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VERSION 5.1
Oxmetrics compatibility
New linear programming command LP
ANALYZ for functions of series, improved output and options
Panel robust standard errors for PANEL, LSQ, ML, Probit
Generalized Impulse Response in VAR, plus improved plotting
Enhanced iteration in LAD and LMS, looking for multiple solutions
LogL added to LIML
FORM creates unnormalized equations
Enhancements to SORT
Speeded up FIML is some cases
New nonlinear option for stepsize, improving iteration behavior.
Circle graphs (where each data pointﾕs importance is represented
by circle size)
Greatly improved Excel spreadsheet reading ﾐ more versions, and
multiple sheets
Reading of Stata dta files up to Version 10
Improved SHOW SERIES output.
Reading up to 500 characters per line interactively (used to be
80)
Allowing various end-of-line characters in batch files (for unix/MAC
compatibility)
Labelling printed matrices
Decimal style dates for quarterly and monthly frequencies, allowing
computation
More efficient long programs with loops
VERSION 5.0
Most of the new features in TSP 5.0 involve panel data estimation,
but there are a wide variety of improvements, including many to
the graphics routines, censored quantile estimation, simple kernel
estimation and interval regression.
New commands:
* INTERVAL - Interval regression. This is like ordered
probit, but the category bounds are known in advance.
* KERNEL - univariate kernel density estimation and simple
kernel regression.
* LAD ﾐ Censored (and uncensored) quantile regression with
bootstrapped standard errors
* TOBIT ﾐ general two-limit Tobit model
* LP ﾐ linear programming, using the Simplex method.
Improved panel data commands:
* PANEL (REI,REIT) - ML estimation of one-way and two-way
random effects linear regression models. The effects in the two-way
model are normally orthogonal (Individual and Time), but they
can be partially or fully nested (such as State and Region). As
usual in TSP, the data can be unbalanced, there is no limit on
the number of individuals or time periods, and the standard errors
are computed from analytic second derivatives. The new FEPRINT
option prints the fixed effect intercepts and their standard errors
for the WITHIN model. A summary table of different panel models
estimated with ML (TOTAL, WITHIN, REI, REIT) is printed, showing
the model which minimizes SBIC.
* PROBIT (REI,FEI) - ML estimation of one-way random effects
or fixed effects Probit models. For random effects, the number
of points in the Hermite quadrature can be specified (default
20).
* AR1 (REI,FEI) - ML estimation of one-way random effects
or fixed effects AR(1) regression models. The fixed effects model
can be estimated with exact ML (retain first observations) or
conditional ML (drop first observations); for conditional ML a
common factor test is automatically computed to compare with an
unrestricted fixed effects regression with lagged dependent and
independent variables. AR1 and AR1(FEI) also work on irregularly
spaced data with conditional ML.
* 2SLS (FEI), LIML(FEI), linear SUR/3SLS/GMM/FIML (FEI)
- fixed effects in 2SLS, LIML, and systems estimation. Normally
the estimates of the actual fixed effects (intercepts) are not
shown, but their values and SEs can be printed for 2SLS. Fixed
effects are stored in the series @AI for further computations.
* Panel-grouped robust standard errors, via the HCOV=Q
(QMLE) and HCOMEGA=BLOCK/DIAGONAL options. Only available
in a few commands so far, such as OLSQ, 2SLS, PANEL, and PROBIT.
But these SEs will be added to more commands in the future.
Improved graphics:
* GRAPH(LINE) and PLOT handle panel data, by inserting
gaps between individuals.
* GRAPH (NOSORT,LINE) creates lines that are joined in
observation order, rather than being sorted by X values.
* TSP/unix versions have graphics using gnuplot interface
and .GIF output.
* HIST has graphical output (Windows/Givewin/Oxmetrics
version only).
* BJIDENT, BJEST, BJFRCST, PLOTS (PREVIEW) (Windows/GiveWin/Oxmetrics
version only) replaces the old text plots (differenced series,
residuals, forecasts, CUSUM, CUSUMSQ) with graphics plots.
