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Complete list of TSP examples (excluding benchmarks and PR handbook examples).

file_name	date	desc	source	keyword1	keyword2	keyword3
ABDEF.TSP	4-May-03	Arellano-Bond estimation using GMM - simple example	test	gmm	panel
ADDFACTOR.TSP	11-May-99	Two versions of estimation and forecasting with an add factor, on the same equation. First uses OLSQ and the second uses LSQ and SIML (potentially nonlinear).	tech_support	forecast	nonlin	solve
ADFBRK.TSP	5-Apr-02	Various ADF (Augmented Dickey-Fuller) tests with trend breakpoints due to Perron; Harvey et al, etc. A PROC for performing the tests is included.	tech_support	unit_coint	time_series	testing
ADFGLS.TSP	28-Apr-00	GLS version of ADF (Augmented Dickey-Fuller) unit root test with p-value (Elliott, Rothenberg, Stock (1992,1996)), by Yin-Wong Cheung.	tech_support	unit_coint	time_series	testing
AGARCH.TSP	6-Feb-98	Asymmetric GARCH as in Ding, Granger, and Engle, Journal of Empirical Finance 1993	oldcd	garch	time_series
AH.TSP	12-Aug-99	Anderson-Hsiao 2SLS for dynamic panel model (avoids finite sample bias in fixed effects estimator).	tech_support	panel	time_series
AIDS.TSP	13-Jun-02	Almost Ideal Demand System, with elasticities, Deaton and Muellbauer model, based on SAS example. (LSQ,EQSUB,ANALYZ)	tech_support	benchmark	nonlin	multi_eq
ALL.TSP	3-Oct-04	Test of all TSP commands on dummy data, roughly in alphabetical order	test	misc
ALMONK.TSP	20-Jan-04	Example of PDL and Kernel estimation using original Almon data	test	time_series	pdl	semiparam
ALMONS.TSP	10-Feb-95	Tests PDL and Shiller lag options using original Almon data	test	time_series	pdl
ANALYZR.TSP	23-May-97	Example of using the restricted coefs stored by ANALYZ	tech_support	testing	nonlin
ANASER.TSP	12-Apr-07	Testing ANALYZ for functions of series variables and bootstrap standard errors.	test	testing	random	nonlin
ANOVA.TSP	26-Oct-95	Proc which prints a (formatted) "ANOVA table" after OLS	tech_support	anova	output
APARCH.TSP	6-Feb-98	Asymmetric Power GARCH as in Ding, Granger, and Engle, Journal of Empirical Finance 1993	oldcd	garch	time_series
APD.TSP	20-May-97	Creates artificial panel data. Example of balanced, one-way random effects, 2 Xs correlated with random effects	tech_support	panel	error_comp	random
AR1FML.TSP	3-Nov-98	AR(1) exact ML with the FIML and ML commands.	tech_support	maxlik	arma	time_series
AR1FMLP.TSP	1-Mar-99	AR(1) (exact ML) for panel data, using the FIML command. Reproduces AR1(TSCS) results.	tech_support	panel	time_series	maxlik
AR1FSE.TSP	12-Jun-01	AR1 forecast standard errors, via ANALYZ.	tech_support	nonlin	arma
AR1HET.TSP	21-Nov-97	AR(1) model with heteroskedasticity (rho(i), sigma2(i)). This follows Kmenta's "Elements of Econometrics" (1986) p.618-620. Includes a helpful degrees of freedom adjustment. This model has been criticized because rho(i) may proxy for individual effects alpha(i) that are not included.	tech_support	panel
AR1HETUB.TSP	29-Apr-98	A version of AR1HET for unbalanced data (Kmenta's GLS model using transformed data)	tech_support	panel
AR1MLP.TSP	3-Dec-04	Regression with AR(1) residual. Reproduces AR1 command with ML PROC and BJEST option.	tech_support	time_series
AR1W.TSP	22-Jun-01	Weighted AR1 estimation via ML	tech_support	nonlin	arma	maxlik
