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Econometrics

Capabilities

Panel Data Models

All of the linear and nonlinear models may be analyzed with special forms of panel data, including:

Model Estimation and Analysis

Over 100 model formulations for continuous, discrete, limited and censored dependent variables are provided, including:

Data Description and Graphics

Count Data

The widest range of specifications for count data of any package is provided, including several newly developed models:

Statistical Analysis

Programming language allows extension of supported estimators:

Data Environments

Nearly every model may be extended to a variety of frameworks including:

Programming and Numerical Analysis

Programming language including matrix and data manipulation commands is provided for building new estimators:

Frontier and Efficiency Analysis

All forms of the stochastic frontier model are provided:

Discrete Choice Models in LIMDEP

Discrete choice estimators for binary, multinomial, ordered, count and multivariate discrete data are provided:

Modeling Individual Choice with NLOGIT

NLOGIT contains all of LIMDEP plus numerous extensions of the multinomial choice models that do not appear in LIMDEP, including:

(These features do not appear in LIMDEP.)

Time Series Analysis

A range of estimators for time series are provides including:

Accuracy

Extremely accurate computational methods are employed throughout. High marks are earned on all National Institute of Standards and Technology test problems, including:

Post Estimation

Extensive tools for post estimation enable manipulation of model results along with other statistics and procedures.

Data Management

Data management tools are provided for input of data or internal generation with the random number generators, including:

What's New in Version 9.0

LIMDEP 9.0 is a major expansion of our premier software for cross section, panel and time series data analysis. Version 9.0 features numerous new estimation programs, a long list of enhancements to its user interface, additions to data manipulation commands, and improvements in the internal workings of the mathematical parts of the program. The new documentation, with over 2,500 pages, contains full reference guides for the program, background econometrics, and sample applications.

New Models

Panel Data Versions of Nearly All Models

A major theme of this revision is panel data. LIMDEP now offers panel data estimators for nearly all the models that are supported by the program. These estimators represent significant innovations in the capabilities of econometric software. To our knowledge, they do not exist in any other program. The estimators are of three broad classes:

Some of these have been extended to multiple equation settings as well, including forms of the bivariate probit model and sample selection models.

We have also extended the linear regression model with panel data in several directions, including the addition of the Hausman and Taylor estimator for random effects and the Arellano, Bond, and Bover GMM estimator for dynamic panel data models. We have also built a random coefficients estimator for the linear regression model which does not require every group to have more observations than there are variables in the model. The program panel data treatment of the linear model also adds a number of features which will make estimation much easier.

Extensions of Existing Models and Techniques

Extensions of Estimation and Analysis Methods

Documentation

One full set of hard copy manuals is included with each single user licenser order and with each site license order. The LIMDEP 9.0 documentation consists of three guides: the LIMDEP 9.0 Reference Guide and the LIMDEP 9.0 Econometric Modeling Guides, Volumes 1 and 2. The NLOGIT 4.0 documentation consists of four guides: the three LIMDEP guides and the NLOGIT Reference Guide.

Extra manual sets may be purchased in conjunction with a multi-user site license.

LIMDEP 9.0 Documentation

The LIMDEP 9.0 set of manuals, with over 2,500 pages, contains full reference guides for the program, background econometrics, and sample applications. The LIMDEP documentation consists of two parts:

LIMDEP 9.0 Reference Guide

The LIMDEP 9.0 Reference Guide provides all instructions for operating the program, including installation, invocation, and most of the basic setup operations that precede model estimation. These operations include reading and transforming data and setting the sample. This manual also describes the optimization procedures, how to use the matrix algebra package and scalar scientific calculator as stand alone tools and as part of LIMDEP programs, what sorts of results are produced by the program, and some of the common features of the model estimation programs, such as how to do post estimation analysis of model results. Two other components of the Reference Guide are a summary of how the model commands are documented in the Econometric Modeling Guide and a complete listing of the program diagnostics.

LIMDEP 9.0 Econometric Modeling Guide, Volume 1 and Volume 2

The 38 chapters of this guide are arranged in two volumes. These provide the econometric background, LIMDEP commands, and examples with data, commands and results. Topics are arranged by modeling framework, not by program command. There are chapters on

and many others. Each model fit by the program is fully documented. The full set of formulas for all computations are shown in this manual with the full mathematical documentation of the models. Additional chapters in this guide show how to do numerical analysis, how to program your own estimators, and provide a full listing of diagnostics.

NLOGIT 4.0 Documentation

NLOGIT 4.0 includes all of LIMDEP 9.0. The complete NLOGIT 4.0 set of manuals, with over 3,000 pages, consists of the three LIMDEP 9.0 guides plus a separate NLOGIT 4.0 Reference Guide.

NLOGIT 4.0 Reference Guide

With over 500 pages, the NLOGIT 4.0 Reference Guide includes complete instructions for specifying and estimating discrete choice models with NLOGIT. To provide a total picture of the use of NLOGIT in analyzing discrete choice data, the NLOGIT Reference Guide incorporates documentation of the foundational discrete choice models described in detail in the LIMDEP Econometric Modeling Guide, including binary choice and ordered choice models. Second, we have included extensive explanatory text and dozens of examples, with applications, for every technique and model presented.

Count Data Models

Specifications

Data features

Estimation and inference

Panel data models

Numerous new forms of the stochastic frontier model

Model frameworks for production or cost

Mean of the one sided (inefficiency) component

Variance of the one sided (inefficiency) component

Variance of the firm specific (symmetric) component

Doubly heteroscedastic

Estimates of inefficiency measures with all formulations

Panel data formulations

Frontier and Efficiency Analysis: Data Envelopment Analysis

Analysis in parallel with stochastic frontier estimation and analysis (the only package available that has both of these methods in one program)

LIMDEP is the only program that provides tools for both stochastic frontier analysis and data envelopment analysis.

Ordered choice models

Model Estimation and Analysis: Ordered Choice Models

Ordered choice models include the following:

Specification

LIMDEP AND NLOGIT are written for use on Windows driven microcomputers. LIMDEP and NLOGIT are generally compatible with Windows 95 and later Windows operating systems. For Windows Vista, the Help systems used by LIMDEP and NLOGIT are no longer installed as standard in Windows Vista, and Microsoft has released an update.

The programs require 16 megabytes of memory and occupy approximately 10 megabytes on the local hard disk drive.

Program Limits at a Glance

we are often asked about LIMDEP and NLOGIT's specific internal limits. The following limits are relevant to the most common applications.

Active Data Set  
Variables 900
Observations 3,000,000+
Total cells in data area limited by memory
Namelists 25
Variables in namelist 100
Command Entry
Characters in one command 2500
Characters in a stored procedure 2500
Commands in a stored procedure 10
Stored procedures 50
Model Size, General & Specific  
Number of parameters 150
Equations for SURE & 3SLS 30
Equations for WALD, NLSURE, GMM 20
Panel Data Models  
Groups in fixed & random effects Linear models: unlimited
Nonlinear models: 50,000
Regressors in fixed & random effects 150
Groups x Regressors unlimited
Intervals in TVCs for survival 50
Periods in fixed effects (Chamberlain) logit 100
Groups in time series/cross section 100
NLOGIT  
Number of alternatives 100
Branches in tree 25
Limbs in tree 10
Trunks in tree 5
Number of attributes & constants 125
Matrix & Scalar Algebra  
Number of active matrices 100
Number of active named scalars 50
Size of a matrix 50,000 cells
Rows in data matrix unlimited

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