Andrew
Patton's Matlab code page
This page contains some of the Matlab code I've
written during the course of my research. If you
find any mistakes or bugs in the code please let me know.
This code is being released under a
BSD license, which means that you can do pretty much
what ever you want with it, including make money by selling it.
1.
James LeSage's Econometrics Toolbox for Matlab
Most of my functions use code
contained in the econometrics
toolbox for Matlab by James P. LeSage. This toolbox contains many useful
programs for econometricians. It must be installed before my code will work.
2.
Kevin Sheppard's GARCH Toolbox for
Matlab
This toolbox contains many useful
functions relating to estimating and simulating both univariate and
multivariate GARCH models. Some of my programs call some of Kevin's functions,
so this also needs to be installed. The GARCH toolbox can be found
here.
3.
Code for Hansen's (1994) skewed t distribution
This zip file contains 5
functions: the pdf, cdf, log-likelihood, inverse cdf and a function to generate
random draws from the skewed t distribution.
Hansen, Bruce E., 1994,
Autoregressive Conditional Density Estimation, International Economic
Review, 35(3), 705-730.
4.
Code for Politis and White's (2004) automatic block-length selection procedure.
This Matlab
m-file (saved as a “txt” file) returns an estimate of the
optimal block size for bootstrap methods (stationary or circular) of estimating
the asymptotic variance of the mean of dependent data, given a sample from a
univariate time series.
R code for this procedure, written by Jeff Racine and Chris Parmeter is available here, and a PDF help file is here. Alternatively, if you install R and the “np” package you will have access to the function “b.star”.
Bug
fixes and updates:
26aug03: updated with suggestions from Kevin Sheppard.
16dec07: major
revision: estimate of optimal block length for the stationary bootstrap
corrected using recent paper by Nordman (Annals of Statistics, forthcoming). Details in a “correction” paper
available here.
9dec08: fixed small bug in choice of
“KN”, thanks to Jeff
Racine for spotting this.
28oct09: Here is “mlag.m”
(saved as a “txt” file) which is called in my code. (This
function is part of the econometrics toolbox for Matlab
by James P. LeSage.)
Politis, Dimitris N., and White, Halbert, 2004, Automatic Block-Length Selection for the
Dependent Bootstrap, Econometric
Reviews, 23(1), 53-70.
Politis,
Dimitris N., White, Halbert,
and Patton,
Andrew J., 2009, Correction:
Automatic Block-Length Selection for the Dependent Bootstrap, Econometric
Reviews, 28(4), 372-375.
5.
Code for computing and testing "exceedence correlations"
This zip file contains code to compute the
exceedence correlations used by Longin and Solnik (2001) and Ang and Chen
(2002). Code for the test that the exceedence correlation plot is symmetric
recently proposed by Hong, Tu and Zhou (2003) is also included.
Longin, Francois, and Solnik,
Bruno, 2001, Extreme Correlation of International Equity Markets, Journal of Finance, 56, 649-676.
Ang, Andrew, and Chen, Joseph, 2002, Asymmetric
Correlations of Equity Portfolios, Journal
of Financial Economics, 63(3), 443-494.
Hong, Yongmiao,
Tu, Jun, and Zhou, Guofu,
2007, Asymmetries
in Stock Returns: Statistical Tests and Economic Evaluation, Review of Financial Studies, 20, 1547-1581.
6.
Code for the "robust" loss functions in Patton (2011, Journal of Econometrics)
This zip file contains Matlab code to
replicate the empirical section in Patton
(2011), on volatility forecast comparison using imperfect volatility
proxies. The main program is called "robust_example_code.m", which
generates the figures and does the calculations. The data used in the paper is
included. The function "robust_loss_1.m" is a function for the parametric
family of "robust" loss functions proposed in the paper. Some helper
functions are also included.
7.
Copula toolbox for Matlab, version 1.07, 5apr08
This zip file
contains a collection of Matlab functions that I wrote for my research on copulas for financial time series (Patton 2006a, Patton 2006b, Patton 2004, Granger et al. 2006, Patton 2007). Some simple example
code is given in "copula_example_code.m". A table of contents is
given in "contents.xls". Briefly, the toolbox contains CDFs, PDFs,
log-likelihoods and random number generators for many common bivariate copulas,
including the Clayton, Gumbel, Normal, Student's t, Frank, Plackett and
symmetrised Joe-Clayton (SJC) copulas. Basic code for time-varying Normal,
Gumbel and SJC copulas is included. Some helper functions are also included. If
you find any bugs in this code please let me know: andrew.patton@economics.ox.ac.uk.
Bug fixes:
22aug06: Fixed two small bugs in clayton_pdf.m and tCopula_cdf.m
1aug07: Fixed big bug in sym_jc_rnd.m
19aug07: Fixed small bug in copula_example_code.m
2feb07: Fixed small bug in copula_example_code.m
5feb07: Fixed small bug in
copula_example_code.m
8.