AR2MLP.TSP	28-Nov-04	Regression with AR(2) residual, exact ML estimation. Uses both ML and ML PROC, with the BJEST option that allows general ARMA residuals. Klein-I consumption function data.	tech_support	benchmark	maxlik	arma
AR4NL.TSP	5-Feb-97	AR(4) on single nonlinear equation (conditional ML)	tech_support	nonlin	arma
AR9MA5.TSP	10-Feb-95	Basic example of Box-Jenkins identification and estimation for an ARMA (1,1) model	test	time_series	arma
ARCH2.TSP	20-May-00	Example of ARCH model with two lags, on GNP and Consumption data	test	time_series	garch
ARCHAR1.TSP	14-Jan-08	ARCH(1) with AR(1)	tech_support	garch	arma
ARCHDIAG.TSP	28-Oct-02	Diagnostic tests for asymmetry of ARCH residuals.	tech_support	garch	testing
ARCHF.TSP	30-Sep-99	ARCH forecasting for H(t).	tech_support	garch	time_series	forecast
ARCHML.TSP	6-Feb-98	Compare ARCH proc to ARCH via ML.	oldcd	garch	time_series	maxlik
ARELBON2.TSP	20-Feb-02	Arellano-Bond example of setting up mask matrix and equations for GMM estimation on a linear model with 3 RHS variables.	tech_support	panel	gmm	linear
ARELBOND.TSP	17-Apr-98	Simple Arellano-Bond example, 1-step and 2-step estimators (balanced panel data). Reproduces Table 5 of A-B. HAC standard errors hand-computed.	tech_support	panel	gmm
ARFX.TSP	8-Jan-99	AR1 forecasting, in and out of sample	test	time_series	arma	forecast
ARMA41ML.TSP	3-Dec-04	regression with ARMA(4,1) residual. exact ML. Sunspot data.	tech_support	time_series	maxlik	arma
ARMAX.TSP	22-May-95	regression with ARMA(1,1) error term from Harvey EATS book using Gauss-Newton iteration	oldcd	arma	nonlin
ARMAX7.TSP	5-Sep-95	ARMAX(12,2) estimation with 7 rhs variables (P&R example) using Gauss-Newton iteration	oldcd	arma	nonlin
ARMAXC.TSP	5-Sep-95	ARMA(12,2) estimation using Gauss-Newton iteration (Harvey data)	oldcd	arma	nonlin
ARTSCS.TSP	8-Oct-04	Examples of working with a small panel dataset: AR(1) estimation, dealing with gaps, obtaining within firm sums, etc.	test	panel	arma
AUTOEXP.TSP	14-Oct-96	Example of Box-Jenkins estimation and forecasting using data on auto sales, where the forecast is in terms of the original data (rather than its logarithm).	test	time_series	arma	forecast
AUTOSALE.TSP	22-May-95	Example of Box-Jenkins estimation and forecasting using data on auto sales	test	time_series	arma	forecast
BAL2WFE.TSP	18-Dec-96	Balanced 2-way fixed effects in panel data	tech_support	panel	time_series
BALU.TSP	7-Sep-99	Panel - example of how to "balance" unbalanced data by adding artificial observations with zeros for all variables.	tech_support	panel	data
BDE.TSP	19-Nov-92	Brown-Durbin-Evans CUSUM and CUSUMSQ tests, both automated and manual.	oldcd	testing	time_series
BERNANKE.TSP	14-Aug-99	VAR: Bernanke-Sims decomposition. This is a way of factoring Sigma, where the user specifies zero restrictions on particular elements of the factorization. Based on RATS code, and includes test examples.	tech_support	var
BILIN2.TSP	25-Sep-01	Second order bilinear model, by Wiedyo Pura Buana	tech_support	time_series
BILINEAR.TSP	30-Jan-96	ML estimation of simple bilinear time series model. Uses recursive derivative code; could be made simpler with ML PROC. Granger and Andersen 1978	tech_support	maxlik	time_series	arma
BIPROB.TSP	30-Nov-00	Bivariate probit, in ML using CNORM2(z1,z2,rho). Written as a Proc; should be easy to use on real data -- just supply the variable names. (ML)	tech_support	qdv	probit
