Pennsylvania State University
Department of Economics
University Park, PA 16802, USA

Note that most EasyReg tasks require data. Therefore, when you start up EasyReg for the first time, the menu items that require data are disabled. To learn how to import data in EasyReg, consult the guided tours and the Help menu.

Previous versions of EasyReg have been favorably reviewed by

• Sephton, Peter S. (1998), "EasyReg: Version 1.12", Journal of Applied Econometrics 13, 203-207.
• Choi, Hwan-sik and Nicholas M. Kiefer (2005), "Software evaluation: EasyReg International", International Journal of Forecasting 21, 609-616.

EasyReg is designed for my own use in research and teaching, as well as a service to the econom(etr)ics community. If you have your own web page, and you like EasyReg, please put a link on your page to EasyReg, so that Google can list it.

Moreover, if you use EasyReg for research, please refer to it in the reference list of your paper as:

• Bierens, H. J. (2007), "EasyReg International", Department of Economics, Pennsylvania State University, University Park, PA 16802, USA (http://econ.la.psu.edu/~hbierens/EASYREG.HTM)

The present version of EasyReg may not be free of bugs. By using EasyReg you automatically agree to not holding me or the Pennsylvania State University liable for any damage caused by errors or viruses. As to the latter, all the EasyReg files have been scanned for possible viruses. If you encounter problems, please let me know.

Why is EasyReg free for non-commercial use?

EasyReg is completely free for non-commercial use. It may be downloaded freely, without my written consent, on home computers, lap-tops and stand-alone computers and networks of non-commercial institutions and organizations. The latter include for example public and private universities anywhere in the world, US and foreign government agencies, and United Nations agencies. If you work for a for-profit organization and you download EasyReg and use it on your home computer, that is fine, but you may not put it on your office computer or company network without paying for it.

EasyReg was originally designed to promote my own research. I came to realize that getting my research published in econometric journals is not enough to get it used. But writing a program that only does the Bierens' stuff would not reach the new generation of economists and econometricians. Therefore, the program should contain more than only my econometric techniques.

When I taught econometrics at Southern Methodist University in Dallas in the period 1991-1996, I needed software that my graduate students could use for their exercises. The existing commercial software was not advanced enough, or too expensive, or both. Therefore, I added the econometric techniques that I taught in class first to SimplReg, and later on to EasyReg after I had bought Visual Basic 3.

Meanwhile, working on EasyReg became a hobby: my favorite pastime during rainy weekends.

When I moved to Penn State University, and made EasyReg downloadable from the web, people from all over the world, from developing countries in Asia and Africa as well as from western Europe and the USA, wrote me e-mails with econometric questions, suggestions for additions, or just saying "thank you". It appears that many students and researchers have no access, or cannot afford access, to commercial econometrics software. By making EasyReg commercial I would therefore let these people down.

There are also less altruistic reasons for keeping EasyReg free:

• By keeping EasyReg free my own econometric work incorporated in EasyReg will get the widest distribution.
• I will never be able to make enough money with a commercial version of EasyReg to be compensated for the time I have invested in it.
• Going commercial would leave me no time for my own research.

Commercial use of EasyReg

• Single copy: $ 300
• Multiple copies:
  • 2 copies $ 500
  • 3 copies $ 650
  • 4+ copies $ 650 + $100 per copy
• Site licences (single server): $1,200
• Site licences (multiple servers): $ negotiable

Herman J. Bierens
Department of Economics
The Pennsylvania State University
608 Kern Graduate Building
University Park, PA 16802, USA.

What does EasyReg do?

EasyReg does most of the econometrics tasks available in competing commercial software, in particular:

• E-Views. This is the closest competitor of EasyReg.
• GiveWin-PcGive-PcFiml
• Microfit
• Minitab
• RATS
• Shazam
• Stata
• TSP

The EasyReg menus

Menu

EasyReg contains modules (accessible via "Menu" and its sub-menus) which conduct:

• Input

  • Transformations of variables: linear and multiplicative transformations, log, exp, differences, percentage changes, lags, moving averages, dummy variables for subsets of observations, seasonal dummy variables, various indicator functions, and customized transformations.
  • Renaming variables
  • Deleting variables
  • Converting monthly time series to quarterly time series
  • Preparing time series data for out-of-sample forecasting
  • Reordering cross-section observations
  • Sorting variables by name

• Output

  • Viewing and/or printing the output text file via Windows Notepad (or Wordpad if too big).
  • Viewing, editing, and printing bitmap output files, via Windows Paint.

