EasyReg: 1998 versions

Difference between Version 1.13 (January 1998) and Version 1.12 (December 1997):

If you take impossible transformations, such as a log of a negative number, EasyReg incorrectly replaced the missing value code by zero (no missing values). This problem also occurred if you take an exp transformation of too big a number, or if a transformation is ineffective or just too effective (min/max, dummies). These transformations will no longer be allowed: EasyReg will then give a warning, indicating the problem, and abort all transformations.
The VAR innovation response analysis was limited to systems of no more than 9 variables. This upperbound has been removed. However, large VAR models may cause an "out-of-memory" error, depending on the memory capacity of your PC. Moreover, for VAR systems with more than 9 variables it is no longer possible to impose Granger causality restrictions.
Bierens' nonparametric cointegration test was limited to cointegrated systems of no more than 5 variables. This upperbound has been increased to 10. The critical values of the test, and the optimal number "m" of Chebishev time polynomials, have been recalculated and build in. See the extended Tables 1-4 of: Bierens, H.J., "Nonparametric Cointegration Analysis", Journal of Econometrics 77 (1997), 379-404.

Johansen's cointegration procedure, however, is still confined to systems of no more than 5 variables.

The computation of auto- and cross-correlation functions required a minimum of 30 time series observations. This lowerbound has been reduced to 10, because there was a demand for it. However, with such short time series the estimate of the auto/cross-correlation function is highly unreliable!

Difference between Version 1.14 (February 1998) and Version 1.13 (January 1998):

There were several bugs in the module for testing the unit root with drift hypothesis against nonlinear trend stationarity. Thanks to Dave Cushman for pointing this out to me.

Difference between Version 1.15 (February 1998) and Version 1.14 (February 1998):

The options for the deterministic parts (intercept, linear time trend, seasonal dummies) in the modules for linear time series regression models and VAR innovation response analysis have been augmented with nonlinear time trends, using Chebishev time polynomials, in order to capture data heterogeneity. See: Bierens H.J. (1997): "Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the US Price Level and Interest Rate", Journal of Econometrics 81, 29-64 (This option was already available in SIMPLREG, the DOS predecessor of EasyReg). However, if you choose this new option then out-of-sample forecasting with linear time series regression models is no longer possible, because Chebishev time polynomials cannot be extrapolated. I needed this option for the revision of my paper "Nonparametric Nonlinear Co-Trending Analysis, with and Application to Interest and Inflation in the US".
Some minor cosmetic upgrades.

Difference between Version 1.16 (March 1998) and Version 1.15 (February 1998):

A new module, "Teaching tools", has been build in. This module demonstrates

the difference between the concepts of convergence in probability and convergence in distribution,
the size and power of the t-test, and
spurious time series regression results.

I have used "stand alone" versions of this module in undergraduate econometrics and graduate statistics classes at Southern Methodist University and PennState University.

Some minor cosmetic upgrades.

Difference between Version 1.17 (March 1998) and Version 1.16 (March 1998):

The file EASYREG.EXE is the "shell" around the other EXE files (which are the "work horses" of EasyReg, conducting specific tasks). The file EASYREG.EXE itself contains all the menus, but previously also the modules for choosing the working directory, searching for data files, choosing the econometrics levels, and the database tasks. EASYREG.EXE has now been substantially reduced in size, by creating the following new EXE files for the latter tasks:

DATA.EXE: Choosing the working directory, seaching for data files, or retrieving data from the EasyReg database;
DATABASE.EXE: Adding, retrieving or deleting data from the EasyReg database;
ESLEVELS.EXE: Selection of the econometrics level.

The effect of this reorganization is twofold:

There is now more memory available for data;
EasyReg now runs faster.

The start-up window has been redesigned
Some minor cosmetic upgrades.

Difference between Version 1.18 (May 1998) and Version 1.17 (March 1998):

A new module has been added which conducts General Method of Moments (GMM) estimation for systems of linear equations with possibly common parameters. The GMM models involved also include seemly unrelated regressions (SUR), and fixed effect and pooled panel data models.
A new module has been added which computes the correlation matrix and its eigenvalues and eigenvectors of a set of variables. (Due to a request from an EasyReg user.)
The cross-section data set used by Bierens and Pott-Buter (1990), Econometric Reviews 9, 123-184, has been added to the EasyReg database.
A bug in the artificial cross-section data generator has been repaired. If you specify a probit or logit model,the intercept is automatically adjusted in order to prevent the Y variable from becoming constant zero or one. The bug involved was that also in the standard regression case the intercept was automatically adjusted such that the Y variable is centered around zero, without notification. Moreover, the option has been added to declare the artifical data involved as (annual) time series data.
A non-essential bug which incorrectly disabled the option of merging cross-section data files has been repaired.
The module for renaming variables is now called from the input menu instead of the transformation menu.
Some minor cosmetic upgrades.

Difference between Version 1.19 (June 1998) and Version 1.18 (May 1998):

A new module has been added which computes 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 distributions or tests: Standard normal, standard Cauchy, Student t, chi-square, and F.
All test statistics which have one of these null distributions are now automatically endowed with p-values. (These additions have been suggested by an EasyReg user.)
A non-essential bug in the Tobit module has been repaired (The reported frequency of the zero Y values was wrong).
If you try to estimate a Tobit model and you get the message that a Tobit model is not appropriate, EasyReg will now explain why. (I got too many queries from EasyReg users who were denied access to Tobit estimation.)
If the parameters of a multinomial logit model are not identified, EasyReg now provides an example how to solve the problem. (Also this is due to queries from EasyReg users.)
A button "View INPUT file" in the "Quit" window has been added.
Some minor cosmetic upgrades.

Difference between Version 1.20 (July 1998) and Version 1.19 (June 1998):

It is now possible to generate artificial ARIMA and VAR time series data.
When computing the autocorrelation function of a single time series, the Box-Pierce and Ljung-Box Q statistics (for degrees of freedom up to 10) are now computed as well.