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Matlab code: Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007) (with Denis Tkachenko, Advances in Econometrics: DSGE Models in Macroeconomics – Estimation, Evaluation and New Developments, 2012)
It can be used to replicate the results on identification, estimation, inference and model diagnostics reported in the paper. 



Matlab code: Identification and Frequency Domain Quasimaximum Likelihood Estimation of Linearized Dynamic Stochastic General Equilibrium Models, (with Denis Tkachenko, Quantitative Economics, 2012). 

It can be used to replicate the findings reported in Section 3.2 in the paper.


R code: A Test against Spurious Long Memory, (Journal of Business and Economic Statistics, 2011). 

It has a main file, an optional prewhitening procedure (whittenaic), and a dataset for illustration.




This code is a companion to the following two papers:
Oka, Tatsushi and Qu, Zhongjun (2011): "Estimating Structural Changes in Regression Quantiles," Journal of Econometrics, 162, 248267.
Qu, Zhongjun, (2008): "Testing for structural change in regression quantiles," Journal of Econometrics, 146, 170184.
It contains procedures that can be used to: (1) test and determine the numbers of breaks, (2) estimate break dates and their confidence intervals, and (3) estimate the coefficients and their standard errors. It can also be used to replicate the findings in the 2011 paper mentioned above.




This code contains procedures to do the following for a multiequations model that allows multiple structural changes and arbitrary restrictions on the coefficients: 1) Estimate the model and construct confidence intervals for the estimates (break dates and coefficients); 2) Compute various tests for the presence of breaks; 3) Estimate and construct confidence intervals for the break dates of a two equations locally ordered break model (and construct the tests for the presence of breaks).


GAUSS code: Estimating Restricted Structural Change Models (with Pierre Perron, Journal of
Econometrics, 2006)


This code contains procedures to do the following for a single equation model that allows multiple structural changes and arbitrary restrictions on the coefficients: 1) Estimate the model and construct confidence intervals for the estimates (break dates and coefficients); 2) Compute the supF test for breaks with restrictions; 3) Simulate the critical values of the restricted structural change supF test.