BIQUAD.TSP	3-Jan-00	Bivariate normal cdf - how to evaluate probabilities in all 4 quadrants, by changing signs of the arguments to CNORM2(z1,z2,rho).	tech_support	maxlik	qdv
BIVORD.TSP	16-Nov-94	Bivariate Ordered Probit (without data). Could be improved in TSP 4.5 and higher by using CNORM(z1,z2,rho) function.	tech_support	qdv	maxlik
BJEC.TSP	6-Jun-03	Example of BJIDENT with ESACF on Box and Jenkins chem series	test	time_series	arma
BKF.TSP	26-Oct-02	Baxter-King filter (an alternative to Hodrick-Prescott).	tech_support	time_series
BOXCOX.TSP	10-Feb-95	Box-Cox with ML command (can also be done with FIML)	test	maxlik
BOXCOXAR.TSP	28-Jul-98	Box-Cox with AR(1) residual. Should be revised to use NODROPMISS option. (FIML)	tech_support	nonlin	arma	maxlik
BOXCOXJ.TSP	17-Mar-04	Jacobian term for testing log vs. level and general Box-Cox model.	tech_support	maxlik	testing
BOXTID0.TSP	6-Oct-99	Box-Tidwell regression when the RHS variables are sometimes zero.	tech_support	maxlik	nonlin
CALENDAR.TSP	28-Feb-00	PROCs for various calendar date conversions. Use to convert packed dates like 981231 to year,month,day variables; find which weekday, week, and month a particular day of the year is, etc.	tech_support	time_series	data
CAPTEST.TSP	10-Feb-95	Test of the CAPITL procedure	test	testing	distn_fcn
CDF.TSP	31-Jan-03	Test of CDF proc for normal, t-dist, F-dist, chi-squared, bivariate normal, and Dickey-Fuller	test	testing	distn_fcn
CHANGEPT.TSP	27-Sep-99	Andrews (1993) test for structural change with unknown change point (Maximum Wald test). Includes a Monte Carlo loop to verify that distribution of the test matches his results.	tech_support	robust	time_series	testing
CIRCLEPLOT.TSP	24-Jun-09	Plots with circles indicating "importance" or "size" of the observation.	testgr	graphics	weight
CLOGIT.TSP	10-Feb-95	Example of conditional logit two ways, with data organized by case or choice	test	logit	random
CLOGIT2.TSP	10-Feb-95	Example of conditional logit with data organized by choice, differing number of choices per case.	test	logit	random
CLSF.TSP	27-Jun-03	Example of conditional logit two ways, with data organized by case or choice, demonstrating use of suffix list for choices and missing value behavior	test	logit	random
CLT.TSP	8-Nov-02	Central Limit Theorem example - convergence of the mean of uniform random variables to normality.	tech_support	random	graphics
CN4.TSP	24-Aug-93	4-dimensional cumulative normal integral, approximated with many random draws, CNORM(), CNORMI(), and Cholesky factorization.	tech_support	qdv	random
CNORM.TSP	21-Oct-96	Tests of CNORM(), CNORMI(), LCNORM(), DLCNORM() functions	test	testing	normal	distn_fcn
CNVMAP.TSP	3-Mar-03	Tests of the CONVERT procedure for time series with the (MAP=) option	test	data	convert	transform
COEFTAB.TSP	24-Jul-00	How to print a small table of selected coefs and SEs from a large estimation, by using ANALYZ	tech_support	testing	output
COINT.TSP	18-Jan-01	Comprehensive test run for Unit root/cointegration testing, data from Nelson and Plosser 1982	test	time_series	unit_coint	testing
COINTARP.TSP	5-Jan-00	Cointegration test with AR(p) residuals - Stock-Watson(1993) and Phillips-Loretan(1991, p.424).	tech_support	unit_coint	testing	time_series
