New in TSP 4.3

The following summarizes the improvements to TSP from version 4.2b to 4.3. Highlights include full adjustable memory, a new COINT command and many enhancements to existing commands (complete list of supported platforms and system requirements). If you are running version 4.2a, you may also be interested in looking at the list of features added in 4.2b . If you are running version 4.1, check out the list of features added in 4.2a .

GENERAL IMPROVEMENTS

• Adjustable Memory: On all machines, TSP 4.3 adjusts working space to fit available memory (RAM or virtual memory). There is no longer a fixed limit on the number of observations in a series (now only limited by overall working space). Large series and matr ices are processed more quickly.
• On-screen editing: in interactive mode, use the arrow keys to repeat and/or edit commands. (DOS/Windows only)
• Batch loop: a feature that lets you iterate between running a batch TSP job, looking at the output, editing the input, and running the job again. This is useful for developing complex batch programs. (for task-switching operating systems)
• Subscripts: Matrices may now be doubly subscripted with numbers or variable names(up to two characters in length).
• login.tsp: you can create this special file to contain all the TSP commands you normally use when the program starts up (setting OPTIONS, suppressing some printout, specifying the databank, and so forth.)

NEW COMMANDS

• CLEAR restarts interactive sessions.
• COINT performs unit root and cointegration tests on a set of series.
• DBDEL databank varlist deletes the variables in varlist from the databank.

MAJOR COMMAND-SPECIFIC IMPROVEMENTS

• ANALYZ works after the procedures that have a linear regression model (AR1, OLSQ, INST, LIML, and PROBIT) with series names used in place of coefficient names to refer to their coefficients (added to 4.2b in 12/92). Unnormalized equations are labeled by the equation names (rather than not labeled at all).
• ARCH (HEXP=value) estimates an ARCH model with h(t) raised to an arbitrary power given by the HEXP option. For HEXP=0, the log(h) is used. The default is still HEXP=.5 (square root of the variance). The UNCOND option holds the presample h(t) fixed at the current estimate of the unconditional residual variance.
• BJEST has been integrated into TSP's nonlinear estimation system in order to improve convergence behavior and produce standard nonlinear output.
• COVA (PAIRWISE) computes a pairwise covariance matrix, that is, a matrix where each cell is computed over all the available data for the two variables involved.
• CORR (PAIRWISE) computes a pairwise correlation matrix, that is, a matrix where each cell is computed over all the available data for the two variables involved.
• CUSUM, CUSUMSQ -- These new regression output options produce plots, test statistics, and P-values for tests of structural stability (already implemented in some releases of 4.2b).
• Dates Y:P -- P can now be bigger than 100, but must be smaller than 32,768 (see FREQ number). Y and P must be numbers. See the new BASEYEAR option for dates between 0 A.D. and 200 A.D.
• DOT has several new options and the limit on the number of DOT elements has been increased to 2000. Strings such as '01' are allowed as DOT names. DOT(INDEX=varname) creates a variable varname that is incremented over the DOT loop (this elimina tes the need to create such an index manually). DOT(VALUE=varname) creates a variable that is filled with the actual values of the DOT list (if they are numeric). DOT (CHAR=char) defines a character that will be used together with . to index that DOT list . This is useful if you want to use a single dot on variables in an inner loop, or if you want to reverse the order of the DOT expansion.
• FREQ W or number -- W is weekly and assumes exactly 52 weeks per year. W converts to quarterly (Q) but not to monthly (M) because TSP does not yet have a true calendar built in. FREQ number where number is a number smaller then 32,768 defines a frequency of number periods per year.
• GMM (MASK=) counts the 1's in the mask as the number of orthogonality conditions (because the OC's corresponding to zeroes in the mask are dropped in estimation). SMPL gaps are properly handled when NMA>0 (GMM skips over the gaps).
• MOMENT (PAIRWISE) computes a pairwise moment matrix, that is, a matrix where each cell is computed over all the available data for the two variables involved.
• MSD (BYVAR) computes univariate statistics for a list of variables using all the data available for each variable (even if there is missing data for other variables).
• RANDOM (DRAW=matrix name) produces multivariate random numbers with an empirical distribution by drawing from the rows of a matrix. The random vector is #columns long, The matrix may have a number of rows not equal to the number of observations in the current SMPL.
• SIML has been integrated into TSP's nonlinear system in order to improve convergence behavior and produce standard nonlinear output. It is much faster for linear models with several observations.
• SOLVE has been integrated into TSP's nonlinear system in order to improve convergence behavior and produce standard nonlinear output.

