Estimation packages


I am making the software codes available for researchers, practitioners, students – virtually anyone who might find them useful. They are published under a Creative Commons Attribution 4.0 License. This means you are free to use, share, or modify them for any purpose, even commercially. What I ask in return is that you acknowledge the source of the codes or reference one of my papers.

I am sharing the codes for two reasons:

  1. I wish to see the field grow, so feel free to study, apply, extend, and build upon what I have done.
  2. I have put considerable effort into making my codes fast and efficient. I hope to get feedback, so if you have any suggestions for making them better or simply more elegant – let me know.

The codes come with no warranty – I try to make them error free, and as researcher friendly as possible but some errors may remain. The demos and documentation are rather scant so if you want to use these codes, be prepared to spend a good bit of time to understand what is going on.

I wish to gratefully acknowledge the help of (in alphabetical order): Danny Campbell, Richard Carson, Wiktor Budziński, Marek Giergiczny, William Greene, Arnie Hole, Martin Lopez, Klaus Moeltner, Nada Wasi, Maciej Wilamowski, and Kenneth Train whose examples, comments or suggestions I followed when working on these codes. Parts of the code and an increasing number of model specifications have been greatly contributed to by my graduate students, especially Wiktor Budziński, who also motivated me to organize and publish it.

I will be pleased if you want to extend these codes, thoroughly test them for all possible model specification variants, or provide documentation.