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Econometric Computing Learning Resource (ECLR)

This is the home of the ECLR. It is the purpose of this resource to facilitate the learning of MATLAB as an Econometric software.

Why do you need to learn MATLAB? It is a widely used programming environment for Economists and many academics write and publish code in MATLAB. If you just want to run a simple regression in MATLAB it will (initially) take you longer to get to the results than in other menu driven software packages such as EVIEWS. However, if you want to achieve nonstandard things (and working on a PhD or even a MSc you are bound to want to do non-standard things) the picture is very different. A menu driven software package may do some related things but often not exactly what you want. Even if the software package has a "button" to do what you want to do, it is often badly documented what exactly happens underneath the hood. But most importantly, many nonstandard things just cannot be done in menu driven software. This is were MATLAB (or other software packages like GAUSS or OX) comes to the rescue. At the core it has nothing to do with econometrics. It is a matrix algebra maths programme in which you can do with data (stored in matrices) whatever you want. When we say whatever, then this is to be understood almost literally. And that is the point. There are a number of great advantages once you are familiar with MATLAB:

1. You can easily repeat the same analysis with another dataset.
2. For some analysis there are some very repetitive things you got to do. In some cases, writing a program will eliminate the need to do essentially the same thing many times. You instruct the software to do the repetitive work for you.
3. By writing a MATLAB program (or script) you essentially also create a record of what you do. This is extremely useful when it comes to understanding previous work and to identify mistakes. This is possibly the most important advantage of writing your own programs.

If you did any programming in any other programming language, such as Visual Basic, C, C++, GAUSS, etc. you will recognise a lot of common patterns. Learning how to use MATLAB to do econometrics is 100% a trial and error process and hence this wiki will provide guidance but you will have to do yourself.

A similar page exists for the following softwares:

• EVIEWS

The Essential Programming Techniques

In this section we will introduce a number of basic and intermediate programming techniques. Whatever language you program in you will encounter these techniques, although the details will, of course, vary. We recommend that you ensure that you are familiar with these before you progress to #Special Econometric Topics .

Basic Programming

Basics and Matrices	Loading Data and Date Formats	Program Flow & Logicals	Functions	Saving Data
Discussion	Discussion	Program Flow and Logicals	Function Discussion FunctionExample.m OLSest.m Example Data	TBC

After having gone through these basic techniques you may want to test your newly acquired skills with the following examples.

Example 1	Example 2
Example 1	TBC

Other useful MATLAB resources

• Sheppard's MATLAB introduction
• Martin V., Hurn S. and Harris D. (2012) Econometric Modelling with Time Series: Specification, Estimation and Testing (Themes in Modern Econometrics) [1]
• Higham, D.J. and Higham, N.J. (2005) MATLAB Guide, Society for Industrial and Applied Mathematics [2]

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