Statistics and Econometrics

Tests for AR(1) Parameter in Regression Models with Autocorrelated Errors. Univariate and multivariate Bayesian ARFIMA. By Nalini Ravishanker and coworkers.
http://merlot.stat.uconn.edu/~nalini/programs.html

ARMA and Kalman Filter model estimation

By J. Newton
http://stat.tamu.edu/ftp/pub/jnewton/load.f

Autoregressive model estimation

Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.
http://www.uinet.or.jp/~ishiyasu/wada/Airc.f

Clusfind

Complete code of six stand-alone Fortran programs for cluster analysis, described and illustrated in L. Kaufman and P.J. Rousseeuw (1990), "Finding Groups in Data: an Introduction to Cluster Analysis", Wiley.
http://www.stats.ox.ac.uk/~ripley/PRbook/clusfind

Cluster Analysis

Cluster generation, hierarchical clustering with influence detection, and K-Means clustering with influence detection, by Glenn Milligan.
http://www.pitt.edu/~csna/Milligan/readme.html

Computer Assisted Analysis of Mixtures (C.A.MAN)

Program designed to analyse mixtures of densities from the exponential family.
http://ftp.ukbf.fu-berlin.de/sozmed/caman.html

DECORANA and TWINSPAN

Fortran 77 programs for correspondence analysis, by Jari Oksanen.
http://cc.oulu.fi/~jarioksa/softhelp/ceprog.html

COVAR

Computer Program for Multifactor Relative Risks and Tests of Hypotheses Using a Variance-Covariance Matrix from Linear and Log-Linear Regression, by Leif E. Peterson, Journal of Statistical Software v2 (1997).
http://www.jstatsoft.org/v02/i04/

Flexible Least Squares (FLS)

Developed by Robert E. Kalaba and Leigh Tesfatsion, implements the flexible least squares (FLS) approach to time-varying linear regression proposed by Kalaba and Tesfatsion in "Time-Varying Linear Regression Via Flexible Least Squares," Computer
http://www.econ.iastate.edu/tesfatsi/fls.htm

Fortran Code for L-p Distance Statistic

Subroutines by David Allen to calculate the L-1 and L-2 distances between two density estimates. The L-1 statistic has been used successfully to testing the hypothesis that two samples come from the same distribution.
http://www.eou.edu/~dallen/lp_dist_code.html

Monahan statistics code

Fortran 95 code for the book Numerical Methods of Statistics, by John Monahan
http://www4.stat.ncsu.edu/~monahan/aug00/toc.htm

Multivariate Analyses

Fortran 90 codes for univariate and multivariate random number generation, computation of simple statistics, covariance matrices, principal components analysis, multiple regression, and jacknife cross-validation, by Dan Hennen.
http://www.esg.montana.edu/eguchi/multivariate/#Fortran

Multivariate Normal and Multivariate t Integrals Over Convex Regions

Fortran 90 code by Paul N. Somerville, appearing in the Journal of Statistical Software volume 3.
http://www.jstatsoft.org/v03/i04/

Nonparametric Statistics

Local polynomial regression fitting with ridging, kernel regression fitting with local and global bandwidth optimization, and kernel density estimation with global bandwidth selection.
http://www.unizh.ch/biostat/Software/

PIRLS

Poisson Iteratively Reweighted Least Squares Program for Additive, Multiplicative, Power, and Non-linear Models, by Leif E. Peterson, Journal of Statistical Software v2 (1997).
http://www.jstatsoft.org/v02/i05/

Quality Control and Engineering Statistics code

For a course, authored by Karen Jensen, F. F. Gan, Stephen Crowder, Thomas Lorenzen, Keith Crawford, Andy Chiang, and Brandon L. Paris.
http://www.public.iastate.edu/~vardeman/stat531/531software.html

Robust Estimation of Simple Statistics

By T. Beers, K. Flynn, and K. Gebhardt.
http://www.pa.msu.edu/ftp/pub/beers/posts/rostat/rostat.f

