Morten Ørregaard Nielsen
Software

On this page you will find computer programs, data sets, etc., for many of my papers. These are provided as is with no warranty.

Software for cluster-robust inference

twowayjack Stata program (ado, help, data etc) for jackknife inference with two-way clustering

• 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).

logitjack Stata program (ado, help, data etc) for jackknife and bootstrap cluster-robust inference in logit models

• 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).

summclust Stata program (ado, help, data etc) for cluster summary statistics and cluster jackknife

• 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).

Stata replication files cluster jackknife and related bootstrap procedures

• 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.

Stata .do file to perform tests for the level of clustering

• Latest version is March, 2023.

• Replicates Table 1 of MacKinnon, Nielsen, and Webb (2023, Journal of Econometrics, Testing).

• Download program here.

Stata .do files and data files for cluster-robust inference

• Latest version is April, 2022.

• Replicates empirical example in MacKinnon, Nielsen, and Webb (2023, Journal of Econometrics, Guide).

• Download data and programs here.

Stata .do file to perform bootstrap procedures for two-way clustered data

• Latest version is September, 2019.

• Replicates Table 3 of MacKinnon, Nielsen, and Webb (2021, Journal of Business and Economic Statistics).

• Download program here.

• See also the Stata package boottest here.

Software for time series econometrics

R program for estimation and testing in the fractionally cointegrated VAR model

• 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:

  • Morin, Nielsen, and Popiel (2021, working paper),

  • Johansen and Nielsen (2012, Econometrica).

Data and Gauss code to perform local Whittle tests in the presence of level breaks

• Latest version is January, 2021.

• Replicates Iacone, Nielsen, and Taylor (2022, Journal of Business and Economic Statistics).

• Download data and programs here.

Computer programs for the ARCH(\infty) FFT algorithm (Matlab, Ox, and R)

• Latest version is February 18, 2020 

• Reference: Nielsen and Noel (2021, Journal of Time Series Analysis). 

• Download programs here. 

Data and R code to perform variance ratio test for the number of stochastic trends in functional time series

• Latest version is September, 2019.

• Replicates Table 5 of Nielsen, Seo, and Seong (2023, Econometric Theory).

• Download data and program here.

Data files and Ox programs for adaptive CSS estimation

• Latest version is August, 2019. 

• Replicates Tables 1-5 of Cavaliere, Nielsen, and Taylor (2022, Journal of Business and Economic Statistics).

• Download data and programs here.

Matlab program for estimation and testing in the fractionally cointegrated VAR model

• Latest version is 1.4.0a (May 1, 2018). 

• This program replaces an earlier program by Nielsen and Morin, see here. 

• References:

  • Nielsen and Popiel (2018, QED working paper 1330),

  • Johansen and Nielsen (2012, Econometrica).

• Download Matlab software here. 

Computer programs (Matlab) and data for replication of forecasting results in Nielsen and Shibaev (2018).

• Latest version is August, 2016 (added missing file September 2019). 

• Reference: Nielsen and Shibaev (2018, Journal of the Royal Statistical Society Series A). 

• Download programs here.

Matlab program for nearly efficient likelihood ratio tests of the unit root hypothesis

• Written with Michal Popiel.

• Latest version is April 3, 2015. 

• Reference: Jansson and Nielsen (2012, Econometrica). 

• Download Matlab program here. 

• 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.

Computer program to calculate critical values and P values for fractional unit root and cointegration tests

• Latest version is May, 2012 (bug fixed April 28, 2014). 

• References:

  • MacKinnon and Nielsen (2014, Journal of Applied Econometrics),

  • Johansen and Nielsen (2012, Econometrica).

• Download program here. 

• 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. 

Computer programs for the fast fractional difference algorithm (Matlab, Ox, and R)

• Latest version is May 10, 2013. 

• Reference: Jensen and Nielsen (2014, Journal of Time Series Analysis). 

• Download programs here. 

Ox programs to calculate NBLS, FMNBLS, and other narrow-band least squares estimators

• Latest version is July 13, 2012. 

• References:

  • Nielsen and Frederiksen (2011, Econometrics Journal),

  • Christensen and Nielsen (2006, Journal of Econometrics).

• Download Ox programs here. 

Ox program to calculate nonparametric fractional cointegration rank tests

• Latest version is July, 2009. 

• Reference: Nielsen (2010, Journal of Econometrics). 

• Download Ox program here. 

Matlab program to implement exact local Whittle cointegration rank determination procedure

• Latest version is February, 2007 (typo corrected June, 2013). 

• Reference: Nielsen and Shimotsu (2007, Journal of Econometrics). 

• Download Matlab program here.