COJOH.TSP	15-May-96	COINT test on Johansen-Juselius data	test	time_series	unit_coint	testing
COMMENT.TSP	26-Jan-01	Testing of reading data (error messages) and ignoring trailing comments in the series.	test	data
CONDNUM.TSP	30-Oct-98	Condition number of X'X or any @VCOV matrix (version which is independent of the scale of X). Example using Klein-Goldberger consumption data. The condition number is a measure of multicollinearity.	tech_support	benchmark	matrix	testing
COUNT.TSP	26-Oct-99	14 alternative Count (Poisson and Negative Binomial) models, including Hurdle and Zero-Inflated models. Automated via ML command. Written by Vincenzo Atella, with help from Clint Cummins. (ML)	tech_support	count	qdv	maxlik
COV1STEP.TSP	17-Dec-97	Arellano-Bond 1-step COVOC matrix - GMM/panel	tech_support	panel	gmm
COV2STEP.TSP	18-Sep-97	Arellano-Bond 2-step COVOC matrix - GMM/panel	tech_support	panel	gmm
COXPANEL.TSP	16-May-96	ML estimation of Cox proportional hazards model, balanced data example with 3 time periods. Uses lagged EQSUB feature.	tech_support	qdv	panel	hazard
CUBIC.TSP	12-Aug-98	Equations for real roots of cubic equation. Also demonstrates imposing various constraints. (EQSUB,LSQ)	tech_support	solve
DATA2WAY.TSP	18-Dec-96	generates artificial data for 2-way model (RANDOM)	tech_support	panel	error_comp	random
DATELOOP.TSP	21-Nov-00	Looping over a dated sample - simpler than doquart example, and explains 2 different methods for doing this.	tech_support	time_series	forecast	syntax
DBCOPY.TSP	11-May-00	Testing various TSP databank commands including DBCOPY for moving databanks to a different computer	test	data
DBTEST.TSP	10-Feb-95	Simple test of making a databank using OUT.	test	data
DBTESTIN.TSP	10-Feb-95	Simple test of reading a databank using IN.	test	data
DBTESTRD.TSP	10-Feb-95	Tests of reading and writing databanks; deleting series from a databank.	test	data
DELOBS.TSP	5-Oct-94	Deletes some observations permanently from a dataset by placing them at the end of the sample and truncating.	tech_support	data
DH.TSP	11-Feb-97	reproduces Durbin's h statistic	tech_support	benchmark	time_series	distn_fcn
DIFFER.TSP	24-May-00	Test of DIFFER for all possible operations and functions, printing derivatives	test	nonlin
DIFTEST2.TSP	15-Feb-95	Test of DIFFER by doing NLS using manual Gauss-Newton and derivatives from DIFFER	test	nonlin
DISEQ104.TSP	16-Sep-97	Disequilibrium model, with sample separation known. Section 10.4 of Maddala(1983), p.307-309. (LSQ)	tech_support	switching
DIVZ.TSP	7-Sep-09	Testing various DIVISIA options (zero, splice, etc) when data includes negatives, zeroes, or missing values.	test	divisia	missing
DIVZERO.TSP	5-Mar-02	Reproduces DIVIND calculation with zero quantities. Tests Paasche, Fisher, Laspeyres.	tech_support	benchmark	divisia
DL.TSP	20-Apr-04	Approximation to dL (lower critical value for Durbin-Waston statistic), using NOB and K1 (# of RHS variables).	tech_support	time_series	testing
DOC.TSP	16-Nov-00	Tests the DOC command, adding documentation to series.	test	data	syntax
DOQUART.TSP	12-May-94	DO loop over time periods with quarterly data. Example with rolling regression and one-period-ahead forecasts. See the DATELOOP example for a simpler loop.	tech_support	time_series	forecast
DOT43.TSP	9-Feb-03	Test of nested DOT loops.	test	syntax
DOTFILE.TSP	8-Oct-02	Using DOT loops to construct filename(s). Quadruple DOTs to concatenate strings.	tech_support	syntax
