Statistics and Econometrics Source Code Fortran Languages

Fortran codes estimating statistical and econometric models on data.

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• Statistics - Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression: runs, taut strings, and local extremes.
  
• Non-Negative Least Squares (NNLS) - Codes in Fortran 77, 90, C, IDL, and Matlab.
  
• Phil Everson research - TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions.
  
• Statistical Analysis of Climate Time Series - Codes by Manfred Mudelsee. PearsonT estimates Pearson’s correlation coefficient from serially dependent time series. Rampfit estimates ramp function regressions. TAUEST estimates persistence in unevenly spaced weather/climate time series. XTREND estimat
  
• Robust Statistics - Code for regression and covariance matrix estimation, from the Antwerp Group On Robust and Applied Statistics.
  
• DIERCKX - Fortran subroutines for calculating smoothing splines for various kinds of data and geometries, with automatic knot selection.
  
• Fortran Library - Fortran 90 program by Johnny Lin to calculate the time-dependent exponent (lambda) and logarithmic displacement curves of a time series.
  
• Nonlinear Time Series Analysis (TISEAN) - Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos).
  
• Autoregressive model estimation - Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.
  
• SPECTRUM - Analogue data is collected and digitized with an A/D converter. Having then a collection of digitized time series which reside in the computer, this program calculate amplitude density, autospectral (power) density and cross-spectral density functions fro
  
• TULSIM - Fortran 77 programs and Windows binaries by M. T. Boswell to generate random numbers and compute the cumulative and inverse cumulative distribution functions for several statistical distributions.
  
• Clustering - Fortran 90 codes.
  
• STARPAC - Statistical & Time Series Package - Fortran 77 code for times series and least-squares regression including nonlinear regression.
  
• Mersenne Twister in Fortran - Random number generators in Fortran.
  
• EMMIX - Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.
  
• ALSCAL - Fortran code by Forrest W. Young for multidimensional scaling.
  
• Bayesian estimation of affine models - Fortran 77 code by Chris Lamoureux.
  
• Mersenne Twister - Random number generators in F (Fortran 95 subset) by Jose Rui Faustino de Sousa.
  
• Multivariate Data Analysis - Code for principal components, partitioning, clustering, discriminant analysis, multidimensional scaling, Kohonen self-organizing map, sorting, errors-in-variable regression, minimal spanning trees, and GMDH, by Fionn Murtagh.
  
• Ensemble Kalman Filter (EnKF) - Fortran 90 code by Geir Evensen.
  
• Simulation of Multinomial Probit Probabilities and Imputation - By Steven Stern.
  
• Quantiles of the Multivariate Studentized Range Procedure - By Otto Schwalb.
  
• Rule Learning - Code estimates the population rule learning model on experimental data.
  
• WWZ and TS - TS is a time series statistical program for analyzing variable star data. WWZ is a time series analysis program used to study the time-evolution of variable star data, capable of measuring changes in period, amplitude, and mean magnitude.
  
• DFREML - Suite of programs to estimate (co)variance components or covariance functions, and the resulting genetic parameters, by Restricted Maximum Likelihood fitting an animal model, by K. Meyer.
  
• VPLX: Variance Estimation for Complex Samples - Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication.
  
• GCV - Fortran 77 and RATFOR code to fit smoothing splines using generalized cross-validation.
  
• Smoothing splines - Fortran 90 routines by Ian Enting for calculating smoothing splines and propagating data uncertainties to obtain uncertainty ranges for the spline fits.
  
• Option Pricing - Program by Ruey Tsay to calculate the price of a European option using a simple jump diffusion model.
  
• Adaptive Logistic Basis Function Regression (ALB) - Fortran 77 code by Peter M. Hooper.
  
• Multivariate Normal Rectangle Probabilities - Fortran and C codes by H. Joe to accompany paper.
  
• StatLib---Software and extensions for the S (Splus) language - Links to many packages with Fortran source.
  
• Peter Green - Links to AutoRJ for reversible jump MCMC, Nmix for Bayesian analysis of univariate normal mixtures by MCMC, Cpt for Bayesian multiple change point analysis for point processes, and Dirichlet tessellation software.
  
• Fair-Parke Program - Allows one to estimate and analyze dynamic, nonlinear, simultaneous equations models. The models can be rational expectations models, and they can have autoregressive errors of any order. The estimation techniques include OLS, 2SLS, 3SLS, FIML, LAD, 2SLAD
  
• Lyapunov Exponent of Noisy Nonlinear Systems (LENNS) - Fortran 77 code for paper by Ronald Gallant.
  
