TSP 4.4 Benchmarks

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TSP / Benchmarks / Longley Docs

Benchmarks

Here are some standard benchmark datasets and models for testing the accuracy of TSP.

For an updated and expanded set of benchmarks, please see the current version of this page:
http://www.stanford.edu/~clint/bench
It includes a high accuracy Klein-I FIML benchmark, more AR(1) benchmarks, many ARIMA models (exact ML), GARCH(1,1), Probit, Logit, Poisson, Negative Binomial, Ordered Probit.

Longley, JASA (1967) -- linear regression
- longley.tsp
- longley.out
- longley.htm Some brief research (2/1997) on obtaining a Longley coefficient vector accurate to 11 digits.
Klein I model
- 2SLS and 3SLS
  - klein3s.tsp
  - klein3s.out
- LIML
  - kleinlml.tsp
  - kleinlml.out
- FIML
  - kleinfml.tsp
  - kleinfml.out
Grunfeld investment data -- analyzed in Theil (1971)
- grunsur.tsp computes the following:
  - OLS
  - SUR - Seemingly Unrelated Regressions
  - iterated SUR
  - (iterated) SUR with cross-equation constraints
Bartlett pears data -- analyzed by Hildreth and Lu, and by Henshaw
- pears.tsp computes the following:
- OLS
- Durbin-Watson statistic and its exact P-value
- AR(1) conditional ML via grid search (Hildreth-Lu)
- AR(1) conditional ML via full iteration (Cochran-Orcutt)
- AR(1) exact ML via full iteration (Beach-MacKinnon)

Wilkinson's "Statistics Quiz"

wilk.txt This is the full original text of the "Statistics Quiz", including the correct answers.
nasty.tsp
nasty.out

National Institutes of Standards and Technology (NIST) "Statistical Reference Datasets"
NIST StRD web page Contains many test problems and certified results for univariate statistics, anova, linear regression, and nonlinear regression.

Univariate statistics
- Table of results for Sun 4 TSP obtains at least 8 correct digits for mean, standard deviation, and first order autocorrelation for 7 data series.
- uni.tsp Code to run 7 series
ANOVA
- Table of results for Sun 4 TSP obtains at least 7 correct digits for the F-statistic in 8 of the 11 models.
- ano.tsp Code to run 11 models
Ordinary Least Squares
- Table of results for Sun 4 TSP obtains at least 7 correct digits for coefficients and standard errors in 10 of the 11 models.
- ols.tsp Code to run 11 models
Nonlinear Least Squares
- Table of results for 486 and Sun 4 TSP obtains at least 6 correct digits for coefficients and standard errors in 26 of the 27 models.
- nls.tsp Code to run 27 models
- nls.dat Data file for 27 models

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