Program package SIMPLREG: SIMPLe REGression analysis   

This program package conducts various elementary and advanced econometric
estimation and testing tasks in a simple, menu-driven, way. In particular,
SIMPLREG contains modules that conduct:

- Linear regression analysis, which in the time series case can be extended
  to models with ARMA errors or models with ARCH errors.
- Instrumental variables estimation (two-stage least squares).
- Limited dependent variables modelling, i.e. logit/probit analysis, Poisson
  regression and Binomial regression.
- VAR regression and innovation response analysis, including structural VAR.
- Nonlinear regression analysis, maximum likelihood estimation, and 
  nonlinear GMM estimation. In order to use these modules, you have to buy 
  and install Microsoft Quick-Basic 4 first. The regression, likelihood, and
  moment functions are specified by entering Quick-Basic code, using the 
  Quick-Basic editor called by SIMPLREG.
- Tests of linear parameter restrictions.
- Test of homoskedasticity of errors against ARCH.
- Bierens' integrated conditional moment test for misspecification of the
  functional form, and De Jong's version of this test for testing 
  correctness of dynamic models.
- Tests of the unit root hypothesis for univariate time series, i.e., the
  Phillips-Perron tests, the Bierens-Guo Cauchy tests of the null of (trend)
  stationarity against the unit root (with drift) hypothesis, Bierens' unit
  root tests on the basis of higher-order sample autocorrelations, the
  augmented Dickey-Fuller test, and Bierens' tests of the unit root with 
  drift hypothesis against nonlinear trend stationarity.
- Tests for cointegration, i.e., Johansen's cointegration tests and Bierens'
  nonparametric cointegration test.
- Reading and merging data files, in various forms.
- Searching the hard disk for suitable data files.
- Viewing the current input file.
- Viewing the output file.
- Calculating summary statistics of the data: sample mean and standard 
  error, minimum, maximum, effective sample size, and the quantiles in 
  steps of 10%.
- Plotting time series.
- Plotting partial sums of time series.
- Drawing scatter diagrams.
- Plotting the time path of a bivariate time series.
- Calculation and plotting of auto- and cross-correlations.
- Transformations of variables: linear and multiplicative combinations, log,
  exp, differences, percentage changes, lags, moving averages, partial sums,
  dummy variables for subsets, seasonal dummy variables, indicator 
  functions, truncation, trends, constants, and customized transformations.
     
All the modules are menu-driven, and as self-explanatory as possible. Thus,
this program package is simple in use, but advanced in contents.
        There is also an even more 'simple' version of SIMPLREG available, 
in which the advanced econometric features are hidden. This version is 
designed to be used in undergraduate and MA/MBA level applied econometrics 
courses. In particular, in this version the module for testing linear 
restrictions has been disabled, so that the students have to conduct the F 
test and LR test of parameter restrictions by hand. This version can be 
easily converted into the advanced one, without reinstallation, by deleting
one of the files in directory \SIMPLREG. Try to figure out which one!
Alternatively, you can upgrade SIMPLREG to the advanced version by correctly
answering three econometric questions!
        The program creates a sub-directory SIMPLREG.DAT, containing the 
data files, the output file SIMPLREG.DAT\OUTPUT, and various auxiliary 
files, in the directory from where SIMPLREG is called. If you call SIMPLREG
from a directory already containing the sub-directory SIMPLREG.DAT, you can 
continue the previous session.
        All non-graphical output is stored and can be printed later on, but
in order to print the graphical output, one has to make screen dumps.
        The default format of SIMPLREG data files is:
        
        k vmis
        Name of variable 1
        Name of variable 2
        ..............
        Name of variable k
        x(1,1) x(1,2) .... x(1,k)
        x(2,1) x(2,2) .... x(2,k)
        .........................
        x(n,1) x(n,2) .... x(n,k)

where 'k' is the number of variables, 'vmis' is the missing value code, 'n' 
is the number of observations, and x() is the data matrix. Numerical data 
are separated by a comma or a blank. The data matrix x() may also be entered
in vector form, with each data point x(t,i) on a separate line, or on one 
line only, as long as the order 
     x(1,1), x(1,2),..., x(1,k),......,x(n,1), x(n,2),....,x(n,k) 
is preserved. The missing value code 'vmis' should be such that x(i,j) 
= vmis only if data point x(i,j) is a missing value, for example, set 
vmis = -99999. Set vmis = 0 if and only if there are no missing values. 
In the time series case missing values are only allowed at the beginning or 
the end of the time series. In the cross-section case missing values are 
allowed anywhere. However, if so, one can no longer write OLS residuals to 
the data file. The variable names may be up to 60 characters long, and may 
contain blanks, numbers, etc., except the characters #, &, ^, and $.
        A second format for SIMPLREG data files is:

        Name(1)  Name(2) .... Name(k)
        x(1,1)   x(1,2)  .... x(1,k)
        x(2,1)   x(2,2)  .... x(2,k)
        ............................
        x(n,1)   x(n,2)  .... x(n,k)

where Name(i) is the name of variable i. These names should not contain 
blanks or commas, and should appear on the first line only, as otherwise 
SIMPLREG cannot determine the correct number of variables 'k'. SIMPLREG 
will ask for the missing value code.
        The third and fourth formats for SIMPLREG data files are:

        x(1,1)   x(1,2)  .... x(1,k)
        x(2,1)   x(2,2)  .... x(2,k)
        ............................
        x(n,1)   x(n,2)  .... x(n,k)

and its transpose:
        
        x(1,1)   x(2,1)  .... x(n,1)
        x(1,2)   x(2,2)  .... x(n,2)
        ............................
        x(1,k)   x(2,k)  .... x(n,k)

respectively. SIMPLREG will ask you for the number of variables 'k', the
variable names and the missing value code 'vmis'.
        SIMPLREG copies the data file to file INPUT in directory 
SIMPLREG.DAT, in default format, which serves as a backup file. If the 
previous data file is of the same frequency, you may merge the old and 
new data file. SIMPLREG actually uses only a second copy of the (merged) 
data file, namely the file SIMPLREG.DAT\INPUT1. All transformations of 
variables are written to the latter file.
        In the directory SIMPLREG you will find various data files to play
with. These data files are already in the default format:

- NELPLOS.DAT, containing the extended Nelson-Plosser annual time series for
  the US, from 1860 to 1988 (extended by Peter Schotman and Herman van 
  Dijk).
- SWEDEN.DAT, containing three annual time series for Sweden from 1861 to 
  1988.
- MDUSA1.DAT and MDUSA2.DAT, containing monthly data for the US from 1960.01
  to 1987.12, and 1939.01 to 1995.01, respectively.
- QDUSA.DAT, containing quartely data for the US from 1939.1 to 1995.1, and
- CSDUTCH.DAT, containing a cross-section of 2000 Dutch wage earners, used 
  by Bierens and Hartog (1988), Journal of Econometrics 38, 269-299.
        

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