• Data analysis:

  • Tabulating data.
  • 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.
  • Drawing scatter diagrams.
  • Kernel estimation of univariate and bivariate density functions (two versions: standard kernel density estimation, and Bierens' SMINK estimation).
  • Auto- and cross-correlation functions for time series. In the autocorrelation case also the Box-Pierce Q statistics, the Ljung-Box Q statistics, and the partial autocorrelations are computed.
  • Periodogram of a time series
  • Correlation matrix and its eigenvalues.
  • Unit root and stationarity tests:
    • Augmented Dickey-Fuller tests,
    • Phillips and Phillips-Perron tests,
    • Bierens' unit root tests on the basis of higher order sample autocorrelations,
    • Bierens' unit root tests against nonlinear trend stationarity,
    • Breitung's nonparametric unit root tests,
    • Bierens-Guo tests of the (linear trend) stationarity hypothesis against the unit root (with drift) hypothesis.
    • KPSS tests of the (linear trend) stationarity hypothesis against the unit root (with drift) hypothesis.
  • Bierens' test for complex conjugate unit roots.

• Single equation models:

  • Linear regression analysis, which in the time series case can be extended to models with ARMA errors and/or GARCH errors.
  • Discrete dependent variables modeling:
    • Logit and Probit
    • Multinomial Logit
    • Poison regression
    • Binomial Logit
    • Negative binomial Logit
    • Ordered Logit
  • Tobit analysis.
  • Heckman's sample selection model (for cross-section data only).
  • Right-censored and interval-censored proportional hazard models (for cross-section data only).
  • Quantile regression.
  • Two-stage least squares/instrumental variables estimation.
  • Kernel estimation of the error density of linear and nonlinear regression models, quantile regression models, and two-stage least squares models.
  • Nonparametric kernel regression with one or two explanatory variables.
  • Bierens' nonparametric SMINK regression with one or two explanatory variables.
  • Tests for ARCH (linear regression models only).
  • Out-of-sample forecasting with linear and nonlinear regression models.
  • ARIMA model specification, estimation, and forecasting.
  • Wald and F-tests of linear parameter restrictions.
  • Kiefer-Vogelsang-Bunzel (KVB) test of linear parameter restrictions in linear time series regression models with serially correlated errors.
  • Integrated Conditional Moment (ICM) test of model correctness of regression models and cross-section quantile models.

• Multiple equations models:

• Linear General Method of Moments (GMM) estimation of a system of linear equations with possibly common coefficients, including seemly unrelated regression (SUR) estimation, and estimation of fixed effect or pooled panel data models.
• VAR innovation response analysis: Sims' nonstructural VAR, and Bernanke's structural VAR analysis, including asymptotic innovation response confidence bands.
• VAR forecasting.
• Johansen's cointegration analysis, including innovation response analysis with cointegrated vector error correction models (without confidence bands, though).
• Breitung's nonparametric cointegrationtest.
• Bierens' nonparametric cointegration test.
• Bierens' nonparametric nonlinear co-trending test.

• User-defined nonlinear models:

  All the econometric tasks in the previous menu items can be conducted simply by point-and-click. The following modules, however, allow you to program the functional form of the models involved. The programming itself is still done by point-and-click, though.

  • Nonlinear regression analysis, which in the time series case can be extended to nonlinear models with ARMA errors.
  • Maximum likelihood.
  • Nonlinear General Method of Moments estimation.

• Miscellaneous modules:

  Miscellaneous modules are modules based on my work in progress, in particular semi-nonparametric survival analysis.

File

The "File" menu has the following submenus:

• Current data

  • Viewing the number setting of Windows.
  • Viewing the current start-up folder.
  • Viewing the current input file.
  • Editing the input file comments.
  • View or edit the EasyReg database:
    EasyReg comes with its own database containing various data to play with. You may add variables from the current data file to this database, delete variables from the database, or restore the database from backup.
    The database files involved are EASYREG.DB1 and EASYREG.DB2, respectively, in the EasyReg folder, with corresponding backup files ERDBBAK.DB1 and ERDBBAK.DB2. Only the latter two files are included on the setup disk. If you run EasyReg for the first time, the backup files ERDBBAK.DB1 and ERDBBAK.DB2 are automatically copied to EASYREG.DB1 and EASYREG.DB2, respectively. If you upgrade an older version of EasyReg, the latter is not done, in order to prevent the existing database files from being overwritten. (The files EASYREG.DB1 and EASYREG.DB2 are random access files. If you try to import these files in a text editor or wordprocessor, they will be damaged.)
    If the current folder does not contain a sub-folder EASYREG.DAT, you can only view, restore, or backup the database, but not retrieve variables from the database. For retrieving variables from the database, see below.