DPDX.TSP	2-Jun-94	Standard errors for @DPDX from Logit. ANALYZ can also do this.	tech_support	logit	output
DPDX3.TSP	10-Apr-02	Mean and variance of dP/dX for Logit with 3 choices.	tech_support	logit	output
DW200.TSP	2-Mar-04	Verify DW 5% critical values for n=200, k'=2,3,4, using CDF(WTDCHI).	tech_support	benchmark	time_series	testing
DWNL.TSP	12-Jun-02	Approximate P-value for Durbin-Watson in nonlinear model, using regression on first derivatives.	tech_support	time_series	distn_fcn	testing
DWTEST.TSP	23-Apr-98	Durbin-Watson test with exact p-values; switch to Imhoff approx. at N=90	test	time_series	testing	arma
DYNAMSOL.TSP	15-Feb-95	SOLVE, SIML (dynamic simulation)	test	solve	time_series
DYNG.TSP	10-Feb-95	Testing dynamic (recursive) and reverse dynamic GENR	test	data	transform
EBIPROB.TSP	19-Nov-03	Bivariate probit where Y2 is not observed unless Y1=1. (ML)	tech_support	probit	qdv	maxlik
EC2SLS.TSP	4-Feb-99	2SLS with 2-way error components, balanced panel. Uses transformed data with 2SLS commands. See Hsiao's panel data book.	tech_support	panel	error_comp	inst_var
EC3SLS.TSP	4-Feb-99	3SLS with 2-way error components, balanced panel. Uses transformed data with 3SLS commands. See Hsiao's panel data book.	tech_support	panel	error_comp	inst_var
EGARCH11.TSP	23-Feb-99	EGARCH(1,1) estimation. Exponential GARCH, where log(h(t)) = alpha0 + alpha1*abs(e(t-1)) + beta1*log(h(t-1)).	tech_support	garch	time_series
EIG.TSP	22-Feb-95	Tests of the eigenvector function in the MATRIX procedure.	test	matrix	eigenvector
EXCEL.TSP	31-Jul-09	Various tests of reading spreadsheets (wk3, wks, various Excel formats)	test	data
EXOG.TSP	23-May-01	Exogeneity test (Hausman-Wu), Sargan test for identification, and also Breusch-Godfrey LM test for autocorrelation in 2SLS.	tech_support	testing	inst_var
EXPSM2.TSP	6-Jan-99	Double exponential smoothing with arbitrary smoothing parameter. Compared to ARIMA(0,2,2) model using BJEST.	tech_support	maxlik	time_series	arma
FEI.TSP	30-Sep-07	Test of FEI (group fixed effect) option in several commands (OLS, 2SLS, 3SLS, FIML)	test	panel	nonlin	linear
FEIHAT.TSP	18-Sep-02	Compute hat matrix (leverage) for fixed effects model.	tech_support	panel
FFW.TSP	4-Oct-06	Test of free format WRITE with many significant digits.	test	data	input	output
FILES.TSP	28-May-93	Creating multiple files, automatic closing of files	test	data	input	output
FIML11.TSP	22-Dec-95	11-equation FIML estimation, via the ML command. An extension of the old fiml4 example.	tech_support	maxlik	nonlinear
FIML4.TSP	1-Dec-93	4-equation FIML with ML command (HCOV=N, LDL' example). Example of how to parametrize the multivariate normal density, using LDL' factorization of Sigma-inverse.	tech_support	maxlik
FINANCE.TSP	21-Aug-97	Financial applications: 1. saving and sorting 60 betas 2. estimates of variance in rolling sample 3. standard deviation of sequential portfolios 4. t-stat for correlation coefficient, by Sotiris Staikouras	tech_support	time_series	testing
FIRSTDIF.TSP	11-Nov-97	Automates creation of first-differenced variables for GMM panel models, where the variables are named by time period, like y1 y2 y3, etc.	tech_support	panel	gmm	syntax
FISHER.TSP	26-Apr-04	Paasche, Laspeyres and Fisher price/quantity indices directly. Compare with DIVIND command.	tech_support	divisia
