PcGive 13: enhancements and solved problems

New and improved in PcGive 13.0

• Selection of robust standard errors is now done in estimation menu (is different covariance estimator). Now it is remembered when it is used, and part of the generated Ox code. The entry under options now solely relates to the additional table which is also available under Further Output. The Options following maximization settings now purely relate to output options.
• Ox code for GARCH models: class now called PcGiveGarch (instead of Garch, which was the same as G@rch).
• Pointwise asymptotic Std.Error bands on residual QQ-plots
• Regime switching models: Markov Switching.
• Diagnostic testing
  • Added RESET23 and Vector RESET/RESET23 tests.
  • Added p-values for Portmanteau, Portmanteau not part of system test summary if open lag structure.
  • Hetero-test now removes variables that are identical when squared (were already removed from output, now removed at an earlier stage). (useful when many dummies are present)
  • Now doing Hetero and ARCH degrees of freedom as in PcGets (ARCH still undersized)
  • Added Hetero, Index and RESET23 to PcNaive
  • Added Index and Vector Index test
  • Index test removes variables that are identical when cubed
  • Hetero test: removing observations with zero residuals, removing dummy variables from regressors. For 4 or more equations: using rotated form (n equations instead of n(n+1)/2). Now including unrestricted/fixed variables in test. Single eqn AR-test/Hetero-test diagnostic for system: only using variables with non-zero coefficients in the RF. Single eqn diagnostic for system: ordered by equation.
  • Test Summary and Autometrics: now reports RESET23 (using squares and cubes) instead of RESET (just squares) whenever the RESET test is included.
• Improved date printing for large residuals
• Added sigma to Autometrics single eqn output (Not AdjR^2, but note that highest AdjR^2 corresponds to smallest sigma).
• Autometrics added to cross-section
• Autometrics for binary logit/probit and for count data.
• Autometrics: can impose long-run sign restrictions on search space.
• PcNaive can now run with Autometrics and impulse saturation, but dummies are not reported in the output.
• Small change to Autometrics output: stages more clearly identified; now including coefficients of terminal models as well as p-values.
• Moved DW to Test menu, added Adj.R^2 to output, replaced var(Y) by se(Y) (using T-1, so that AdjR^2 = 1 / sqr(sigma/se(Y))).
• Slight change in handling `lagged variables' (i.e. variables ending in underscore followed by number, e.g. XYZ_2):
  • cross-section regression now shows all, and treats them as normal variables
  • time-series and other modules that allow formulation of lags:
    • if XYZ is in the database, then all XYZ_# are removed from the list in the model dialog
    • if XYZ is NOT in the database, then all XYZ_# are kept, but not treated as lagged variables.

Fixed in PcGive 13

• Run batch that estimates SEM (e.g. MulTut1.in7) then switch to VAR (e.g. MulTutVAR.fl) produces error messages, because the SEM is set for the new VAR.
• Autometrics with backtesting against current GUM: run-time error when printing results.
• Testing for omitted variables is wrong when there are variables that are lags in the database preceeding the tested variables (i.e. testing for X when the database has W_1 and X).
• Reset test would fail if no regressors in the model
• PcNaive mislabelled recursive test rejection frequencies when saving the results in the _r output file (graphs are correct). The labels where ordered by nominal frequency instead of by test.
• Sample selection in models for discrete data: did not skip over missing values.
• Count data models: could not select k=1 radiobox in negative binomial (but could specify k=1 directly).
• 1SLS: fixed out-of-memory error on very large system.
• Robust F test of restrictions: was not divided by the degrees of freedom