What's new in TSP 4.2a

 
NEW TIME SERIES ESTIMATION TECHNIQUES

ARCH estimates the GARCH-M class of models, which allows the variance of the disturbance in a regression equation to evolve as an ARMA process whose mean is a function of a set of variables. Special cases of this model are ordinary ARCH and weighted least squares.

GMM (Generalized Method of Moments) uses instrumental variables or minimum distance estimators popularized by Hansen, Singleton, and others whereby the weighting matrix is (optionally) a heteroskedastic- and autocorrelation- consistent estimate. GMM can be used to estimate parameters of a set of orthogonality conditions implied by a rational expectations model. GMM is more general than that, however, and has applications outside of time series data.

KALMAN estimates linear regressions using the Kalman filter, as well as more elaborate state space models (time- varying parameters, adaptive regression, stochastically convergent parameters).

VAR estimates vector autogressions (including exogenous variables), calculates impulse response functions, and forcasts error variance decompositions.

OTHER NEW COMMANDS

CDF calculates tail probabilities (p-values) or critical values for the F, t, chi-squared, normal, and bivariate normal. CDF can also calculate the significance levels for unit root testing (using the Dickey-Fuller methodology) and cointegration tests (using the Engle-Granger methodology).

DOC creates and stores documentation for series or other variables in a TSP databank.

HELP gives basic command syntax and is now available on all computers.

MAT calculates a matrix algebra equation, using natural notation such as B = (X'X)"X'Y. Operators available include addition, subtraction, multiplication, inversion, transpose, Kronecker product, and Hadamard product. MAT provides many matrix functions, such as CHOL, IDENT, EIGVAL, EIGVEC, VEC, VECH, DIAG, TR, DET, LOGDET, MIN, MAX, SUM, NROW, NCOL, and RANK.

PANEL estimates linear regression models for balanced or unbalanced time series-cross section data. PANEL can handle pooled, between, within (fixed effects), and variance components (random effects) models. Grouped means and tests for equality are also provided.

REGOPT controls the calculation and display of regression diagnostics. Since a large number of new diagnostics have been added, REGOPT enables the user to customize his program to eliminate irrelevant diagnostics. P-values and stars can also be automatically computed for most statistics. The new diagnostics are:

• DH (Durbin's h; alternative statistic DHALT also still available)
• LMARx (Breusch-Godfrey LM tests for autocorrelation of order x)
• QSTATx (Ljung-Box Q statistics for autocorrelation of order x)
• WNLAR (Wald test for AR(1) vs. misspecified dynamics)
• ARCH (test for ARCH(1) residuals)
• RECRES (recursive residuals; useful for CUSUM, CUSUMSQ tests)
• CHOW (F-test for stability of coefficients in split sample)
• LRHET (LR test for heteroscedasticity in same split sample)
• WHITEHET (White het. test on cross-products of RHS variables)
• BPHET (Breusch-Pagan het. test on user-supplied list of variables)
• JB (Jarque-Bera normality test)
• AIC (Akaike Information Criterion)
• SBIC (Schwarz Bayesian Information Criterion)

SORT sorts one or more series, and is useful for reordering panel data among other things.

NEW FEATURES IN OLD COMMANDS

ANALYZ - Names of calculated coefficients, their estimated values, standard errors, and variance-covariance are stored under the names @RNMSA, @COEFA, @SESA, and @VCOVA so that several ANALYZs may be performed following a single estimation (without destroying the input data required by ANALYZ).

CAPITL - END option causes end-of-period capital stock to be computed rather than beginning-of-period.

FORM - Linear equations (FRMLs) for use in LSQ and other procedures can now be formed automatically after OLSQ, INST, or AR1. The NAR option allows easy estimation of AR(p) models with LSQ.

LOGIT - The @DPDX and @DPDZ matrices are now printed by default and labelled with the variable names and corresponding values of the dependent variable.

MFORM has the addition of a BLOCK option for forming block diagonal matrices.

MSD's ALL option computes skewness and kurtosis in addition to other statistics.

Output with PDL variables has been rewritten to report unscrambled coefficients only. Thus, there is no longer any difficulty in using PDL equations for forecasting, since coefficients of unscrambled variables are stored in the equation. A new option for Shiller distributed lags has been added to PDL variables (in OLSQ only). Shiller lags relax the polynomial constraint slightly.

OPTIONS - LIMWARN= (suppresses printing of warning messages), DOUBLE (specifies that all series should be stored in double precision), DISPLAY= (for PC Graphics version), and SECONDS= (tells how often to update screen message in long procedures).

PRIN - Addition of MAXIT option to limit or extend the number of iterations used to find the principal components.

READ/WRITE - Addition of BYSER option for reading data matrix in transposed form (by series instead of observation), FORMAT=RB8 for double precision binary format, and FORMAT=LOTUS for PC version to read Lotus or other spreadsheet files (already released in PC TSP 4.1C version).

GENERAL IMPROVEMENTS

All scalars (CONSTs or PARAMs) are now stored as double precision for improved accuracy.

Previous limits on matrix size (<16384; elements) or time series length (<32768;) have been removed, as have the limits on the number of instruments or endogenous variables. There is still a limit on the number of observations in TSP (4.2, but not 4.3), but now the limit can be set >32768; when making a custom version.

Improved list processing, with expressions expressions like A0-A2 (starting with zeroes), X(-1)-X(-1) (beginning and ending the same), L1A-L10A, and M1A1-M10A1 (internal index), being allowed.

Improved error-handling and reporting of numerical errors in nonlinear procedures. In SOLVE, the equation number is reported when there is a numerical error.

Equations non-differentiable at a finite number of points (such as those involving logical expressions) are now allowed for estimation or simulation. The derivative is defined to be zero at those points.

Improved MISSING VALUE report names the series with the missing values and how many are in each series.

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