Software

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Overview

Below are software packages I have been maintaining. Most of them are written in Matlab. I have started to write R and Stata packages. Let me know if you find any bugs. Thanks!

R Packages

• Package (source): regsc.tar.gz
  Package (binary, Windows): regsc.zip
  Title: Estimating regressions with structural changes using group-fused Lasso
  Depends: R (>= 2.3), pracma, Formula
  Description: Provides functions for estimating time-series regressions with an unknown number of structural changes.
  Reference: Qian and Su (2016a)

Matlab Packages

• Package: GFL1.0.rar
  Title: Penalized LS with group-fused Lasso penalty for the estimation of structural changes in linear regression
  Description: Provides Matlab functions for estimating linear regressions with structural changes.
  Tutorial: A Tutorial on the GFL Package
  Reference: Qian and Su (2016a)
• Package: structb_panel.rar
  Title: Penalized LS and GMM estimation with adaptive group-fused Lasso penalty (AGF-Lasso) for panel data
  Description: Provides Matlab functions for estimating panel data models with structural changes.
  Reference: Qian and Su (2016b)
• Package: panelppc.rar
  Title: Penalized principal component estimation with adaptive group-fused Lasso penalty (AGF-Lasso) for panel data
  Description: Provides Matlab functions for estimating panel data models with interactive fixed effects and multiple structural breaks.
  Reference: Li, Qian and Su (2016)
• Package: fr.rar
  Title: Functional regression of continuous state distributions
  Description: Provides Matlab functions for estimating and testing functional regression models, including functional autoregression.
  Reference: Park and Qian (2012)
  
• Package: fd.zip
  Title: Estimating semiparametric panel data models by marginal integration
  Description: Provides Matlab functions for estimating semiparametric panel data models using marginal integration.
  Reference: Qian and Wang (2012)
  Application: The inequality-growth plateau (Henderson, Qian, and Wang (2015)) kc.rar
• Package: SF.rar pde08.rar
  Title: Stochastic frontiers with bounded inefficiency
  Description: Provides Matlab functions for estimating stochastic frontier models.
  Reference: Almanidis, Qian, and Sickles (2014)