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st: Request for a volunteer to verify a feature of ivreg2

From   "Mark Schaffer" <[email protected]>
To   <[email protected]>
Subject   st: Request for a volunteer to verify a feature of ivreg2
Date   Wed, 22 Oct 2003 11:27:38 +0100

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 

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.


Prof. Mark E. Schaffer
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
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