FITEST.TSP	31-Mar-93	Goodness of fit statistics after Pi matrix model, used by US panel examples	oldcd	testing	panel
FORCST40.TSP	10-Feb-95	Single equation forecasting	test	forecast	arma	time_series
FORM40.TSP	17-Apr-07	Testing the equation forming procedure FORM.	test	equation	forecast
FORMAR1.TSP	29-Nov-02	FRML with exact ML first observation for LSQ; includes Jacobian trick so that FIML is not needed.	tech_support	nonlin	arma
FREQ.TSP	10-Nov-09	Testing the options for setting the frequency of the data	test	data	time_series	options
FRONTE.TSP	13-Apr-04	Efficiency term for Frontier model from Battesse and Coelli (1988). Extends example in TSP User's Guide, section 9.7.3.	tech_support	qdv	maxlik	nonlinear
FRONTP1.TSP	25-Jan-01	Frontier production function, unbalanced panel, error components, v_it - u_i. Follows Battese and Coelli, 1992. See frontp2 for a simpler version.	tech_support	panel	qdv
FRONTP2.TSP	28-Jul-05	Frontier production function, unbalanced panel or cross section, v_it - u_it. Truncation point depends on z*d function. Follows Battese and Coelli, 1995. Simpler than frontp1.	tech_support	panel	qdv
FUNC.TSP	10-Feb-95	Testing various functions in GENR (normal, integer, etc.)	test	distn_fcn	syntax
GAMMADL.TSP	5-Apr-02	Distributed lag with shape from gamma density.	tech_support	dist_lag	nonlinear	graphics
GAMMAR.TSP	29-Oct-04	gamma estimation of rainfall model. Uses ML PROC and CDF to evaluate igamma() function.	tech_support	maxlik
GAMMAS.TSP	29-Oct-04	gamma simulation of rainfall model, where trace values below 0.1 are truncated to zero.	tech_support	maxlik
GAPUBAL.TSP	4-May-00	Setting up a gapped SMPL for unbalanced stacked panel data, so that GMM(NMA=k) can be used.	tech_support	panel	gmm
GARCHM.TSP	6-Feb-98	GARCH-M - testing via ML	oldcd	garch	time_series	maxlik
GARCHMA.TSP	13-Aug-97	GARCH (1,1) with MA(1) residual - testing via ML	oldcd	garch	time_series	maxlik
GARCHML.TSP	6-Feb-98	GARCH via ML Proc	oldcd	garch	time_series	maxlik
GARCIA.TSP	12-Jun-97	Growth model, stochastic differential equations, unbalanced panel. Uses recursive EQSUB. This nonlinear panel growth model is used on tree heights.	tech_support	maxlik	panel
GCOEFI.TSP	13-Apr-06	Panel OLS model where some coefficients vary by individual, and others do not. Includes a PROC to automate this.	tech_support	panel	linear
GINI.TSP	11-Aug-02	Compute a Gini index (income distribution measure).	tech_support	gini
GIR.TSP	20-Mar-01	Generalized Impulse Response - invariant to equation order. Reproduces results in Pesaran and Shin (1998) with KPSW data.	tech_support	time_series	var	graphics
GIR2.TSP	7-Mar-02	Generalized Impulse Response, via LSQ and SOLVE. (extendable to structural VAR)	tech_support	time_series	var	graphics
GLEJSER.TSP	25-Apr-01	Glejser and MSS tests for heteroskedasticity in quantile regression. by Bronwyn Hall	tech_support	robust
GMM.TSP	12-Jan-99	Test GMM on single equation linear model	test	gmm		nonlinear
GMM2.TSP	17-Mar-95	Test GMM on 2 equations, compare to 3SLS.	test	gmm	multi_eq	nonlinear
GMM3.TSP	8-Jan-99	Test of GMM with OPTCOV option (to specify that COVOC supplied is the optimal one)	test	gmm	multi_eq	nonlinear
GMMCHISQ.TSP	31-Mar-93	chi-squared test of over-id restrictions (@GMMOVID in 4.3)	oldcd	testing	gmm	panel