MINOR COMMAND-SPECIFIC IMPROVEMENTS

• AR1 handles series with missing data (already in some 4.2b versions).
• BJIDENT stores the autocorrelations, partial autocorrelations, and inverse autocorrelations under @AC, @PAC, and @IAC respectively(already in some 4.2b versions).
• CDF has a new TSQ option when using a squared trend in the Dickey-Fuller or Engle-Granger regressions.
• CNORMI() returns less extreme answers for the arguments 0 and 1 (the true answer would be +/- infinity).
• COMPRESS (NOPRINT) -- when the user requests compression of TSP's data storage, the default is for no message to be printed.
• CONVERT now goes from a lower frequency to a higher (e.g., annual to quarterly), with the options interpreted appropriately. (AVERAGE uses the average over the period, SUM causes division by the ratio of the frequencies to occur, and so forth). (already in some 4.2b versions).
• DBCOPY -- The .TSP file produced is more concise, and faster to upload/download.
• DIVIND -- when the quantity is zero, DIVIND now drops that good temporarily from the indices.
• DUMMY can take a user-specified list of names as the variables to be created (rather than just making up the names).
• FETCH now reads DOCumentation from microTSP (.DB) databanks. N/A's (missing values) are handled properly.
• GENR -- dynamic GENRS can now be done in reverse time (if leads are on the righthandside instead of lags).
• INPUT works in batch mode.
• KALMAN (XFIXED=X) has improved labels when there is more than one state variable. When the prior variance based on the first few observations is singular, it is reestimated with an additional observation.
• LIST (FIRST=number,LAST=number,PREFIX=name) listname creates a LIST of the form name1, name2,and so forth (using the obvious set of numbers), and stores it under listname.
• LOGIT checks for univariate complete and quasi-complete separation of the data; in this instance the coefficients will not be identified and maximization behavior will be poor.
• MATRIX -- EIGVAL works on non-symmetric square matrices; in this case the imaginary part of the eigenvalues are stored in @EIGVALI. EIGVEC causes @EIGVAL to be stored along with @EIGVEC. INV stores the determinant of the matrix before inversio n as well as the inverse.
• MFORM (DIAG) works with series or general matrices.
• MMAKE works with column vectors as well as series.
• MODEL -- the endogenous variable list is now optional if they all appear on the lefthandside of the equations. The PRINT and SILENT options can be used with MODEL to control output.
• MODEL(FILE=filename) specifies an external file on which to write the simultaneous model after ordering, for input to CAUSOR, an external program that analyzes the structure of large econometric models.
• NONLINEAR options -- The default TOL has been changed from .01 to .001 and STEP=GOLDEN has been improved.
• OLSQ -- when there are missing values, @RES and @FIT are stored correctly. This affects all procedures that allow missing values (AR1, INST, LIML, and PROBIT). (already in some 4.2b versions).
• OPTIONS BASEYEAR=1900/2000/0 for two digit years allows the dates 0-200 A.D. to be used, and is designed to move TSP into the next millennium!
• PANEL -- the R-squares for WITHIN and VARCOMP estimation now reflect the original dependent variable, rather than the variable with individual means removed. Output for F and Hausman tests cleaned up (reduced to 80-column width). The residuals from all models are now stored under the names @REST, @RESB, @RESW, and @RESV.
• PROBIT checks for univariate complete and quasi-complete separation of the data; in this instance the coefficients will not be identified and maximization behavior will be poor.
• PROC now prints the original (calling program) variable name if the variable is missing (instead of the dummy name inside the PROC). Also, for any error, a traceback consisting of the list of nested PROCs being called and the line numbers from which they were called is printed.
• READ will probably support the Excel 5.0 format for spreadsheet data at the time of release. OPTIONS CHARID allows character ID variables to be read.
• SHOW prints the internal limits for the program (added in 4.2b, not needed as much in 4.3 because of increased storage flexibility).
• STORE now writes DOCumentation to microTSP databanks. N/A's (missing values) are handled properly.
• TOBIT uses a globally concave parametrization that greatly improves the speed of convergence in some cases. (already in some 4.2b versions).

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