Hi Statalisters. I'm looking for a volunteer....
The next release of ivreg2 (Baum, Schaffer, Stillman) is almost ready
for release. One thing we want to do with the new features is
replicate results generated by other packages, hence this email.
One of the new features of ivreg2 is the ability to handle
autocorrelation a la GMM. It will do heteroskedastic and
autocorrelation-consistent (HAC) estimation, and this isn't too hard
to verify. It will also do autocorrelation-consistent (AC)
estimation under the assumption of conditional homoskedasticity.
This is harder to verify because most packages don't allow this
flexibility.
TSP apparently does, however. Unfortunately, none of us 3 authors
uses TSP, and the evaluation version of TSP runs on an operating
system that none of us is using (Win98).
So... is there anybody out there who uses TSP and could us a favour
by running some simple regressions that we can (we hope!) replicate?
If so, please contact me off-list.
--Mark
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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