GMMERR.TSP	4-May-03	Test GMM syntax error handling	test	gmm	multi_eq	nonlinear
GMMNS.TSP	27-May-99	GMM on non-stationary data. Follows Hamilton(1994), p.424 / Ogaki(1993). Estimates model as a function of detrended variables.	tech_support	unit_coint	gmm	time_series
GMMPANEL.TSP	31-Mar-93	Documentation for the US---- panel examples.	oldcd	gmm	panel
GNUPLOT.TSP	5-Mar-00	gnuplot graphics - .GIF file output only, unix versions. (PLOT,GRAPH)	tech_support	graphics
GNUPLOTI.TSP	5-Mar-00	gnuplot graphics - X window output, unix versions. (PLOT,GRAPH)	tech_support	graphics
GRID.TSP	23-May-96	checks a 3-parameter nonlinear model for multiple local optima. 2 different ways of choosing starting values: 1. full grid 2. random draw within bounds (like simulated anealling) reports back optimum found	tech_support	maxlik
GRUNFELD.TSP	26-Sep-04	Test random and fixed effect OLS and AR1 models on Grunfeld data (AR1, PANEL)	test	panel	arma	testing
GSA.TSP	18-Oct-02	Tests various froms of the GENR command for variable transformation.	test	data	syntax	nonlinear
GSPD5.TSP	23-Jun-03	Create duplicate state variables for each industry.	tech_support	panel	data
H3B.TSP	11-Sep-97	Hsiao(1986)'s Appendix 3B - verifies 2-way EC Omega inverse (MATRIX)	tech_support	panel	error_comp	matrix
HAMSIMP.TSP	11-Sep-00	Markov chain model - simple 2-regime from Hamilton's book, via EM. By David Bivin	tech_support	switching
HAUSTEST.TSP	25-Jan-05	Example of Hausman specification test for Poisson vs Negative Binomial model on patent data	test	testing	count
HAZARD.TSP	1-Jan-93	log-linear hazard function with one time-varying covariate	tech_support	qdv	hazard
HCTYPE.TSP	10-Feb-95	OLSQ(HCTYPE=) Heteroscedastic-Consistent SEs	test	robust	linear	testing
HELP.TSP	30-Mar-00	Example of using HELP in a batch program.	test	misc
HETPROB.TSP	26-Jan-01	LM test for heteroskedasticity in Probit. Follows Godfrey's book.	tech_support	probit
HHGFISH.TSP	8-Oct-95	Models for panel count data (Hausman Hall & Griliches 1984)	oldcd	count	panel	maxlik
HHGNB.TSP	8-Oct-95	Negative binomial models for panel count data from HHG (84)	oldcd	count	panel	maxlik
HHSIM.TSP	25-Jun-03	Minimum distance estimation of Hall-Hayashi dynamic factor model. Uses simulated data. by Bronwyn Hall	tech_support	panel	nonlin	robust
HIST.TSP	14-Nov-03	Testing HIST with integer data (DISCRETE option) and CDF, DENSITY, NORMAL, STANDARD options for Oxmetrics graphics	test	graphics	distn_fcn
HPTREND.TSP	3-Feb-94	Hodrick-Prescott trend decomposition, data example from Kydland-Prescott	oldcd	time_series
HPTREND4.TSP	21-Oct-97	Faster version of HPtrend (Hodrick-Prescott trend decomposition). Includes modular versions of the PROC for fast use with multiple series.	tech_support	time_series	matrix
HURDLE2.TSP	17-Nov-06	Double Hurdle model. Tobit is single hurdle; this is like Tobit with an additional selection equation.	tech_support	tobit	maxlik	qdv
HURDLE2BC.TSP	29-Oct-08	Double hurdle model with Box-Cox transformation	tech_support	tobit	maxlik	qdv
HYPTEST2.TSP	12-Jan-99	Hypothesis testing in linear models (OLS,SUR,2SLS,3SLS) - t-tests, F-tests, likelihood ratio and quasi-likelihood ratio tests.	test	testing	linear	distn_fcn
IGARCH.TSP	16-Nov-99	Integrated GARCH(1,1), with constraint that alpha1+beta1=1.	tech_support	garch
ILLUS41.TSP	5-Oct-92	Illustrative model from the TSP manual.	tech_support	benchmark
