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All Blog Posts Tagged 'econometrics' (2)

MATLAB toolbox on regime switching copula estimation and simulation

Hi all.

You may want to check out my code on regime switching copula models.The toolbox is designed to estimate the parameters of a regime switching copula model, assuming two regimes. Each regime can be described by any of the following five copulas:

  • t - copula
  • Gaussian Copula
  • Clayton Copula
  • Frank Copula
  • SJC copula

The correlation coefficient, rho, for the eliptical copulas and the copula parameter tau, for Clayton and…

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Added by Manthos Vogiatzoglou on August 20, 2018 at 12:00am — No Comments

Linear Algebra Formulas for Econometrics

Econometrics is fundamental to many of the problems that data scientists care about, and it requires many skills. There's philosophical skill, for thinking about whether fixed effects or random effects models are more appropriate, for example, or what the direction of causality in a particular problem is. There's some coding, including knowing the right commands to interact with statistical programs like Stata or R, and how to interpret their output. There's the intuition to know which…

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Added by Bradford Tuckfield on October 1, 2015 at 2:30pm — 1 Comment

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