Downloadable software and other stuff; André Lucas

Available:

• All papers and software on Generalized Autoregressive Score (GAS) models: http://www.gasmodel.com.

• Dun Bradstreet data: the data of Dun and Bradstreet 1927 -- 1997, failure rates and numbers of failed companies (source: DB report (1997) Business failure record. A comparative statistical analysis of geographic and industry trends in business failures in the United States.).

• RIPE: Robust Inference Plus Estimation. Single equation regression package, containing several robust estimation procedures.

• Outlier robust GMM routines.
• Outlier robust PLR (Johansen type) routines (dirty programming! use only main framework or use software of the "A comparison ..." paper below).
• Moment ratio tests (see Research Memorandum 98-47)
• Software for computing parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests (Advances in Econometrics).
• Software for SNP cointegration test for simulations and empirical illustration (revision of Research Memorandum 97-41 for the Journal of Econometrics).

• The proofs of JBF 2001 paper (available on request) can be found in the underlying original working paper or separately here.

• Download my inaugural lecture in Dutch and the crucial slides.

• For my thesis click here. (Lucas, A. (1996): Outlier robust unit root analysis, Thesis Publishers, Amsterdam.)