On this page you will find computer programs, data sets, etc., for many of my papers. These are provided as is with no warranty.
Latest version is June, 2024.
The latest release version is on SSC here.
The latest development version can be downloaded from Github.
Data and replication files for the paper are available here.
Reference: MacKinnon, Nielsen, and Webb (2024, ArXiv:2406:08880).
Latest version is May, 2024.
The latest release version is on SSC here.
The latest development version can be downloaded from Github.
Data and replication files for the paper are available here.
Reference: MacKinnon, Nielsen, and Webb (2024, ArXiv:2406.00650).
Latest version is June, 2023.
The latest release version is on SSC here.
The latest development version can be downloaded from Github.
Reference: MacKinnon, Nielsen, and Webb (2023, Stata Journal).
Latest version is February, 2023.
Replicates empirical examples in MacKinnon, Nielsen, and Webb (2023, Journal of Applied Econometrics).
Download from the Journal of Applied Econometrics data archive.
Latest version is March, 2023.
Replicates Table 1 of MacKinnon, Nielsen, and Webb (2023, Journal of Econometrics, Testing).
Latest version is April, 2022.
Replicates empirical example in MacKinnon, Nielsen, and Webb (2023, Journal of Econometrics, Guide).
Latest version is September, 2019.
Replicates Table 3 of MacKinnon, Nielsen, and Webb (2021, Journal of Business and Economic Statistics).
See also the Stata package boottest here.
Latest version is available on CRAN and can be loaded using install.packages("FCVAR") and library("FCVAR").
Latest development version can be downloaded using devtools from GitHub .
References:
Latest version is January, 2021.
Replicates Iacone, Nielsen, and Taylor (2022, Journal of Business and Economic Statistics).
Latest version is February 18, 2020
Reference: Nielsen and Noel (2021, Journal of Time Series Analysis).
Latest version is September, 2019.
Replicates Table 5 of Nielsen, Seo, and Seong (2023, Econometric Theory).
Latest version is August, 2019.
Replicates Tables 1-5 of Cavaliere, Nielsen, and Taylor (2022, Journal of Business and Economic Statistics).
Latest version is 1.4.0a (May 1, 2018).
This program replaces an earlier program by Nielsen and Morin, see here.
References:
Latest version is August, 2016 (added missing file September 2019).
Reference: Nielsen and Shibaev (2018, Journal of the Royal Statistical Society Series A).
Written with Michal Popiel.
Latest version is April 3, 2015.
Reference: Jansson and Nielsen (2012, Econometrica).
Anton Skrobotov (Russian Presidential Academy of National Economy and Public Administration) has translated the Matlab program into Ox and added some lag-order selection. His Ox program can be downloaded here.
Samuel Brien has written a version with full maximization of the likelihood as in Brien, Jansson, and Nielsen (2022). His Matlab program can be downloaded here.
Latest version is May, 2012 (bug fixed April 28, 2014).
References:
A non-interactive version of the program, useful for inclusion in bigger programs or in simulations, has been made available by Jason Rhinelander for both Windows, Linux, etc, and can be downloaded from his website here, or for the windows version 1.04 here.
Latest version is May 10, 2013.
Reference: Jensen and Nielsen (2014, Journal of Time Series Analysis).
Latest version is July 13, 2012.
References:
Latest version is July, 2009.
Reference: Nielsen (2010, Journal of Econometrics).
Latest version is February, 2007 (typo corrected June, 2013).
Reference: Nielsen and Shimotsu (2007, Journal of Econometrics).