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Gaussxtm Econotron Software, Inc GAUSSXTM ECONOTRON SOFTWARE, INC. Version 10.1 Jon Breslaw January, 2011 The contents of this manual is subject to change without notice, and does not represent a commitment on the part of Econotron Software, Inc. The software described in this document is furnished under a license agreement or nondisclosure agreement. The software may be used or copied only in accordance with the terms of the agreement. The purchaser may make one copy of the software for backup purposes. No part of this manual may be reproduced or transmitted in any form or by any means, electronic or mechanical, for any purpose other than the purchaser’s personal use without the prior written permission of Econotron Software. Copyright c 1989-2011 Econotron Software, Inc. All Rights Reserved GAUSS and GAUSS–Light are trademarks of Aptech Systems, Inc. GAUSSX is a trademark of Econotron Software, Inc. Maple is a trademark of Waterloo Maple, Inc. Support: Econotron Software 447 Grosvenor Ave. Westmount, P.Q. Canada H3Y-2S5 Tel: (514) 939-3092 Fax: (514) 938-4994 Eml: [email protected] Web: http://www.econotron.com ii Contents Contents 1 Concept 1.1 Overview ...................................... i 2 Installation and Configuration 2.1 Installing GAUSSX ................................. i 2.1.1 GAUSSX for Windows .......................... i 2.1.2 GAUSSX for UNIX and MAC ...................... ii 2.1.3 Installing GAUSSX manually . iii 2.2 Configuring GAUSSX for Windows . iii 2.2.1 GAUSSX mode ............................. iii 2.2.2 Precision ................................. iii 2.2.3 Projects ................................. iv 2.2.4 Configuration File ............................ iv 2.2.5 Performance ............................... iv 2.2.6 Network support ............................. v 2.2.7 Student version ............................. v 2.3 Configuring GAUSSX for UNIX .......................... v 2.3.1 UNIX configuration file .......................... v 2.3.2 Network support ............................. vi 2.3.3 Porting PC files ............................. vi 3 Running GAUSSX under Windows 3.1 Quick Start ..................................... i 3.2 Project Options ................................... ii 3.2.1 Overview ................................. ii 3.2.2 Files ................................... ii 3.2.3 Options .................................. iii 3.2.4 Commands ................................ iv iii 3.2.5 Configuration ............................... iv 3.2.6 Navigation ................................ v 3.3 GAUSSX Commands ............................... v 3.4 GAUSSX Tools ................................... vi 3.5 Batch mode .................................... vii 4 Running GAUSSX under UNIX 4.1 UNIX menu ..................................... i 4.2 Quick Start ..................................... ii 4.3 Batch mode .................................... ii 5 GAUSSX Commands - Syntax and Summary 5.1 Syntax ....................................... i 5.2 Variable names .................................. ii 5.3 Summary ...................................... ii 5.3.1 Data creation and handling . iii 5.3.2 Descriptive ................................ iv 5.3.3 Formula definition ............................ iv 5.3.4 Estimation methods ........................... v 5.3.5 Processes ................................ vi 5.3.6 Bitwise Commands . vii 5.3.7 Statistical Commands . viii 5.3.8 Finance/Economics Commands . viii 5.3.9 In-Line commands ............................ ix 5.3.10 Support Functions ............................ x 5.3.11 Miscellaneous .............................. xi 5.4 Display Options .................................. xii 5.5 Reference Syntax ................................. xii 6 GAUSSX Reference iv Contents A Appendices A.1 Error Processing ................................. ii A.2 Installing New Procedures ............................. iv A.3 Mixing GAUSS and GAUSSX ........................... v A.4 Running GAUSS Application Modules . vii A.5 Automatic Differentiation .............................. ix A.6 Support Functions ................................. xi A.7 Trouble Shooting .................................. xv A.7.1 Windows ................................. xv A.7.2 UNIX ................................... xv A.8 Statlib Reference . xvii B Index v Concept 1 1.1 Overview There now exist a substantial number of statistical packages that are capable of being run both on Windows and UNIX platforms. An ideal package is fast, flexible and fun. Traditional packages, such as SPSS, SAS etc, are relatively easy to use, since they are command driven. However, they are not particularly flexible, in the sense that if a particular procedure is not implemented by the package (eg. Tobit) then it is not usually possible for