Robust Statistics

Code for regression and covariance matrix estimation, from the Antwerp Group On Robust & Applied Statistics.
http://www.agoras.ua.ac.be/Robustn.htm

Spatial Statistics

Fortran 90 code by Kelley Pace.
http://www.spatial-statistics.com/software_index.htm

STARPAC - Statistical & Time Series Package

Fortran 77 code for times series and least-squares regression including nonlinear regression.
http://www.scd.ucar.edu/softlib/STARPAC.html

Statistical programs

Code for "Invariant Small Sample Confidence Intervals For The Difference Of Two Success Probabilities" and "Bootstrap Prediction and Confidence Bands: a Superior Statistical Method for Analysis of Gait Data", by Thomas Santner.
http://www.stat.ohio-state.edu/~tjs/

Statistics

Code by Laurie Davies for modality of spectral densities, ANOVA, and nonparametric regression: runs, taut strings, and local extremes.
http://wwwstat.mathematik.uni-essen.de/~davies/

StatLib Index

See Applied Statistics (algorithms of the Royal Statistical Society) and General Archives for a considerable amount of Fortran code.
http://lib.stat.cmu.edu/

GARCH Estimates: Analytic Derivatives

By Gabriele Fiorentini, Giorgio Calzolari, and Lorenzo Panattoni, for a 1996 paper in the Journal of Applied Econometrics.
http://qed.econ.queensu.ca/jae/1996-v11.4/fiorentini-calzolari-panattoni/fcp-progs.zip

Model-Based Clustering Software (MCLUST/EMCLUST)

Model-based clustering, discriminant analysis, and density estimation including hierarchical clustering and EM for parameterized Gaussian mixtures + Poisson noise. Written in Fortran and interfaced to the S-PLUS commercial software package and the R langu
http://www.stat.washington.edu/fraley/software.html/

EMMIX

Fits a mixture model of multivariate normal or t-distributions to a user supplied data set via the EM algorithm. By Geoff McLachlan.
http://www.maths.uq.edu.au/~gjm/emmix/EMMIX.f

Finite Mixtures

NOCOM estimates the parameters (means, variance, proportions of components) of a mixture of normal distributions for independent observations (quantitative data). COMPMIX assumes a mixture of normal distributions, with parameters for each component in tha
http://linkage.rockefeller.edu/ott/nocom.htm

SNOB

Mixture modelling by Minimum Message Length (MML).
ftp://ftp.cs.monash.edu.au/software/snob/Snob.README

Department of Economics Data & Software

Programs for estimating univariate and multivariate GARCH models in Fortran 77 and Gauss.
http://econ.ucsd.edu/software/ARCH.html

Nonparametric Kernel Regression

Code for Monte Carlo simulation with discrete and continuous outcomes, by Tom Mroz.
http://www.unc.edu/~mroz/programs.html

Nonlinear Time Series Analysis (TISEAN)

Code in C and Fortran for the analysis of time series with methods based on the theory of nonlinear deterministic dynamical systems (chaos).
http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.1/index.html

Cubic Splines

Univariate and multivariate spline regression, by Dolph Schluter.
http://www.zoology.ubc.ca/~schluter/splines.html

Econometrics

Fortran 95 codes by Karin Meyer: RRGIBBS does simple random regression analyses via Gibbs sampling, and PDMATRIX makes matrices positive definite.
http://agbu.une.edu.au/~kmeyer/rrg_main.html

Hypothesis Testing using Shape-Restricted Regression

Code for convex and monotone regression, by Mary C. Meyer.
http://www.stat.uga.edu/~mmeyer/codehyp.html

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator

By Wouter J. Denhaan.
http://econ.ucsd.edu/~wdenhaan/varhac.html

DFREML

Suite of programs to estimate (co)variance components or covariance functions, and the resulting genetic parameters, by Restricted Maximum Likelihood fitting an animal model, by K. Meyer.
http://agbu.une.edu.au/~kmeyer/dfreml.html

Department of Biomathematics, University of Texas M. D. Anderson Hospital

Random numbers, distributions, and many more (dcflib, ranlib, ...)
http://odin.mdacc.tmc.edu/biomath/anonftp/

