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1、AppliedEconometricsusingMATLABJamesP.LeSageDepartmentofEconomicsUniversityofToledoOctober,1999PrefaceThistextdescribesasetofMATLABfunctionsthatimplementahostofeconometricestimationmethods.ToolboxesarethenamegivenbytheMathWorkstorelatedsetsofMATLABfunctionsaimedatsolving
2、apar-ticularclassofproblems.Toolboxesoffunctionsusefulinsignalprocessing,optimization,statistics,¯nanceandahostofotherareasareavailablefromtheMathWorksasadd-onstothestandardMATLABsoftwaredistribution.IusethetermEconometricsToolboxtorefertothecollectionoffunctionlibrarie
3、sdescribedinthisbook.Theintendedaudienceisfacultyandstudentsusingstatisticalmethods,whethertheyareengagedineconometricanalysisormoregeneralregressionmodeling.TheMATLABfunctionsdescribedinthisbookhavebeenusedinmyownresearchaswellasteachingbothundergraduateandgraduateecon
4、ometricscourses.ResearcherscurrentlyusingGauss,RATS,TSP,orSAS/IMLforeconometricprogrammingmight¯ndswitchingtoMATLABadvantageous.MATLABsoftwarehasalwayshadexcellentnumericalalgo-rithms,andhasrecentlybeenextendedtoinclude:sparsematrixalgorithms,verygoodgraphicalcapabiliti
5、es,andacompletesetofobjectorientedandgraphicaluser-interfaceprogrammingtools.MATLABsoftwareisavailableonawidevarietyofcomputingplatformsincludingmainframe,Intel,Apple,andLinuxorUnixworkstations.Whencontemplatingachangeinsoftware,thereisalwaystheinitialinvestmentindevelo
6、pingasetofbasicroutinesandfunctionstosupporteconometricanalysis.ItismyhopethattheroutinesintheEconometricsToolboxprovidearelativelycompletesetofbasiceconometricanalysistools.ThetoolboxalsoincludesanumberoffunctionstomimicthoseavailableinGauss,whichshouldmakeconvertingex
7、istingGaussfunctionsandap-plicationseasier.Forthoseinvolvedinvectorautoregressivemodeling,acompletesetofestimationandforecastingroutinesisavailablethatimple-mentawidervarietyoftheseestimationmethodsthanRATSsoftware.Forexample,BayesianMarkovChainMonteCarlo(MCMC)estimatio
8、nofVARiiimodelsthatrobustifyagainstoutliersandaccommodateheteroscedasticdis-turbanceshavebeenimplemented.Inadd