• Get data

  EasyReg creates a sub-folder EASYREG.DAT, containing the random access data files INPUT1.RAN and INPUT2.RAN, the output text file OUTPUT.TXT, picture files (*.BMP), and various auxiliary files (*.TMP), in the folder where EasyReg has been started up. The auxiliary files (with extension TMP) are created during the EasyReg session and deleted automatically when you quit. If you start up EasyReg in a folder already containing the sub-folder EASYREG.DAT, you can continue the previous session. All output is stored and can be printed via Windows.
  When you activate EasyReg, it will automatically move to the last folder in which you have activated EasyReg, so that you may continue the previous EasyReg session.

  This submenu has the following items:

  • Searching the hard disk for Excel files in CSV format.
  • Searching the hard disk for input files in EasyReg space delimited text format.
  • Retrieving data from the EasyReg database.
  • Creating artificial data.
  • Continue with a previous EasyReg session.

• How to get data

  This item opens a guided tour for first time EasyReg users, explaining step-by-step how to import data in EasyReg.

Help

This menu answers most of the questions which may arise when you start-up EasyReg for the first time. This help menu item is also available online:

Online help menu.




Back to top.

Level

The Level menu enables you to set the econometrics level. EasyReg is designed to be used in undergraduate, intermediate, and advanced econometrics courses, as well as for empirical economic research. Therefore, the user can start-up the program at various levels, so that the topics and features that have not yet been taught in class so far will be suppressed. If you use EasyReg for empirical economic research, choose the "Research level" option, otherwise choose the appropriate "Student level" option. However, the "Student level" only applies during the EasyReg session. The "Research level" is the default.

• Novice student level

  • Bivariate least squares regression only.
  • + t-values, R-square, TSS, RSS, standard error.
  • + Out-of-sample forecasting
  • + Multivariate least squares regression. Variance matrix.
  • + Lagged dependent and/or independent variables
  • + Dummy variables (as regressors)
  • + Breush-Pagan heteroskedasticity test.
  • + Heteroskedasticity consistent t-values.
  • + Jarque-Bera/Salmon-Kiefer normality test.
  • + Durbin-Watson autocorrelation test.

• Intermediate student level

  • + F and Wald tests of joint significance and linear parameter restrictions.
  • + Probit/Logit analysis.
  • + Poisson regression.
  • + Binomial Logit regression.
  • + Negative Binomial Logit regression.
  • + Two-stage least squares.
  • + Linear time series regression models with ARMA errors.
  • + Tests for ARCH.
  • + Augmented Dickey-Fuller unit root tests.

  You cannot choose sub-levels.If you choose this option, then you choose all of the above.

• Advanced student level:

  • + Everything else, except the "Bierens stuff" listed below.

• Research level

  The research level includes the advanced level, plus the approached in the following papers:

• Bierens, H.J. (1983): "Sample Moments Integrating Normal Kernel Estimators of Multivariate Density and Regression Functions", Sankhya, Series B, 45, 160-192
• Bierens, H.J. and S.Guo (1993): "Testing Stationarity and Trend Stationarity Against the Unit Root Hypothesis", Econometric Reviews 12,1-32.
• Bierens, H.J. (1993): "Higher Order Autocorrelations and the Unit Root Hypothesis", Journal of Econometrics 57, 137-160.
• Bierens, H.J. (1997): "Testing the Unit Root Hypothesis Against Nonlinear Trend Stationarity, With an Application to the Price Level and Interest Rate in the U.S.", Journal of Econometrics 81, 29-64.
• Bierens, H.J. (1997): "Nonparametric Cointegration Analysis", Journal of Econometrics 77, 379-404.
• Bierens, H.J. and W.Ploberger (1997): "Asymptotic Theory of Integrated Conditional Moment Tests, Econometrica 65, 1129-1151.
• De Jong, R.M. (1996): "The Bierens Test under Data Dependence", Journal of Econometrics 72, 1-32.
• Bierens, H.J. (2000): "Nonparametric Nonlinear Co-Trending Analysis, with an Application to Interest and Inflation in the United States", Journal of Business & Economic Statistics 18, 323-337.
• Bierens, H.J. (2001): "Complex Unit Roots and Business Cycles: Are They Real?", Econometric Theory 17, 962-983.
• Bierens, H.J., and D.K. Ginther (2001): "Integrated Conditional Moment Testing of Quantile Regression Models", Empirical Economics 26, 307-324.

