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by joff
Fri Mar 16, 2018 4:09 am
Forum: Program Repository
Topic: Gaussian copula - toy example
Replies: 0
Views: 555

Gaussian copula - toy example

This is just a simple example of Gaussian copula written for educational purposes but maybe someone will find it usefull. 'Example of Gaussian copula with arbitrary marginal distributions (simulation and estimation)' wfcreate u 5000 scalar n = @obssmpl scalar k = 3 'Simulate k series using standard ...
by joff
Fri Jan 05, 2018 5:16 am
Forum: Add-in Support
Topic: BBQ add-in
Replies: 12
Views: 1580

Re: BBQ add-in

Hi. I have tested the add-in using US GDP data from 1947q1 to 2017q3 over the whole sample the add-in works fine. However, when I play with the sample lenght I get two error messages (replication files are attached): - Non numeric argument (e.g. for sample 1985q1 2017q3) - Division by zero (e.g. for...

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