EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments

Econometric estimation using simulation techniques, such as the efficient method of moments, may be time consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S- plus will very often cause extra delay. For the Efficient Method of Moments implemented to estimate stochastic volatility models this will surely be the case. Therefore the author made a C/C++ library containing the bulk of the procedures needed in the implemention of the efficient method of moments technique for a broad range of univariate stochastic volatility models. As a side effect of the Efficient Method of Moments, EGARCH\ models with a variety of nonnormal distributions can be estimated with this package. Implementations have been made for the Intel Pentium platform under Windows and for the IBM RS/6000 platform under AIX. The library is dynamically linked to Ox under Windows and statically under AIX. The speed improvements are considerable compared with pure Ox code. The paper serves as a manual for this library. It describes the efficient method of moments for this specific case of stochastic volatility models. It describes the program. Some examples are given from other work of the author. Technicalities are given in the appendices.