Some computer code I use in my studies
The code in this web page is initially written for own research purposes.
It is then submitted for public, non-commercial use. There are no performance guarantees.
Please acknowledge this code (and its author and the authors of relating
paper) if you find it useful and use it extensively in your work.
I am in fond of Iris-toolbox that is an object oriented Toolbox to solve, simulate, estimate, etc. dynamic models. You may find some useful code (by others and me) in Iiris toolbox tutorials.
Old stuffThe Gauss program file related to the paper
"Testing for a Valid Normalization of Cointegrating Vectors in Vector Autoregressive Processes"
(together with Ritva Luukkonen and Pentti Saikkonen, Journal of Business
and Economic Statistics, 17, 1999). The Gauss data files: IGAUSS.DHT
and IGAUSS.DAT. Save the code and the data files to the same
directory. You should be able to run the code (namely the file NORM.G) directly
without any extra modules of the Gauss.
I use Gauss version 3.2.37 but this code probably runs with earlier version too.
Please, notify the above disclaimer!
The code and data of the paper:
Antti Ripatti and Pentti Saikkonen (2001) "Vector Autoregressive Processes
with Nonlinear Time Trends in Cointegrating Relations",
The data and the gauss code is packed into the zip-file called
NONLIN.ZIP. Information in this page can also be found in
Other files are (THESE CANNOT BE DOWNLOADED SEPARATELY! Restriction put by Geocities.)
In order to replicate the results, please, have the Gauss for Windows
version 3.2.37 (or higher). You also need the CML library.
Gauss ATOG code to generate gauss data set. Use command (in the dos-prompt)
Data organized by observations. The detailed description is below.
Variables are separated by spaces and tabs.
- IGAUSS.DAT, IGAUSS.DHT:
Gauss binary format data sets. These are used by .g files.
The main gauss program file for computing most of the results in
the paper. You need gauss CML library to be able to run the program.
The gauss program of computing the test for zeros in phi-vector
(see the paper for exact meaning).
You need gauss CML library to be able to run the program.
The gauss program for computing part of the nonlinear tests reported
in the table 1 of the paper.
Some general purpose gauss procedures that are used by .g files.
Please, do not use these general purpose code for other purposes but replicating
our results. You may ask the permit to use the code or more such
a code from
antti.ripatti@b o f.fi (remove spaces)
or consult (I may add my gauss tools to my web pages)
- MLAGNR.fmt, SAVDELTA.fmt:
Some gauss matrix files which contain initial values for the parameters.
Place all the files to the same directory and set that directory as
the working directory of the gauss program (properties tag in the gauss
The variable ordering in the file IGAUSS.TXT
- Paiva, Date in the format yyyyMmm
- it, a variable not used in the study
- i1m, 1 month money market rate (I1M)
- iown, Own-yield of the Finnish M3 (IOWN)
- iownt, a variable not used in the study
- imaxt, a variable not used in the study
- DSPEC, a variable not used in the study
- ibond, Bond rate (IBOND)
- i12m, a variable not used in the study
- iloan, a variable not used in the study
- i3m, 3 months money market rate (I3M)
My Home Page
Last update 3 September 2001
© 1997-2001 Antti Ripatti