Keywords: ARCH; GARCH; ARMA; regression; hazard function estimation; poisson count models; bootstrapping; unit root; logit; probit; tobit; panel data.
Reference: TSP User's Manual; TSP Reference Manual
Description: This entry contains numerous sample TSP programs, including: forecasting h(t) from GARCH model; regression with MA(1) error term; ARMA(12,2) with 7 RHS variables; example of Brown-Durbin-Evans CUSUM tests; example of approximating a bivariate normal distribution; example of bivariate ordered probit; FIML for 4 equatoin model using ML procedure; procedure to compute the chi-squared test for the orthogonality conditions after GMM estimation; hazard function estimation; Hodrick-Prescott trend decomposition; bootstrapping a variance for the transition equation in Kalman filter estimation; unit root test with null of trend-stationarity; multinomial logit; multivariate ARCH via ML; polynomial distributed lags; ridge regression; bivariate tobit; and much more.
Support: Contact TSP International at email@example.com.
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Sample programs have been run on Sun IPXs (SunOS 4.1.3) under TSP versions 4.2B and 4.3A by users in the Econometrics Laboratory. No errors reported to date.
Archived by TSP International, November 1995.