The research level option is the default option when EasyReg is started up. The chosen student level is applicable only during the current session, and can be changed during the session.

Tools

EasyReg contains various Tools modules:

• Teaching tools

  Demonstration of

• the difference between the concepts of convergence in probability and convergence in distribution,
• the size and power of the t-test,
• plot of the density of bivariate normal distribution for different marginal variances,
• various Wiener processes, and
• spurious time series regression results.

• Distribution tools

  • Computation of binomial numbers and the probabilities of the binomial, hypergeometric, negative binomial, and the Poisson distribution.
  • Computation of either the cumulative distribution function F(x) and corresponding p-value in a given x, or the critical value at a given significance level, for the following standard distributions:
  • Standard normal
  • standard Cauchy
  • Student t
  • Chi-square
  • F
  and the null distributions of the (Augmented) Dickey-Fuller and Phillips-Perron unit root tests. All test statistics which have one of these (asymptotic) null distributions are automatically endowed with (asymptotic) p-values.

• Matrix tools

  For a given matrix A, his module computes A', AA', A'A, A^2, trace(A), A^-1, det(A) (the latter four if A is square), the eigenvalues and eigenvectors of A if A is symmetric, diag(A) if A is a row or column vector, and for conformable matrices A and B: A+B, A-B, and AB.

• Plot a function

  This module allows you to plot a function of one or two variables from data on file.

• Microsoft Excel tools

  • Searching your hard disk for the location of the Excel executable file EXEL.EXE.
  • Taking a subsample from an Excel CSV file if this file is too large to fit in EasyReg.

• Make an EasyReg stand-alone CD

  • How to run EasyReg from CD without installing it on the host computer.
  • How to to make this CD.

WWW

The WWW menu gives access (via the default web browser) to
• my email address,
• my home page,
• the current web page,
• the EasyReg mirror site in Brazil (see below),
• the EasyReg mirror site in Colombia (see below),
• my web page downloadable papers,
• my web page downloadable lecture notes,
• the web page of the Department of Economics at Penn State,
• Upgrading EasyReg to the current version.
• Upgrading and downloading the EasyReg guided tours.

Tours

The Tours menu gives access (via the default web browser) to the available guided tours. These tours are in the form of HTM files with associated JPG picture files, located in the EasyReg folder, provided that you have downloaded them. See the EasyReg download web page for the available guided tours. They are also available online. Note however that these guided tours come with many JPG picture files, hence if your internet connection is slow it may take a long time to load them.

Online guided tours.





Back to top.

Data size limitations

All arrays in EasyReg are declared with variable dimensions. However, the number of observations is stored in an integer variable, which in Visual Basic 5 is limited to a maximum value of 32767. Consequently, if you try to import a data set with more than 32767 observations you will get an error message, and EasyReg will crash. On the other hand, such large data sets are rare in empirical econometrics. Therefore, in practice the amount of data that EasyReg can handle depends on the memory capacity of your computer.

Structure and appearance of EasyReg

In order to allocate the maximum amount of memory to the data, EasyReg is chopped up in separate EXE files conducting specific tasks. The main program, EASYREG.EXE, is only a shell around these other EXE files, containing the menus. The specific EXE files will not run stand-alone. The EasyReg EXE files are Multiple Document Interface (MDI) programs with non-movable child forms. The control buttons of the child windows have been removed in order to prevent the user from accidentally closing or reactivating a child window. The reasons for the latter are twofold:

• The structure of EasyReg is linear: the various tasks have to be conducted in a particular order.
• MDI programs which keep all the child windows visible are often confusing: You need a manual to determine which window to activate.

