Econometric Software Packages

Some econometric packages written by UC Davis faculty and students ( current and past)

Matlab

  • Inference on IRF in Structural Vector Autoregressions [Github] (Bulat Gafarov, Matthias Meier, and Jose Luis Montiel Olea)

Stata

R

  • tsDyn: Non-linear regime switching models, in particular threshold cointegration in R, by Matthieu Stigler
  • RDDtools: A toolbox for Regression Discontinuity Design (RDD), by Matthieu Stigler