Logic Regression

In Fortran 77, by Ingo Ruczinski and Charles Kooperberg. Also incorporated into packages for R and S-PLUS.
http://bear.fhcrc.org/~ingor/logic/html/program.html

Multivariate Data Analysis

Code for principal components, partitioning, clustering, discriminant analysis, multidimensional scaling, Kohonen self-organizing map, sorting, errors-in-variable regression, minimal spanning trees, and GMDH, by Fionn Murtagh.
http://astro.u-strasbg.fr/~fmurtagh/mda-sw/

Progress

Robust regression.
http://www.wis.kuleuven.ac.be/stat/Programs/progress.f

Kalman smoothing routine for Hodrick-Prescott filter

By E. Prescott.
http://dge.repec.org/codes/hpfilter.for

Recipe: REGression Confidence Intervals for PErcentiles

Determines one-sided tolerance limits (in particular, A- and B-basis material property values) for regression models in the presence of between-batch variability. By Mark Vangel.
http://www.itl.nist.gov/div898/software/recipe/homepage.html

Simultaneous Nonparametric Regression

By Laurie Davies.
http://wwwstat.mathematik.uni-essen.de/~davies/cmprnprg.html

Smoothing Splines

RKPACK and RKPACK-II are collections of RATFOR (rational FORTRAN) routines by Chong Gu for Gaussian regression using smoothing splines, penalized likelihood density and hazard estimation.
http://www.stat.purdue.edu/~chong/software.html

Multivariate normal or t-probabilities

Fortran and SAS/IML programs by Frank Bretz.
http://www.bioinf.uni-hannover.de/~bretz/

Simulating Rectangle Multivariate Normal Probabilities and Derivatives

By Vassilis Hajivassiliou.
http://econ.lse.ac.uk/~vassilis/pub/simulation/fortran/

Random Number Generator

KISS RNG by George Marsaglia
http://www.fortran.com/kiss.f90

I-NoLLS Least-Squares Fitting Program

Fits the parameters of physical models to (experimental) data using an Interactive Non-Linear Least Squares procedure. The code, by Mark M. Law and Jeremy M. Hutson, is designed to be highly modular.
http://www.abdn.ac.uk/~che194/research/inolls/index.html

Simulating stationary and non-stationary Gaussian random processes

By Grace Chan.
http://www.stat.uiowa.edu/~grchan/index.html#research

Time Series Analysis and Forecasting Techniques

By Hossein Arsham.
http://obelia.jde.aca.mmu.ac.uk/resdesgn/arsham/opre330Forecast.htm

Simulation from the Multivariate Normal and t Distributions Subject to Linear Constraints

By John Geweke.
http://www.biz.uiowa.edu/faculty/jgeweke/papers/paper47/eff.f

Studies of Random Numbers

Fortran 77 codes by Ilpo Vattulainen.
http://www.physics.helsinki.fi/~vattulai/rngs.html

Time-Varying Autoregression (TVAR)

Software by Raquel Prado and Mike West for fitting, analysis and exploration of time series using classes of TVAR's.
http://www.stat.duke.edu/~mw/tvar.html

Z-transformed Discrete Correlation Function algorithm (ZDCF)

By Tal Alexander.
http://www.weizmann.ac.il/home/tal/zdcf/zdcf_v1.2.f

VPLX: Variance Estimation for Complex Samples

Program from the U.S. Census Bureau for the calculation of variances for complex sample designs through replication.
http://www.census.gov/sdms/www/vwelcome.html

University of California, Berkeley, Econometrics Laboratory Fortran Software

Econometrics codes.
http://elsa.berkeley.edu/fortran_progs.shtml

Monte Carlo Methods in Bayesian Computation

Fortran 77 code to accompany book by Ming-Hui Chen, Qi-Man Shao, and Joseph G. Ibrahim.
http://merlot.stat.uconn.edu/~mhchen/mcbook/

Permutation Methods: A Distance Function Approach

Code for book by Paul W. Mielke Jr. and Kenneth J. Berry.
http://www.stat.colostate.edu/~mielke/permute.html