Under full screen mode some of the control buttons of EasyReg may be covered by the taskbar. If so, open Control Panel > Taskbar and Start Menu > Taskbar, and check Auto-hide.

Running EasyReg from a network server

Single user mode

EasyReg runs default in single user mode: In this mode it is not possible to activate more than one instance of EasyReg. The reason is the following:

When you start-up EasyReg (in the default single user's mode), it creates a sub-folder TEMP and a further sub-folder TEMP\REGISTR in the EasyReg system folder. The folder TEMP is used for storage of the setting of EasyReg, such as the last position and size of the EasyReg main window, and the path of the last folder where you have started up EasyReg. The registration information (in particular your name) is stored in sub-folder REGISTR. Therefore, if it would be possible to run multiple instances of EasyReg, the files in sub-folder TEMP, in particular the file STARTDIR which contains the path of the folder were the current EASYREG.DAT sub-folder is located, will be messed up, so that neither instance of EasyReg will run correctly.

Moreover, if EasyReg is installed on a server, the EasyReg system folder is usually write protected, so that EasyReg cannot create and/or write to the sub-folders TEMP and TEMP\REGISTR in the system folder.

The network solution

If EasyReg is installed on a network server, it should be started-up by executing EASYREGN.EXE instead of EASYREG.EXE. Program EASYREGN.EXE opens with the following window:

In the Department of Economics at Penn State, EasyReg has been installed on server "godzilla" in folder EasyReg. Each graduate economics student and economics faculty has his or her own folder on network drive H (which is actually a virtual drive of another server). My folder is h:[HBierens] and I have stored the settings of EasyReg in folder "h:[HBierens]\EasyReg Setting". This folder is used by EasyReg in the same way as the folder TEMP in the single user mode. Therefore, in order to run the network version of EasyReg, I have to click drive H, double click folder "EasyReg Setting", and then click the "Start EasyReg" button. If the folder involved does not yet exist, you may type the path of the user's folder in the text box. EasyReg will then create this folder. It is not allowed to store the EasyReg setting in the root folder (h:[HBierens] in my case); you have to use an existing sub-folder or create one.

When you click "Start EasyReg", the path to this folder is passed on to EASYREG.EXE, and then EasyReg will run in almost the same way as in single user mode. The only exceptions are:

• The users can no longer change the database; they can only read it, and retrieve data from it.
• The menu item "Copy the Windows system files to the EasyReg folder" in the File menu is not available.
• The menu item "Upgrade EasyReg to the latest version" in the WWW menu is not available.
• The menu item "Upgrade EasyReg guided tours" in the WWW menu is not available.

Network administrators, please take notice of the following:

Before EasyReg can run from the network server, you have to initialize it.

Download

• Download EasyReg International from the Penn State website.
  
  
  
• Download EasyReg International from the EasyReg mirror site in Brazil, maintained by Dr. Claudio Shikida, Ibmec - Minas Gerais, Belo Horizonte, Brazil.
  
  
  
• Download EasyReg International from the EasyReg mirror site in Colombia, maintained by Dr. Julio César Alonso, Universidad ICESI, Cali, Valle, Colombia
  
  
  

Remarks

1. The EasyReg mirror sites are less frequently updated than the Penn State site. Therefore, after downloading EasyReg from one of the mirror sites, open the menu items
   • Upgrade EasyReg to the latest version
   • Upgrade EasyReg guided tours
   in the WWW menu to check for upgrades.

2. If you are an econometrics instructor using EasyReg for teaching, and downloading EasyReg in your country from the Penn State web site is too slow, you may consider creating an EasyReg mirror site at your institution, similar to the mirror sites in Brazil and Colombia. If so, I will send you a CD ROM with the EasyReg setup files.

Links

• Current number and origin of registered EasyReg users.
  
  
• SimplReg (SIMPLe REGression), the DOS predecessor of EasyReg. EasyReg is much better, of course, but SimplReg comes with the Quick Basic 4 source code which you may freely cannibalize for your own programs, rather than asking me for the complete source code of EasyReg (which I will not give away!).
  
  
• Parts of this web page, the help menu, and guided tours on OLS estimation, how to import CSV files, and how to use the EasyReg database, have been translated in French by Nasser Ary Tanimoune (Niger). See his web site.
  
  
• After you have downloaded EasyReg it is recommended that you check out regularly which bugs have shown up so far and which new features have been added.
  
  
• Back to my home (page)