Code for the “monotonic relationship” (MR) tests in Patton and
Timmermann (2010, Journal of Financial
Economics)
This zip file
contains Matlab code to replicate the empirical results presented in Patton and Timmermann (2010),
on tests of monotonicity in asset returns. The main program is called
"sorts_example_code_100.m", which loads the data, computes the t-test
and MR test statistics and p-values, and returns the tables and the figure. The
data used in the paper is included, as are some helper functions. Also included
is a file made for Matlab beginners, “MR_test_for_dummies_100.m”,
which goes through each step with explicit instructions. If you have any problems using the functions in this toolbox please
feel free to email me: andrew.patton@duke.edu
.
Updates:
23may08: Updated toolbox to compute the Wolak test (Journal of
Econometrics 1989) for comparison, and to allow for two-way sorted returns.
15jun08:
Updated toolbox to include a “MR test for dummies” function,
which goes through the implementation of the MR test step-by-step –
designed for Matlab beginners.
2may09:
Large update, to go with the revision of the paper. Main MR test
function was updated, example code to replicate all of the empirical results
was extended to reflect the broader selection of empirical applications
considered in the paper. Code for the “up” and “down”
bootstrap tests was added.
R code for these tests, developed by Siegfried
Köstlmeier, is available on his GitHub page here.
9.
Code to accompany my chapter in the Handbook of Economic Forecasting (2013)
This zip file (version 14may13)
contains Matlab code to replicate almost all of the empirical results presented
in Patton (2013).
The main program is called "AAA_empirical_work_CLEAN_14may13.m". This
code is broken into blocks to replicated the tables and figures presented in
various sections of the chapter. Also included are over 100 helper functions,
and the data set used in the chapter (as an Excel file).
Notes:
1) You will need to install the above "UCSD
GARCH" and "LeSage Spatial Econometrics" toolboxes for this code
to work.
2) You need to have Matlab's statistics and
optimization toolboxes
3) Updated May 2013 to conform to Matlab R2013a
(which is case sensitive for function and file names). Please email me if I've
missed a correction.
10.
Code for the "multi-horizon bounds" tests in Patton and Timmermann
(2012, JBES)
This zip file (16feb14) contains Matlab code to implement the
multi-horizon bounds tests of forecast rationality proposed in Patton and Timmermann (2012,
JBES). The code is illustrated in
"bounds_tests_example_code_1.m", and the main function to conduct the
tests is "bounds_tests_function_40nan_simple.m". The function
"ineqtest.m" was provided by Raymond
Kan, and is much faster than our initial implementation of the Wolak test.
Notes:
1) You will need to install the above "LeSage
Spatial Econometrics" toolboxes for this code to work.
2) You need to have Matlab's statistics and optimization
toolboxes
3) Updated Feb 2014 to conform to Matlab R2013a
(which is case sensitive for function and file names). Please email me if I've
missed a correction.
11.
Code for the skew t-t factor copula with GAS dynamics proposed in Oh and Patton
(2016, JBES)
This zip file (17feb16) contains Matlab code to illustrate the
estimation of a skew t-t factor copula with GAS dynamics on a sample of 10
variables. The main file is “AAA_main_GASFacCop_Skewtt_Ngroup.m”.
Notes:
1) You need to have Matlab's statistics and
optimization toolboxes.
2) You probably need to be familiar with the
dynamic copula tools in my Handbook of Economic
Forecasting chapter (see item 9 above).
12.
Code and data for empirical results in Bollerslev, Patton and Quaedvlieg (2015,
Journal of Econometrics)
This zip file (3july17, 30.4MB)
contains all data and Matlab code to replicate the empirical work in Bollerslev,
Patton and Quaedvlieg (2015, JoE). The zip file also contains a PDF file of
the corrected tables for this paper, which differ slightly from the published
tables. Please see the “readme” file for a detailed description of
the contents.
13.
Code and data for some empirical results in Patton, Ziegel and Chen (2018, Journal of Econometrics)
This zip file (30sep18,
97KB) contains S&P 500 index return data and Matlab
code to replicate the empirical work in Patton, Ziegel and Chen (2018, JoE).
Please see the “readme” file for a detailed description of the
contents. This toolbox is Version 1.1. If
you have a problem using this toolbox please feel free to email me: andrew.patton@duke.edu.
Notes:
1) 30sep21: Bug fixed in computing one component of
the standard errors. Thanks to Dong Hwan Oh for pointing this out.
2) 20feb23: Bug fixed in computing one component of
the standard errors in the one-factor model.
14.
Code and data to replicate the empirical results in Horvath, Li, Liao and
Patton (2021, Quantiative Economics)
This zip file (2jun21, 221MB) contains
Matlab code and data to replicate the simulation study and empirical work in Horvath, Li, Liao and Patton (2021, Quantiative Economics).
15.
Code to replicate the simulation results in Oh and Patton (2022, Journal of Econometrics)
This zip file (17jan23, 25KB) contains
Matlab code to replicate the simulation study in
Oh and Patton (2022, Journal of Econometrics).
The two main files (for the static and dynamic cases) start with “AAA_...”.
__________________________________________
Contact
Information
Andrew Patton
Department of Economics
213 Social Sciences Building
Durham
NC 27708-0097
USA
Email:
andrew.patton@duke.edu
Web: . http://econ.duke.edu/~ap172
__________________________________________
Last Updated: 30 September 2021.
Go to Andrew's main page.