ILLUSFOR.TSP	15-Feb-01	Test dynamic forecasting using illustrative model, also shows use of common factor test for AR1 models	test	forecast	arma	testing
ILLUSOLV.TSP	10-Feb-95	Test static similation done using three different methods on the illustrative model	test	solve	graphics	nonlinear
INFOT.TSP	3-May-07	Information Matrix Test - example with Probit. Shows how to use DIFFER for first and second derivatives of an equation.	tech_support	panel	probit	qdv
INT.TSP	26-Jun-00	Integration using trapezoidal rule approximation in a DO loop.	tech_support	integrate	distn_fcn
INTERP.TSP	28-Apr-98	Linear interpolation of missing values, for very simple case of single isolated missing values. Discusses why this may not be a good idea. See interp2 for general case.	tech_support	data
INTERP2.TSP	7-Mar-07	Linear interpolation of missing values, general case.	tech_support	data
INTRV.TSP	7-May-10	Test of Interval regression (includes equivalent Probit, Tobit, Ordered Probit)	test	qdv	probit	tobit
JB.TSP	4-Sep-98	Reproduces Jarque-Bera normality test, starting from small-sample versions of @SKEW and @KURT stored by MSD.	tech_support	benchmark	robust	testing
JOH1.TSP	30-Sep-99	Reproduces Johansen-Juselius cointegration results for Finnish data. More complete than COJOH, and uses VAR. Originally by David Cushman.	tech_support	benchmark	unit_coint	testing
KALD.TSP	11-Sep-98	Kalman filter with dummy variables that are singular in the initial observations (used to test new recursive residuals that no longer assume initial observations are nonsingular).	tech_support	kalman	time_series
KALMAN.TSP	12-Jan-99	Various tests of the basic Kalman Filter procedure, compared to OLS	test	kalman	time_series
KALMANHP.TSP	13-Apr-98	Kalman filter HyperParameter estimation, using ML PROC. Estimates two variance parameters in the transition equation.	tech_support	kalman	maxlik	time_series
KALVT.TSP	16-Dec-92	Bootstraps the VT (transition variance) matrix for Kalman Filter by estimating without it, forming an estimate, and then estimating with a transition variance.	oldcd	kalman	robust	time_series
KERLIN.TSP	18-Jul-02	Computing Partial Linear Regression according to Robinson (1988).	tech_support	robust	kernel
KFARMA11.TSP	22-Jul-96	Evaluation of conditional likelihood function for ARMA(1,1) via the KALMAN command.	tech_support	kalman	arma
KFCOMF.TSP	8-Jan-09	Kalman Filter with Common Factor (stochastic trend)	tech_support	kalman	time_series
KFLLT.TSP	5-Sep-96	Kalman Filter on Local Linear Trend - Harvey(1989), p.170	tech_support	kalman	time_series
KFLOOP.TSP	21-Jun-96	Kalman filter in a DO loop, to compute SEs for state vector at each period. One parameter in state vector, with user-supplied prior.	tech_support	kalman	time_series
KFLOOP2.TSP	21-Jun-96	Kalman filter in a DO loop, to compute SEs for state vector at each period. Two parameters in state vector, with prior computed from initial observations.	tech_support	kalman	time_series
KFMA1.TSP	18-Jul-96	Ditto, but for MA(1) model. Harvey, TSM, 1981, p.103	tech_support	kalman	arma
KFML.TSP	7-Mar-96	Estimates Kalman Filter transition matrix via grid search (2 parameters). Compare with KALMANHP.	tech_support	kalman	maxlik
KLEINCHOW.TSP	7-Sep-04	Multiequation Chow tests on Klein-I model - parameter stability in SUR and 3SLS using LR and QLR tests.	tech_support