TSM Blog

This is a new feature of the TSM site. I will post things such as comments on the latest release, hints and tips, plans for future development, etc. Contributions from users to this blog are welcome.

20-04-08
Version 4.26 introduces panel data capability. Panel data sets can now be read, manipulated and analysed, using a data file format similar (but not identical) to the Arellano-Bond DPD package. The standard estimators are implemented, that is, OLS for fixed effects and GLS/ML for random effects, and also instrumental variables.  Some basic diagnostics such as the Breusch-Pagan test and Hausman specification test are implemented, as is simulation using Gaussian or bootstrapped disturbances. Specialized GMM methods for dynamic models will, hopefully, appear in a later release.
This is quite an extensive update. It has been thoroughly tested, but there is always the chance of a problem with existing code that has had to be modified. I can see no reason not to recommend installation, but in case a problem turns up, reinstall the latest release of Version 4.25 (19-04-08). This has the graphics fixes indicated in the previous blog entry.
The main panel data operations have also been verified against the Grunfeld data set, but not all implemented features have yet been tested in all combinations. This is still work in progress. Reports of suspected issues will be gratefully received.   
 

26-03-08
An obscure Gnudraw bug has turned up involving plots of likelihood contours. Until this can be fixed, a work-around is to replace the copy of tsmgnu4.oxo in your installation with the one from Version 4.22. (See the download page for zips of old versions). Doing this will of course lose some nice graphics features that have since been added, so rename the current version of  tsmgnu4.oxo, rather than delete it, to allow reinstatement for normal use.

13-03-08
This maintenance release fixes a backwards compatibility issue with v25.29-02-2008, involving settings exported from earlier versions. The program could hang when displaying a data graphic.

Seasonal dummy generation has been enhanced so that "Quarter 1" is now the first quarter of the year, not the first observation in the file. The seasonal frequency is set automatically unless the data are undated.

07-03-08
This release has an improved installer. The Start-in directory can now be selected by typing the path or browsing the folder tree, instead of choosing from preset options. If the package is reinstalled without uninstalling first, then the current selections will be retained. making upgrading simpler than ever.   

A Gnudraw update, restoring variable font sizes, is also included.

29-02-2008
Version 4.25 has had numerous mini-upgrades in the last few weeks. Most of the changes are internal, but a few new features have been added, as follows: Data Transformation (max and min functions); formula coding (indicator functions); Summary Statistics (quantiles option); critical value look-up (Kolmogorov-Smirnov table) and most recently, improved sample selection. Now, different subsamples can be set for different program functions, such as estimation, summary statistics, log-periodogram regressions, and plotting.

On the graphics front, TSM may currently be the only package to offer colour-coded scatter plots - you can tell which part of the sample a data point belongs to by its colour; red at the start of the sample, green in the middle, blue at the end. These plots can be substantially more informative than simple scatter plots. See for example this scatter of the log(DM/$) vs. log(£/$) daily exchange rates for 1980-1996.

Regrettably, a serious bug found its way into a release posted a couple of weeks ago. This resulted in an incorrect ADF statistic being reported. Apologies for this. Fortunately, the printed value could not be mistaken for the correct one. Please upgrade your installation with the current release if you need to. 

Since TSM is work in progress, new features may not work wholly as advertised at first. They often get tweaked as more experience is gained with them. If you have trouble with any new feature, or its documentation, a report will be much appreciated.