Master List of Statistics Software on the Web

Estima

Estima is maker of RATS. Their web page features product information and prices plus procedures and examples you can download.

Gauss

Many financial economists do their empirical research using GAUSS. GAUSSX combines a full featured set of professional econometric routines, written in GAUSS, with a menu driven interface in one software package. The GAUSSX desktop, which runs under both DOS and Windows, is an intuitive interface that provides an excellent platform for both research and teaching, and can be used for running both GAUSS and GAUSSX. To order, contact sales@aptech.com.

GQOPT

GQOPT is a FORTRAN-based package of numerical optimization, and also contains numerous statistical and utility routines. It is available for a number of platforms, such as IBM mainframes, Vax computers, CRAY supercomputers, IBM-compatible PCs, and Sun and RS/6000 workstations.

LIMDEP

LIMDEP allows you to run a wide variety of models using limited dependent variables. The entire manual for this program is available online. Also check out the Limdep discussion list.

Resampling Statistics

SAS

The SAS Institute offers perhaps the most frequently used statistics software in financial economics research. This is the place to go if you need support information or information on their software. A set of useful SAS program files is available in the SAS Archives at North Carolina State University. Also see Journal of Statistics Education which has extensive SAS archives.

Shazam

Shazam is cool. Has a variety of routines for MLE, ARCH, GARCH and more.

Stata

Interactive Teaching Tutorials Using Stata.

Statlib at Carnegie-Mellon.

This archive of statistics software has a wide variety software including algorithms from Applied Statistics, datasets, GLIM, ACE, Fractional Differenced ARIMA models, GAM models, MARS and logit models.

Stanford Dept. of Statistics Software Programs

The Stanford Deptment of Statistics makes available software for the Automatic Smoothing Spline Projection Pursuit algorithm; Likelihood Computations and Wavelet analysis.

Click and Learn Regression

List of Statistics Departments in the World.

If you are looking for working papers or software on new ideas in statistics this is a good place to start.

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MathCad.

MathCad published by Mathsoft uses a pen and paper analogy to let you make numerical and some symbolic computations including bond and real estate math.

Mathematica

Mathematica is a computer program for doing symbolic, numeric, and graphical analysis of mathematical problems. It can be of great useto financial economists since it can do so many differentthings. Rather than using a yellow pad to do algebra, a calculator to do numerics, statistical software to do estimation, and an artist todo graphics, an economist can do all these things in one unifi ed environment: Mathematica. Mathematica is published by Wolfram Research. There are numerous routines useful to finance researchers including:

• Economic and Financial Modeling with Mathematica published by Springer-Verlag. Contents of diskette which accompanies this book by Hal Varian is available at the University of Michigan Econ Book Gopher Site. Included are routines to solve cooperative games; to work with diffusion processes and stochastic calculus and to perform computations using Ito Calculus.
• Mathematica World
• Principia Consulting which offers a course on stochastic modeling with Mathematica.

Matlab.

MATLAB is an interactive program to help you with numeric computation and data visualization. Fundamentally, MATLAB is built upon a foundation of sophisticated matrix software for analyzing linear systems of equations. There are numerous routines in Matlab useful to finance researchers including:

• Neural Network Toolbox
• Professor William Sharpe's Matlab Routines
• User-contributed Routines on everything from optimization code to differential equations solvers.