schluter.

Data Analysis - Fortran 77 codes by Volker Blobel for sorting, linear algebra, random number generation, least squares fitting with constraints and with many variables, and unfolding of measured distributions.

DATAPAC - Fortran 77 statistical library by James Filliben.

DECORANA and TWINSPAN - Fortran 77 programs for correspondence analysis, by Jari Oksanen.

Demo Fortran90 Multilayer Perceptron Backprop Code - By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.htmlcode/gafortran.htmlcode/codeleft.html .
Meta Description: [ neural network software and data mining services ]

Department of Biomathematics, University of Texas M. D. Anderson Hospital - Random numbers, distributions, and many more (dcflib, ranlib, ...)

DFREML - Suite of programs to estimate (co)variance components or covariance functions, and the resulting genetic parameters, by Restricted Maximum Likelihood fitting an animal model, by K. Meyer.

DIERCKX - Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.

500 Econometrics - Code for Bayesian analysis of long memory and persistence using ARFIMA models, benchmark priors for Bayesian model averaging, estimation of demand systems through consumption efficiency, model uncertainty in cross-country growth regressions, and Bayesian modelling of catch in a Northwest Atlantic Fishery, by Mark Steel.

404 Econometrics - Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite.

EMMIX - Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.

Ensemble Kalman Filter (EnKF) - Fortran 90 code by Geir Evensen.

Exact Confidence Bounds on a Normal Distribution Coefficient of Variation - Obtains a two-sided confidence interval on a coefficient of variation for data from a normal distribution.

Fair-Parke Program - Allows one to estimate and analyze dynamic, nonlinear, simultaneous equations models. The models can be rational expectations models, and they can have autoregressive errors of any order. The estimation techniques include OLS, 2SLS, 3SLS, FIML, LAD, 2SLAD, and some versions of Hansen's method of moments estimator.

Fast Statistical Methods - Fortran 90 and 77 codes by W.H. Press and G.B. Rybicki, for fast inversion matrices of an exponential form arising from autocorrelation functions of Ornstein-Uhlenbeck processes.

500 Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data - Fortran 77 programs by Yong Zeng.

404 Finite Mixtures - NOCOM estimates the parameters (means, variance, proportions of components) of a mixture of normal distributions for independent observations (quantitative data). COMPMIX assumes a mixture of normal distributions, with parameters for each component in that mixture. The COMPMIX program then calculates the conditional probability, given an observed value, that it belongs to the i-th component.

Flexible Least Squares (FLS) - Developed by Robert E. Kalaba and Leigh Tesfatsion, implements the flexible least squares (FLS) approach to time-varying linear regression proposed by Kalaba and Tesfatsion in Time-Varying Linear Regression Via Flexible Least Squares, Computers and Mathematics With Applications 17 (1989), 1215-1245. The FLS program has been incorporated into the statistical packages SHAZAM (Version 8.0) and GAUSS (TSM version 1.2).

Fortran Library - Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
Meta Description: [ Libraries ]

Fractal Analysis Programs of the National Simulation Resource - Programs available for (1) the generation of synthetic 1-dimensional signals that are simple fractional Brownian noise, and (2) analysis programs for determining the fractal dimension D (or the Hurst coefficient H, H = E + 1 - D, where E is the Euclidean dimension) from a simple fractal time series, i.e. a 1-dimensional signal.

GARCH Estimates: Analytic Derivatives - By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.

Gaussian Random Number Generator - Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.

GCV - Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.

Geophysical Data Analysis - Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.

Geostatistical Software LIBrary (GSLIB) - Codes in Fortran 90 and 77. Accompanies the book GSLIB: Geostatistical Software Library and User's Guide by Clayton Deutsch and André Journel.
Meta Description: [ Information on GSLIB, WinGslib and Geostatistics in general. ]

Group Sequential Tests - Programs from book by Christopher Jennison.

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator - By Wouter J. Denhaan.

Hypothesis Testing using Shape-Restricted Regression - Code for convex and monotone regression, by Mary C. Meyer.

I-NoLLS Least-Squares Fitting Program - Fits the parameters of physical models to (experimental) data using an Interactive Non-Linear Least Squares procedure. The code, by Mark M. Law and Jeremy M. Hutson, is designed to be highly modular.

ISMLIB Software - Institute of Statistical Mathematics Software Data Library.

James MacKinnon - Fortran codes for cointegration tests and other time series topics.

Kalman smoothing routine for Hodrick-Prescott filter - By E. Prescott.

Logic Regression - In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS.

LSQR - Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse.

Lyapunov Exponent of Noisy Nonlinear Systems (LENNS) - Fortran 77 code for paper by Ronald Gallant.

Mersenne Twister - Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.

Mersenne Twister in Fortran - Random number generators in Fortran.

