Updates to Econometric Benchmarks

• 9/29/2004
  • Updated LIML benchmark for Klein-I, to add Bekker(1994) standard errors, and updated the notes.
• 9/21/2004
  • Added Iterated SUR for 3-equation singular system with cross equation restrictions - Berndt and Savin (1975)
• 9/15/2004
  • Added score tests for serial correlation and random effects on full/original Grunfeld data (10 firms vs. a 5 firm version)
  • Added equivalent LR and Wald tests
• 8/19/2004
  • Added Kmenta's simple supply/demand model (2SLS, LIML, 3SLS, FIML)
• 5/25/2004
  • Added IGARCH(1,1) model
• 5/21/2004
  • Added nonlinear FIML model - Bodkin and Klein
• 5/4/2004
  • Updated greenelp.tsp - added heteroskedastic probit model
• 4/20/2004
  • Added extended tables of critical values for the Durbin-Watson test
• 10/24/2003
  • Added One-way and Two-way ML error component models from Baltagi, "Econometric Analysis of Panel Data", second edition, 2001.
• 10/14/2002
  • Updated greenelp.tsp - added Maximum Score Estimation
• 5/30/2002
  • Added grbpre.tsp - LM tests for Random Individual and Time Effects.
  • Updated grscore.tsp - added P-values.
• 5/7/2002
  • Added grar1rei.tsp - Random Individual Effects plus AR(1).
• 10/16/2001
  • Updated references for software reviews using StRD.
• 1/19/2001
  • Added fronteg1.tsp - Frontier production function.
• 10/8/2000
  • Added daganzo.tsp - Trinomial Probit.
• 7/7/2000
  • Added ghac.tsp - HAC SEs for panel data, block-diagonal Omega
• 5/11/2000
  • Added kleinar2.tsp - AR(1) and AR(2), exact and conditional ML
• 5/8/2000
  • Updated bja.tsp to include handcoded MA(1) exact ML estimation with analytic first and second derivatives.
• 5/2/2000
  • Added the Bias-Corrected Fixed Effects model to Dynamic Panel models, balanced data.
• 11/17/1999
  • Added Static Panel models, balanced data - Grunfeld - Nerlove(2000).
    Models include 2-way variance components (ML), and combinations of heteroskedasticity and AR(1).
• 10/30-31/1999
  • Added Dynamic Panel models, balanced data - Nerlove(1999).
  • Added unbalanced data (permission pending) - Arellano and Bond(1981).
• 10/28/1999
  • Added NIST StRD spreadsheet data for Univariate, Anova, OLS, and NLS.
• 10/22/1999
  • Added Nelson-Plosser and Campbell-Mankiw spreadsheet data
  • Added (Finnish) spreadsheet data for Johansen-Juselius cointegration test.
• 10/21/1999
  • Added spreadsheet data (Lotus v2 *.WKS, Excel v2 *.XLS) for all but the NIST (and some unit root) benchmarks; those should be ready by 10/29.
  • klein.tsp (new) - combines the 2SLS, LIML, 3SLS and FIML benchmarks. Benchmark numbers included in input file. Uses the klein.wks spreadsheet file.
  • bjfpac.tsp - updated to include benchmark numbers for Burg and OLS methods.
• 1997
  • Econometrics Benchmarks page created.