the user to add such a procedure. At the other extreme, one can write statistical procedures for oneself in C or FORTRAN. This provides a great deal of flexibility, and can be relatively fast, since one can dispense with overhead. On the other hand, it is definitely not fun. GAUSS is a programming language which starts to come close to the ideal. It provides the power, speed, and flexibility of a compiled language, such as C, while being easy to learn and use. It is also flexible, in that the user can program in GAUSS to implement any statistical procedure. Thus GAUSS is a distinct improvement over other existing statistical packages. However, for many potential GAUSS users, the overhead involved in setting up the various modules, and learning the GAUSS programming language is significant, especially if their previous program- ming skills heave been restricted to high level languages. And even for experienced GAUSS users, 1-1 there is a considerable cost in putting together code each time in order to undertake a particular task, while also having to concern oneself with file manipulation, etc. Put another way, it is still considerably easier to program in a higher level language than in a lower level language. GAUSSX rectifies this situation, by acting as a shell for running GAUSS. It is very easy to use, since no GAUSS programming nor file management knowledge is required. Indeed, this ease of operation means that GAUSSX is useful not only to users who are new to GAUSS , but also to experienced GAUSS programmers. Under UNIX or MAC, GAUSSX runs as an application, while the Windows version provides a Project Options screen with additional menu items and tools. While new users can run GAUSSX without any knowledge of GAUSS, all of the data transformation commands that are available to GAUSS are also available to GAUSSX, and thus the new user is eased into GAUSS as his/her needs grow. For experienced GAUSS users, the ability to modify GAUSSX, or to add modules to GAUSSX, makes GAUSSX the preferred environment for running GAUSS. In addition, the GAUSS Application Modules can also be run from GAUSSX. For pedagogical use, GAUSSX can be used to teach econometrics, without the problem of the student spending all of his or her time learning programming, and not econometrics. Most of the GAUSSX commands are similar to those found in TSP. GAUSSX supports data input either coded in the command file (LOAD), or through reading external files, in either ASCII, spread sheet, or GAUSS format. Data transformation (GENR) is limited only by the GAUSS command set—almost anything. COVA generates descriptive statistics, SVD, and correlograms, while TABU- LATE provides statistics in a cross-tab format. PRINT, PLOT, and GRAPH commands are supported. Sample selection (SMPL) is supported either directly, or logically, and missing values are handled automatically. A full range of linear single and multiple estimation methods are available, includ- ing ARIMA, EXSMOOTH, KALMAN, PANEL, QR and ROBUST. Diagnostics are provided for most single equation methods. Non linear estimation methods include FIML, GMM, ML, NLS, non linear 2SLS and 3SLS, and transfer functions. Linear and non-linear parameter constraints are available for all non-linear estimation routines. A large range of processes are provided for ML estimation, including univariate and multivariate garch, MNL, MNP, neural networks, non-parametric, duration models, Kalman filter, ARFIMA, and stochastic volatility process. Forecasting methods include both static and dynamic forecast (FORCST), and dynamic solutions for systems of non-linear equations (SOLVE). About 20 specification tests are available using the TEST command including specification, cointegration and decomposition tests, as well as 12 non- parametric tests. Monte Carlo simulation is supported using MCS, and Bayesian estimation using MCMC. Since GAUSS and GAUSSX code can be intertwined, comments, logical goto, and looping, as well as any legal GAUSS commands are permitted. 1-2 Concept While GAUSSX takes care of the econometrics, it also provides a number of utilities that facilitate housekeeping. One such utility is project management control. If one is involved in a number of different tasks (or projects), it becomes tedious changing the path and file names each time one changes projects. Each project has a unique name, and specifies the files and paths associated with that project. This way, you don’t have to bother with remembering which files are associated with each project. Project management can be used for both GAUSSX and GAUSS projects. GAUSSX is flexible – you can run it the way you want to. The screen can be toggled on or off, so can the printer. The output file can include the program listing first, if you wish. And of course context sensitive
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