500 Mode Testing - By Michael C. Minnotte. Uses a random number generator (RNG) from NAG, but another RNG can be used.

Model-Based Clustering Software (MCLUST/EMCLUST) - Model-based clustering, discriminant analysis, and density estimation including hierarchical clustering and EM for parameterized Gaussian mixtures + Poisson noise. Written in Fortran and interfaced to the S-PLUS commercial software package and the R language. By Chris Fraley and Adrian Raftery.

Monahan statistics code - Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan

Monte Carlo Methods in Bayesian Computation - Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.

Multivariate Analyses - Fortran 90 codes for univariate and multivariate random number generation, computation of simple statistics, covariance matrices, principal components analysis, multiple regression, and jacknife cross-validation, by Dan Hennen.

Multivariate Data Analysis - Code for principal components, partitioning, clustering, discriminant analysis, multidimensional scaling, Kohonen self-organizing map, sorting, errors-in-variable regression, minimal spanning trees, and GMDH, by Fionn Murtagh.

Multivariate Normal and Multivariate t Integrals Over Convex Regions - Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3.

500 Multivariate normal or t-probabilities - Fortran and SAS/IML programs by Frank Bretz.

Multivariate Normal Rectangle Probabilities - Fortran and C codes by H. Joe to accompany paper.

404 Nearest Point Algorithm (NPA) for Dense Kernels - Fortran 77 code by S. Sathiya Keerthi to accompany paper A Fast Iterative Nearest Point Algorithm for Support Vector Machine Classifier Design

Neural Network Freeware - Fortran 90 code using the backpropagation algorithm to fit a neural network to pairs of input vectors and target vectors. Numerical Recipes code is used for singular value decomposition.

Non-Negative Least Squares (NNLS) - Codes in Fortran 77, 90, C, IDL, and Matlab.

Nonlinear Time Series Analysis (TISEAN) - Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos).

Nonparametric Estimation - Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. It can also give the order statistics needed for any sample size to create the same estimates.

Nonparametric Statistics - Local polynomial regression fitting with ridging, kernel regression fitting with local and global bandwidth optimization, and kernel density estimation with global bandwidth selection.

Numerical Methods for Estimation and Inference in Bayesian VAR-models - Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.

ODRPACK: Software for Orthogonal Distance Regression - Solves the Orthogonal Distance Regresson (ODR) problem, that is, to find parameter estimates that minimize the sum of the squares of the weighted orthogonal distances between each observed data point and the curve described by a nonlinear equation.

Option Pricing - Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model.

Parallel Random Forests (PARF) - Fortran 90 for a classification algorithm.

Permutation Methods: A Distance Function Approach - Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.

Peter Green - Links to AutoRJ for reversible jump MCMC, Nmix for Bayesian analysis of univariate normal mixtures by MCMC, Cpt for Bayesian multiple change point analysis for point processes, and Dirichlet tessellation software.

Phil Everson research - TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions.

PIRLS - Poisson Iteratively Reweighted Least Squares Program for Additive, Multiplicative, Power, and Non-linear Models, by Leif E. Peterson, Journal of Statistical Software v2 (1997).

Predictor Sort Confidence Interval Simulation - Program by Steve Verrill that performs a simulation to test how well corrected confidence intervals based on blocked and unblocked ANOVAs perform in a predictor sort sampling ANOVA. It also estimates coverages for confidence intervals based on an analysis of covariance, and for confidence intervals based on uncorrected blocked and unblocked ANOVAs.

404 Pricing Derivative Securities - Fortran 77 and C++ code for book by T. W. Epps, in a zip file.
Meta Description: [ World Scientific - leading international publisher in medicine, science and technology. ]

Progress - Robust regression.

Qstat - Fortran 77 code by Ruey Tsay to calculate the portmanteau statistic for multivariate time series regression.

Quality Control and Engineering Statistics code - For a course, authored by Karen Jensen, F. F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, Andy Chiang, and Brandon L. Paris.

Quantiles of the Multivariate Studentized Range Procedure - By Otto Schwalb.

Random Number Generator - KISS RNG by George Marsaglia

Raw General Linear Model (GLM) - Code to accompany paper Rolling Your Own: Linear Model Hypothesis Testing and Power Calculations via the Singular Value Decomposition

Recipe: REGression Confidence Intervals for PErcentiles - Determines one-sided tolerance limits (in particular, A- and B-basis material property values) for regression models in the presence of between-batch variability. By Mark Vangel.

RedFit - Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation.

500 Research Tools Developed by the Mann Group - Fortran 77 code for the Mann Lees Multi-Taper Method (MTM) and Mann Park MTM-SVD Multivariate Signal Analysis.

