COde

• Matlab function STI_10approx.m estimates the Stochastic Tail Index model.

• Matlab function gmm_sac_refine.m calculates the HCCME for SARAR(1,1). See sac_ref_d.m for an illustration.

• Matlab function ste_impact.m calculates (three) standard errors for effects estimates in SAR models. See impact_d.m for an illustration.

• R package sdpdlm implements robust tests for specification search in SDPD models.

Note: The matlab .m files run with the spatial econometrics toolbox written by James P. LeSage.