• Flexible Least Squares (FLS) - Developed by Robert E. Kalaba and Leigh Tesfatsion, implements the flexible least squares (FLS) approach to time-varying linear regression proposed by Kalaba and Tesfatsion in "Time-Varying Linear Regression Via Flexible Least Squares," Computer
  
• Random Number Generator - KISS RNG by George Marsaglia
  
• Model-Based Clustering Software (MCLUST/EMCLUST) - Model-based clustering, discriminant analysis, and density estimation including hierarchical clustering and EM for parameterized Gaussian mixtures + Poisson noise. Written in Fortran and interfaced to the S-PLUS commercial software package and the R langu
  
• StatCodes - Metasite with links to source codes in Fortran and C implementing statistical methods which are freely available on the Internet. The codes are chosen for their potential utility for research in astronomy and other physical sciences.
  
• Studies of Random Numbers - Fortran 77 codes by Ilpo Vattulainen.
  
• DECORANA and TWINSPAN - Fortran 77 programs for correspondence analysis, by Jari Oksanen.
  
• Kalman smoothing routine for Hodrick-Prescott filter - By E. Prescott.
  
• I-NoLLS Least-Squares Fitting Program - Fits the parameters of physical models to (experimental) data using an Interactive Non-Linear Least Squares procedure. The code, by Mark M. Law and Jeremy M. Hutson, is designed to be highly modular.
  
• University of California, Berkeley, Econometrics Laboratory Fortran Software - Econometrics codes.
  
• GARCH Estimates: Analytic Derivatives - By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.
  
• Cluster Analysis - Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan.
  
• ARMA and Kalman Filter model estimation - By J. Newton
  
• SNP: A Program for Nonparametric Time Series Analysis - Code by A. Ronald Gallant and George Tauchen for nonparametric time series analysis that employs a Hermite polynomial series expansion to approximate the conditional density of a multivariate process.
  
• Multivariate normal or t-probabilities - Fortran and SAS/IML programs by Frank Bretz.
  
• STSPAC - Fortran 77 code for statistics by Charlie Reeve, covering probability distributions, random number generation, least-squares calculations, and other topics.
  
• DATAPAC - Fortran 77 statistical library by James Filliben.
  
• Tobit and Adjusted Maximum Likelihood Estimation - Fortran 77 code and documentation by Tim Cohn.
  
• Quality Control and Engineering Statistics code - For a course, authored by Karen Jensen, F. F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, Andy Chiang, and Brandon L. Paris.
  
• PIRLS - Poisson Iteratively Reweighted Least Squares Program for Additive, Multiplicative, Power, and Non-linear Models, by Leif E. Peterson, Journal of Statistical Software v2 (1997).
  
• SNOB - Mixture modelling by Minimum Message Length (MML).
  
• Neural Network Freeware - Fortran 90 code using the backpropagation algorithm to fit a neural network to pairs of input vectors and target vectors. Numerical Recipes code is used for singular value decomposition.
  
• RRGIBBS - Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite.
  
• Monahan statistics code - Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan
  
• Geostatistical Software LIBrary (GSLIB) - Codes in Fortran 90 and 77. Accompanies the book "GSLIB: Geostatistical Software Library and User's Guide" by Clayton Deutsch and André Journel.
  
• Software for Stochastic Simulation Input Modeling - Fortran 77 code and Windows executables for fitting Johnson distributions, Poisson processes, and other topics. By James R. Wilson.
  
• Richard Chandler's software - Fortran 77 code for random number generation (uniform, exponential, normal, binomial, poisson, geometric, gamma, beta, negative binomial and Weibull), and GLIMCLIM (Generalised Linear Modelling of daily climate sequences).
  
• Group Sequential Tests - Programs from book by Christopher Jennison.
  
• Permutation Methods: A Distance Function Approach - Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.
  
• Generalized Maximum Entropy Leuven Estimator (MEL) under Severe Multicollinearity Conditions : A Computer Program - Fortran 77 code to compute the estimators of multiple regression parameters by a family of Maximum Entropy Leuven Estimators under severe multicollinearity.
  
• Department of Economics Data & Software - Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.
  
• Bispectrum Test - Code for bispectrum test of Melvin Hinich.
  
• Statistical programs - Code for "Invariant Small Sample Confidence Intervals For The Difference Of Two Success Probabilities" and "Bootstrap Prediction and Confidence Bands: a Superior Statistical Method for Analysis of Gait Data", by Thomas Santner.
  
• Numerical Methods for Estimation and Inference in Bayesian VAR-models - Fortran 77 code for paper by K. Rao Kadiyala and Sune Karlsson.
  
• CANOCO - Program for canonical community ordination by [partial] [detrended] [canonical] correspondence analysis, principal components analysis and redundancy analysis. [Commercial]
  
• Data Analysis - Fortran 77 codes by Volker Blobel for sorting, linear algebra, random number generation, least squares fitting with constraints and with many variables, and unfolding of measured distributions.
  
