GPE2 is a package of econometric procedures written in GAUSS.
There are four main functions, driven by a set of global control variables:
- Reset
Set up global control (input and output) variables.
- Estimate
Estimation of a linear or generalized linear model.
- Forecast
Forecasting based on a linear or generalized linear model.
- Optimize
Estimation of a nonlinear model.
Selected Global Control Variables:
- Input Control Variables
_names, _begin, _end, _rstat, _rtest, _rplot, _rlist,
_const, _restr, _vcov, _hacv, _weight, _ivar, _dlags, _pdl,
_eq, _id, _ar, _ma, _arma, _garch, _acf, _acf2,
_nlopt, _method, _iter, _tol, _step, _conv,
_fbrgin, _fend, _fstat, _fplot
- Output Control Variables
__y, __x, __e, __b, __vb, __v, __rss, __r2,
__f, __vf, __t, __a, __va
A typical GPE program
Example: Lesson 3.4