This page contains background Gauss Procedures that are called by the estimation programs.

1. HPFILT.SET computes the Hodrick-Prescott filter for a univariate time series.
2. AMOEBA.SET. Nelder-Mead simplex algorithm for finding the minimum of a function. Translated from Numerical Recipes.
3. NRMIN.SET. Bo Honore and Ekaterini Kyriazidou's Gauss translation of several very useful optimization routines from Numerical Recipes. This procedure contains the methods of Broyden-Fletcher-Goldfarb-Shanno, Powell, and Davidon-Fletcher-Powell.
4. AUTOLAG.SET. Computes an estimate of the spectral density matrix of a vector of orthogonality conditions at frequency 0 using the method of Newey and West (Econometrica1987) using their automatic lag selection procedure (Review of Economic Studies1994).
5. CORRELGM.SET. Computes the correlegram of a stationary time series.
6. OLS.SET. A quick procedure to do OLS.
7. COMPAN.SET. Sets up the companion matrix for a VAR(p).
8. RBSTSE.SET. Computes Newey-West or Hansen-Hodrick standard errors for regression problems.
9. UROOT.SET. Does augmented Dickey-Fuller and Phillips-Perron unit root tests.
10. ADF.SET. Computes studentized coefficient to do the augmented Dickey-Fuller test.
11. VRATIO.SET. Computes the variance ratio statistic.
12. NLSYS.SET Solves a system of nonlinear equations.