• Research Tools Developed by the Mann Group - Fortran 77 code for the Mann and Lees Multi-Taper Method (MTM) and Mann and Park MTM-SVD Multivariate Signal Analysis.
  
• Classical Item Analysis - Program by Seock-Ho Kim for classical item analysis for tests that consist of multiple-choice or true-false items. In addition to item statistics for each item response, the program provides summary statistics of the total score, coefficient alpha, and te
  
• James MacKinnon - Fortran codes for cointegration tests and other time series topics.
  
• Logic Regression - In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS.
  
• Spatial Statistics - Fortran 90 code by Kelley Pace.
  
• Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data - Fortran 77 programs by Yong Zeng.
  
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator - By Wouter J. Denhaan.
  
• LSQR - Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse.
  
• Robust Estimation of Simple Statistics - By T. Beers, K. Flynn, and K. Gebhardt.
  
• Fast Statistical Methods - Fortran 90 and 77 codes by W.H. Press and G.B. Rybicki, for fast inversion matrices of an exponential form arising from autocorrelation functions of Ornstein-Uhlenbeck processes.
  
• Multivariate Normal and Multivariate t Integrals Over Convex Regions - Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3.
  
• RedFit - Fortran 90 code by Michael Schulz and Manfred Mudelsee to estimate red-noise spectra directly from unevenly spaced time series, without requiring interpolation.
  
• Recipe: REGression Confidence Intervals for PErcentiles - Determines one-sided tolerance limits (in particular, A- and B-basis material property values) for regression models in the presence of between-batch variability. By Mark Vangel.
  
• Bayesian Analysis, Computation and Communication (BACC) - By John Geweke.
  
• Multivariate Analyses - Fortran 90 codes for univariate and multivariate random number generation, computation of simple statistics, covariance matrices, principal components analysis, multiple regression, and jacknife cross-validation, by Dan Hennen.
  
• Monte Carlo Methods in Bayesian Computation - Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.
  
• Time-Varying Autoregression (TVAR) - 404 - 2007.4.1 - Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's.
  
• Smoothing Splines - RKPACK and RKPACK-II are collections of RATFOR (rational FORTRAN) routines by Chong Gu for Gaussian regression using smoothing splines, penalized likelihood density and hazard estimation.
  
• Clusfind - Complete code of six stand-alone Fortran programs for cluster analysis, described and illustrated in L. Kaufman and P.J. Rousseeuw (1990), "Finding Groups in Data: an Introduction to Cluster Analysis", Wiley.
  
• AR and ARFIMA models - Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers.
  
• Geophysical Data Analysis - Fortran 77 codes to estimate cross and power spectra by sine multitapers and to plot x-y data.
  
• Computer Intensive Statistical Methods - Fortran 77 programs from book by Urban Hjorth: cross validation of forward selection, forward validation, and bootstrapping.
  
• Econometrics - Code for Bayesian analysis of long memory and persistence using ARFIMA models, benchmark priors for Bayesian model averaging, estimation of demand systems through consumption efficiency, model uncertainty in cross-country growth regressions, and Bayesian
  
• Autoregressive to Anything (ARTA) - Code by Marne C. Cario and Barry L. Nelson to simulate stationary time series with arbitrary marginal distributions and feasible autocorrelation structure specified through lag p.
  
• Gaussian Random Number Generator - Code to generate autocorrelated Gaussian variates by S. Tim Hatamian.
  
• ISOPAC - CLUSPAC for cluster analysis, TSPAC for time-series segmentation, and IMPAC for segmenting digital images, by Stanley L. Sclove.
  
• A Bounded Influence Estimation and Outlier Detection for ARCH/GARCH Models With an Application to Foreign Exchange Rates - By Chihwa Kao.
  
• Simultaneous Nonparametric Regression - By Laurie Davies.
  
• Garland B. Durham - Fortran 95 code to estimate of continuous-time diffusion processes, including stochastic volatility models.
  
• Stochastic Differential Equations - Fortran/Matlab program by Andrea Barreiro to integrate SDE's using Euler's method.
  
• Progress - Robust regression.
  
• StatLib Index - See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code.
  
• Statistical Computing - Fortran 90 and Matlab codes for course by Lynne Seymour.
  
• Demo Fortran90 Multilayer Perceptron Backprop Code - By Phil Brierley. A genetic algorithm code is at http://www.philbrierley.com/main.html&code/gafortran.html&code/codeleft.html .
  
• Cloud Slice - Fortran 77 and IDL codes for time series regression and detrending.
  
• Parallel Random Forests (PARF) - Fortran 90 for a classification algorithm.
  
• ISMLIB Software - Institute of Statistical Mathematics Software and Data Library.
  
  

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