Aaron Smith
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Associate Professor 3103 Social Sciences & Humanities Office Hours: By Appointment Phone: (530) 752-2138 Fax: (530) 752-5614 |
Gauss Code Page
- Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures, Journal of Applied Econometrics, 2005, 20(3): 405-422, 2005.
Click here for code and data.
- Level Shifts and the Illusion of Long Memory in Economic Time Series, Journal of Business and Economic Statistics, 23(3):321-335, 2005. (note: this program also works with OxGauss, which is available free here)
Code: modGPH.gau
Data: sandp.dat