* GRAPH(SURFACE) x y z; (Windows/GiveWin2/Oxmetrics version
only) gives a 3D surface plot.
Other improved commands:
* ANALYZ extensions: (1) allow expressions that vary over
observations (such as elasticities for several time periods);
(2) asymmetric confidence intervals, computed using Monte Carlo
simulation. New options control how the resulting values are to
be displayed when they vary across observations.
* BJEST(HCOV=U), ML PROC (HCOV=U) yield parameter standard
errors from numeric second derivatives (new default). Usually
much better than the BFGS or DFP rank 1 update methods. BJEST
combined with ML PROC will estimate a linear or nonlinear regression
with ARMA errors.
* BJIDENT(ESACF) - Extended Sample ACF, which is useful
for identifying stationary or nonstationary ARMA models.
* BJEST(HCOV=U,EXACTML) - numeric second derivatives for
reliable standard error computation. Can be used with ML PROC
to estimate regression models with ARMA residuals by ML.
* CDF(F,DF1=DF2=) - now handles non-integer degrees of
freedom, so it can compute the CDF for the beta distribution.
* CONVERT(MAP=) - a new way of creating series which are
aggregated or averaged over an old series.
* FIML (HCOV=C,HITER=C) gives parameter standard errors
from Discrete Hessian (a very close approximation to analytic
Hessian, based on numerical differences of the analytic first
derivatives). Can also be used for iteration, providing quadratic
convergence speed and generally smaller SEs than the default HCOV=B.
* FORM(SUM) - makes an equation as a sum of terms. For
example FORM(SUM) EQ S X1-X3; creates FRML EQ S = X1+X2+X3;
* GMM(MAP=) - sparse map matrices are handled much more
efficiently, since zero rows and columns are no longer retained
in the COVOC matrix.
* LIML stores the log likelihood for the estimates in @LOGL.
The value is the same as that computed by FIML when equations
for all the right hand side endogenous variables as a function
of the instruments are included.
* LIML (BEKKER) gives Bekker standard errors, which are
the new default and are more robust to problems with many/weak
instruments. The estiimated concentration parameter and Cragg-Donald
F-statistic are printed, for detecting models that may have this
problem.
* LIST(SUFFIX=) - similar to PREFIX=, but adds the text
to the end of each list item.
* RANDOM (MEAN=series, STDEV=series, VAR=series, REPLACE)
- the series options allow different means and different variances
for each observation. RANDOM(NOREPL) draws without replacement
(like drawing cards, or could be used for permutations).
* READ now handles all current Excel files (2/3/4/5/7/98/2000/2002).
This is especially helpful for datasets with more than 32768 rows,
although there is still a limitation of 65535 rows. READ can also
now handle Stata v7, v8, and v9 files.
* REGOPT CHOWHET - computes a Chow test which is robust
to heteroskedasticity.
* SORT(RANK,AVETIES/MINTIES) - controls how ties are handled
in the rank calculation (vs. assigning random ranks to ties).
The SORT algorithm is improved to use QuikSort, which is much
faster when there are a lot of observations.
Other improvements:
* The TSP User's Guide and TSP Reference Manual
have been converted to the smaller 6" x 9" format. They
are also available as PDF files (and HTML help systems), so you
can read the texts on your PC when your printed manuals are in
some other location.
* TSP now reads up to 500 characters per line in interactive mode
(the old limit was 80). Input files may now have linefeed (LF)
or carriage return characters (CR) at the end of the line, to
aid compatibility across Windows, MAC, and unix platforms.
* Dashed lists handle leading zeros properly. E.g. x09-x11 expands
to x09 x10 x11 instead of x9 x10 x11.
* The list @ALL is always available, and expands to all currently
defined series. So MSD @ALL; may be convenient for looking at
the data after several series have been read from a spreadsheet.
* Warning message for missing values have been streamlined and
limited in number. So it should no longer be necessary to use
commands like OPTIONS LIMWARN=0; to turn off all warnings. (this
change was made early in TSP 4.5, so it has been in effect for
quite awhile).
Copyright 2003 Stata Corporation. All Rights Reserved.
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