StatCodes

Metasite with links to source codes in Fortran and C implementing statistical methods which are freely available on the Internet. The codes are chosen for their potential utility for research in astronomy and other physical sciences.
http://www.astro.psu.edu/statcodes/

Statistical Computing

Fortran 90 and Matlab codes for course by Lynne Seymour.
http://www.stat.uga.edu/~seymour/8060/course.html

Mode Testing

By Michael C. Minnotte. Uses a random number generator (RNG) from NAG, but another RNG can be used.
http://math.usu.edu/~minnotte/research/software/tme.f

James MacKinnon

Fortran codes for cointegration tests and other time series topics.
http://qed.econ.queensu.ca/pub/faculty/mackinnon/

Autoregressive to Anything (ARTA)

Code by Marne C. Cario and Barry L. Nelson to simulate stationary time series with arbitrary marginal distributions and feasible autocorrelation structure specified through lag p.
http://users.iems.nwu.edu/~nelsonb//ARTA/

SNP: A Program for Nonparametric Time Series Analysis

Code by A. Ronald Gallant and George Tauchen for nonparametric time series analysis that employs a Hermite polynomial series expansion to approximate the conditional density of a multivariate process.
http://www.econ.duke.edu/~get/snp.html

Bayesian Analysis, Computation and Communication (BACC)

By John Geweke.
http://www2.cirano.qc.ca/~bacc/bacc98/index.html

Mersenne Twister in Fortran

Random number generators in Fortran.
http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/VERSIONS/FORTRAN/fortran.html

Phil Everson research

TLNise: Two-Level Normal independent sampling estimation. Rcwish generates random draws from the Wishart and related distributions.
http://www.swarthmore.edu/NatSci/peverso1

Geostatistical Software LIBrary (GSLIB)

Codes in Fortran 90 and 77. Accompanies the book "GSLIB: Geostatistical Software Library and User's Guide" by Clayton Deutsch and André Journel.
http://www.gslib.com/

Raw General Linear Model (GLM)

Code to accompany paper "Rolling Your Own: Linear Model Hypothesis Testing and Power Calculations via the Singular Value Decomposition".
http://www1.fpl.fs.fed.us/glm.html

Predictor Sort Confidence Interval Simulation

Program by Steve Verrill that performs a simulation to test how well corrected confidence intervals based on blocked and unblocked ANOVAs perform in a predictor sort sampling ANOVA. It also estimates coverages for confidence intervals based on an analysis
http://www1.fpl.fs.fed.us/psconf.html

Tight T

Program to determine appropriate sample sizes, allocate specimens, and analyze results in the case in which a response predictor is used to sort the specimens prior to treatment.
http://www1.fpl.fs.fed.us/papers.html#Tight_T

Nonparametric Estimation

Calculates nonparametric estimates of percentiles, associated confidence intervals, and tolerance limits of the percentiles from a data set. It can also give the order statistics needed for any sample size to create the same estimates.
http://www1.fpl.fs.fed.us/nonpar.html

Exact Confidence Bounds on a Normal Distribution Coefficient of Variation

Obtains a two-sided confidence interval on a coefficient of variation for data from a normal distribution.
http://www1.fpl.fs.fed.us/covnorm.code.html

Andrew Jeffrey's Fortran 90 routines

Routines for i) the calculation of some linear algebra ii) non-linear minimization, iii) numerical integration and differentiation, iv) random number generation from a Normal distribution with mean zero and variance one, and v) the implementation of the
http://mayet.som.yale.edu/~amj23/f90.htm

Classical Item Analysis

Program by Seock-Ho Kim for classical item analysis for tests that consist of multiple-choice or true-false items. In addition to item statistics for each item response, the program provides summary statistics of the total score, coefficient alpha, and te
http://www.arches.uga.edu/~shkim/epm99.htm

LSQR

Solves unsymmetric equations, linear least squares, and damped least squares for a left-hand-side matrix that is large and sparse.
http://www.stanford.edu/group/SOL/software/lsqr/f77/

Statistics and Econometrics (115)