EasyReg International 2014
Differences between the versions September 20, 2012 and June 12, 2014:
- The guided tour on Johansen's cointegration analysis
has been updated and extended with the Bierens-Martins time-varying cointegration test.
- A new module, GARCH, has been added. This module estimates and tests a standard ARCH or GARCH model for
financial time series. In particular, this module has the option to test the validity of the (G)ARCH model
involved via the Bierens-Wang (2014) Weighted Simulated Integrated Conditional Moment (WSICM) test.
- Bierens, H. J., and L. Wang (2014): "Weighted Simulated Integrated Conditional Moment Tests
for Parametric Conditional Distributions of Stationary Time Series Processes", Forthcoming in Econometric Reviews.
- A few cosmetic issues in modules NLLS, TOURS and OLS have been corrected. Moreover, the guided tour on nonlinear
least squares estimation has been appended with another example.
- A bug in module NEXTGARCH, which estimates ARCH and GARCH models, has been repaired. This
bug gave an error code 9: Subscript out of range. Thanks to Gerald Holtham for bringing
this problem to my attention.
- A few modules did no longer work when my Windows 7 was restored after my hard drive crashed and had to be replaced.
These modules have been recompiled and tested. They work again.
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