Richard Chandler's software - Fortran 77 code for random number generation (uniform, exponential, normal, binomial, poisson, geometric, gamma, beta, negative binomial and Weibull), and GLIMCLIM (Generalised Linear Modelling of daily climate sequences).

Robust Estimation of Simple Statistics - By T. Beers, K. Flynn, and K. Gebhardt.

Robust Statistics - Code for regression and covariance matrix estimation, from the Antwerp Group On Robust Applied Statistics.

Simulating Rectangle Multivariate Normal Probabilities and Derivatives - By Vassilis Hajivassiliou.

404 Simulating stationary and non-stationary Gaussian random processes - By Grace Chan.

Simulation of Multinomial Probit Probabilities and Imputation - By Steven Stern.

Simultaneous Nonparametric Regression - By Laurie Davies.

Smoothing Splines - RKPACK and RKPACK-II are collections of RATFOR (rational FORTRAN) routines by Chong Gu for Gaussian regression using smoothing splines, penalized likelihood density and hazard estimation.

SNOB - Mixture modelling by Minimum Message Length (MML).

SNP: A Program for Nonparametric Time Series Analysis - Code by A. Ronald Gallant and George Tauchen for nonparametric time series analysis that employs a Hermite polynomial series expansion to approximate the conditional density of a multivariate process.

Software for Stochastic Simulation Input Modeling - Fortran 77 code and Windows executables for fitting Johnson distributions, Poisson processes, and other topics. By James R. Wilson.

Software for the Analysis of Binary Recurrent Events (SABRE) - Fortran 77 code.

Spatial Statistics - Fortran 90 code by Kelley Pace.
Meta Description: [ Public Domain Spatial Statistics Software in Matlab and Fortran 90 SpaceStatPack with spatial data. ]

StatCodes - Metasite with links to source codes in Fortran and C implementing statistical methods which are freely available on the Internet. The codes are chosen for their potential utility for research in astronomy and other physical sciences.

Statistical Analysis of Climate Time Series - Codes by Manfred Mudelsee. PearsonT estimates Pearson’s correlation coefficient from serially dependent time series. Rampfit estimates ramp function regressions. TAUEST estimates persistence in unevenly spaced weather/climate time series. XTREND estimates trends in the occurrence rate of extreme weather and climate events.
Meta Description: [ Climate Extremes and Global Change ]

Statistical Computing - Fortran 90 and Matlab codes for course by Lynne Seymour.

Statistical programs - Code for Invariant Small Sample Confidence Intervals For The Difference Of Two Success Probabilities and Bootstrap Prediction and Confidence Bands: a Superior Statistical Method for Analysis of Gait Data, by Thomas Santner.

Statistics - Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression: runs, taut strings, and local extremes.

500 StatLib Index - See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code.
Meta Description: [ Data, Software and News from the Statistics Community ]

404 Stochastic Differential Equation Software - Software for numerical solution of stochastic differential equations such as those which arise in Black-Scholes theory and its generalizations. Must be linked with Fortran 77 code compiled with g77.
Meta Description: [ ANISE is an efficient high accuracy integration program for stochastic differential equations such as arise in mathematical finance, and in computational neuroscience, physics and chemistry. ]

Stochastic Differential Equations - Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method.

STSPAC - Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.

Studies of Random Numbers - Fortran 77 codes by Ilpo Vattulainen.

Tight T - Program to determine appropriate sample sizes, allocate specimens, and analyze results in the case in which a response predictor is used to sort the specimens prior to treatment.

404 Time Series Analysis and Forecasting Techniques - By Hossein Arsham.  

404 Time-Varying Autoregression (TVAR) - Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's.

Tobit and Adjusted Maximum Likelihood Estimation - Fortran 77 code and documentation by Tim Cohn.

TULSIM - Fortran 77 programs and Windows binaries by M. T. Boswell to generate random numbers and compute the cumulative and inverse cumulative distribution functions for several statistical distributions.

Uniform and Normal Random Number Generators - By Richard P. Brent, in Fortran 77.

University of California, Berkeley, Econometrics Laboratory Fortran Software - Econometrics codes.

VPLX: Variance Estimation for Complex Samples - Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication.

404 Wes' programs page - Fortran 77 codes by W. J. Metzger to construct a minimum spanning tree and calculate a confidence level for the hypothesis that two sets of points are from the same distribution.

WWZ and TS - TS is a time series statistical program for analyzing variable star data. WWZ is a time series analysis program used to study the time-evolution of variable star data, capable of measuring changes in period, amplitude, and mean magnitude.
Meta Description: [ The American Association of Variable Star Observers: Professional and Amateur collection, research, and analyzation of variable star observations. ]

Z-transformed Discrete Correlation Function algorithm (ZDCF) - By Tal Alexander.

 

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