MATLAB and R code associated with our book Statistical Modeling and Computation (joint with Dirk Kroese) is available at the book website.

If you want to download the code associated with a particular paper, it will be easier to locate it at my research page. Below I organize the code by topics.

Please contact me if you find any errors.

Stochastic Volatility and GARCH Models

Vector Autoregressions and VARMAs

Inflation Modeling

Output Gaps

Marginal Likelihood and Deviance Information Criterion

Other Sources

A number of econometricians have provided code associated with their books or papers: