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Econometric software reviews involving TSP

Note: reviews are ordered most recent first. Revised 10/16/01

Sebastien Laurent, and Jean-Philippe Peters, G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models, Journal of Economic Surveys 16, 2002, pp.447-485

• Includes a section on accuracy and a feature comparison of several packages, including TSP 4.5

Chris Brooks, Simon P. Burke, and Gita Persand, Benchmarks and the accuracy of GARCH model estimation, International Journal of Forecasting 17, 2001, pp.45-56

• EViews 3.1, Gauss 3.2.39-FANPACK 1.1.11/2, LIMDEP 7.0, MATLAB 11, Microfit 4.0, SAS 6.12, Shazam 8.0, RATS 4.3, TSP 4.5

Bruce McCullough, Econometric Software Reliability: EViews, LIMDEP, SHAZAM, and TSP, Journal of Applied Econometrics 14, 1999, pp.191-202

Bruce McCullough, and Charles Renfro, Benchmarks and software standards: a case study of GARCH procedures, Journal of Economic and Social Measurement 25, 1998, pp.59-71

• Note: TSP is package "X7"

Chris Brooks, GARCH Modelling in Finance: A Review of the Software Options, The Economic Journal, July 1997

• Gauss 3.2, RATS 4.2, TSP 4.2

Julian Silk, TSP 4.4: A Review, Journal of Applied Econometrics, July-August 1997

Julian Silk, Systems Estimation: A Comparison of SAS, SHAZAM, and TSP, Journal of Applied Econometrics, 1996, pp.437-450

• SAS, SHAZAM, TSP. Discusses iterated SUR and FIML

Junghun Kim and Pravin K. Trivedi, Econometric Time Series Analysis Software, The American Statistician, November 1994

• MicroTSP, PC-GIVE, RATS, TSP

Peter Sephton and Hans Larsen, Time series packages for 386 PCs, Economic and Financial Computing, Winter 1993

• RATS, SHAZAM, TSP, 8 others

Jeffrey MacKie-Mason, Econometric Software: A User's View, Journal of Economic Perspectives, Fall 1992, pp.165-187.

• Gauss, RATS, SAS, SST, STATA, TSP
• Compares all packages using several applied econometrics problems:
  1. Data tranformations - Compustat panel, using CUSIP as char i.d., dropping firms with < N years of good data, merging in annual tax data.
  2. 3SLS w/ het-robust SEs
  3. Panel/VarComp unbalanced/balanced
  4. Cox proportional hazards model

Pierre Blanchard, Software Review, in The Econometrics of Panel Data, L. Matyas and P. Sevestre (eds.), Kluwer Academic Publishers, 1992, pp. 521-546

• Gauss, LIMDEP, RATS, SAS, TSP Emphasis on panel data features.

Robert S. Rycroft, Microcomputer Software of Interest to Forecasters in Comparative Review, International Journal of Forecasting, 1993, pp. 531-575

• 104 packages, including TSP. This review is a series of tables with checks for included features.

Floor van Nes and Arie ten Cate, Software for econometric research with a personal computer, International Journal of Forecasting, 1989, pp. 263-278

• Aremos/PC, EAL, EPS/PC, ESP, IAS/PC, MicroTroll, Modler, OTIS, PC TSP, RATS, SAS/ETS, Soritec, SIMPC. Tables of features, with a special emphasis on simultaneous equation solution.

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