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As part of our quality control we compare the results of Betahat
with a variety of references. Some of these references are from
textbooks, other programs, and published statistical benchmarks.
We do not publish all of our hundreds of benchmarks since that would
take time away from development, but we do publish a few for those
that like to be reassured of the accuracy of our results.
Published benchmarks include
The following table provide links that compare the results of
Betahat to the benchmarks provided by National
Institute of Standards.
Linear Regression
The following table provide links that compare the results of
Betahat to the benchmarks provided by National
Institute of Standards.
Multivariate
t with uncorrelated errors, and with independent errors
Betahat command file Betahat Results
Logistic Betahat command file
Betahat Results
Probit Betahat command file
Betahat Results
Poisson regression Betahat command file
Betahat Results
Linear,
Nonlinear, Linear AR(1), Nonlinear AR(1) Betahat command file
Betahat Results
Limited
Information Maximum Likelihood
Betahat command file Betahat Results
Linear GMM, with lag types White's, Bartlett(Newey-West), Truncated, Parzen, Quadratic Spectral, and Tukey-Hanning.
Betahat command file Betahat Results
Nonlinear GMM, with lag types White's,
Bartlett(Newey-West), Truncated, Parzen, Quadratic Spectral, and Tukey-Hanning.
Betahat command file Betahat Results
The benchmarks for the pooled estimators use the data file
POOLstr.DT2 that is supplied with the demo. The Betahat values
and the benchmark values are in the result files.
Pooled Estimation Betahat command file
Betahat Results
Pooled
Estimation with Groupwise Heteroskedasticity Betahat command file
Betahat Results
Pooled
Estimation with Groupwise Heteroskedasticity and Cross Sectional
Correlation Betahat command file
Betahat Results
Linear
Seemingly Unrelated Regression Betahat command file
Betahat Results
Nonlinear
Seemingly Unrelated Regression Betahat command file
Betahat Results
Linear Three-Stage
Least Squares Betahat command file
Betahat Results
Nonlinear
Three-Stage Least Squares Betahat command file
Betahat Results
The default random generator in Betahat is called the Mersenne Twister.
The source code can be freely downloaded from http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/emt.html,
along with some details about the algorithm. To make sure the
algorithm was implemented properly we wrote a 10 megabyte file of
random numbers from Betahat so we could test the generator using a test
suite created by George Marsaglia. The test program he wrote
is freely available at his website.
The results of the test suite are quite lengthy, but the numbers
passed all of the tests.
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