LikPak 1.0: Likelihood Procedures

Overview

Econotron Software, Inc.

The following product is developed by Econotron Software, Inc. for use with GAUSS. Technical support is provided directly through the developer.

LikPak 1.0

LikPak 1.0 from Econotron Software consists of over 50 likelihood functions and examples for GAUSS. LikPak is designed to be used with GAUSS optimization packages such as Constrained Maximum Likelihood MT, Maximum Likelihood, and Maximum Likelihood MT.

LikPak has been designed to complement the optimization packages; it saves the programmer from having to write the likelihood and shows how the likelihood can be parameterized for a particular problem.

LikPak is designed to be used as a template; that is, select the example that is relevant to your problem and use that example as a starting point. The functions in LikPak corespond to the set of likelihoods currently used in economics, and each function is backed up with documentation describing typical parameterizations.

The source code is written in GAUSS and will run on any platform of GAUSS or the GAUSS Engine. See below for a list of processes and utilities included in LikPak. Full documentation and examples are provided for each function. See the online manual at www.Econotron.com/likpak for details.

Requirements: Likpak requires GAUSS v 4.0 or higher, and supports both 32 and 64 bit versions of GAUSS.

Platforms: Windows, Mac, Linux

Likpak is produced by Econotron Software, Inc. Additional product details are available at www.Econotron.com

LikPak 1.0 Flyer [138k .pdf]

Features

Processes and Utilities

AR Processes
- ARFIMA - Autoregressive fractional integrated moving average process
- ARIMA - Autoregressive integrated moving average process
- ARMA - Autoregressive moving average process
- VARMA - Vector autoregressive moving average process
Count Processes
- NEGBIN - Negative binomial process
- POISSON - Poisson process
Discrete Processes
- DBDC - Double-bounded dichotomous choice process
- FMNP - Feasible multinomial probit
- LOGIT - Binomial logit process
- MNL - Multinomial logit
- MNP - Multinomial probit
- ORDLGT - Ordered logit process
- ORDPRBT - Ordered probit process
- PROBIT - Binomial multivariate probit process
GARCH Processes
- AGARCH - Asymmetric GARCH process
- ARCH - Autoregressive conditional heteroscedastic process
- EGARCH - Exponential GARCH process
- FIGARCH - Fractionally integrated GARCH process
- GARCH - GARCH process
- IGARCH - Integrated GARCH process
- MGARCH - Multivariate GARCH process
- PGARCH - Power GARCH process
- TGARCH - Truncated GARCH process
Statistical Processes
- BETA - Beta processBETA Beta process
- CAUCHY - Cauchy process
- EXPON - Exponential process
- F - F process
- GAMMA - Gamma process
- GUMBEL - Gumbel (largest extreme value) process
- INVGAUSS - Inverse Gaussian process
- LAPLACE - Laplace process
- LEVY - Levy process
- LOGISTIC - Logistic process
- LOGLOG - Loglogistice process
- LOGNORM - Log normal process
- NORMAL - Normal process
- PARETO - Pareto process
- PEARSON - Pearson
- SEV - Smallest extreme value process
- STUDENTS_T - Student's T process
- VONMISES - Von Mises process
- WEIBULL - Weibull process
Other Processes
- BOXCOX - BoxCox process
- FPF - Frontier production function process
- KALMAN - Kalman filter
- MSM - Markov switching models
- MVN - Multivariate normal process
- NEURAL - Neural network process
- NLS - Nonlinear least squares
- NPE - Non parametric estimate
- SV - Stochastic volatility process
- TOBIT - Tobit process
- WHITTLE - Local Whittle process
LikPak Utilities
- CENSORED - Censored process
- DGP - Data generation process
- FILTER - Data filter
- MROOT - Largest root
- PDROOT - Positive definite test for smallest root
- QDFN - Multivariate normal rectangular probabilities
- RNDTN - Truncated multivariate normal random numbers
- TRUNCATED - Truncated process
DS Utilities
- dsDATA - Set data source
- dsDATAGET - Retrieve data
- dsOPTIONS - Set options
- dsOPTIONGET - Retrieve options
PV Utilities
- pvCLEAR - Clear parameter
- pvCONST - Set parameter as inactive
- pvGET - Retrieve parameter
- pvGETMASK - Retrieve parameter mask
- pvPARAM - Set parameter as active
- pvSET - Set parameter
- pvSETMASK - Set parameter mask

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LikPak 1.0: Likelihood Procedures

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Econotron Software, Inc.

LikPak 1.0

Processes and Utilities

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