LIMDEP Version 9.0 Key Features

LIMDEP takes the form of an econometrics studio. Analysis of a data set is done interactively in a set of windows. Program control may be from a 'script' or in an unstructured session of instructions and manipulations. The program is designed to allow easy setup of data for estimation, specification of different forms of the models, experimentation with different specifications, hypothesis testing, analysis of data and model results and construction of special procedures and estimators.

LIMDEP offers a complete set of tools for econometric analysis. In addition to the estimation programs, LIMDEP provides:

  • Data management, including input from all standard sources (such as Excel), all manner of transformations and sample controls
  • Built-in estimation programs plus a programming language, matrix algebra package and scientific calculator that allow you to write your own estimators, test statistics and simulation and analysis programs
  • Random number, vector and matrix capabilities for bootstrapping, Gibbs sampling and Monte Carlo simulation
  • A wide range of graphical and numeric descriptive statistics capabilities
  • Optimization tools that allow you to construct your own likelihood, GMM, or maximum simulated likelihood estimators
  • Analysis tools including graphics, numerical analysis and post estimation tools for specification and hypothesis testing
  • An extensive hard copy documentation set, with over 2,500 pages, containing full reference guides for the programs, background econometrics, and sample applications

Key Features

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

  • Fixed and random effects
  • Multilevel random effects
  • Latent class models
  • Random parameters (mixed) models
  • Unbalanced panels for all models
  • Unlimited panel data set size
  • Arellano/Bond DPD with many variations
  • IV and GMM estimators

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

  • Linear and nonlinear regression
  • Robust estimation
  • Binary choice
  • Ordered choice models
  • Unordered multinomial choice
  • Censoring and truncation
  • Sample selection models
  • Count data
  • Loglinear models
  • Stochastic frontier and DEA
  • Survival analysis
  • Time series models
  • Panel data models

Data Description and Graphics
Descriptive statistics and graphical analysis tools include:

  • Descriptive statistics for cross sections and panels
  • Tables of means and quantiles
  • Time series
  • Graphics tools
  • Discriminant analysis

Time Series Analysis
A range of estimators for time series are provides including:

  • ARMAX models
  • GARCH and GARCH-in-mean models
  • Spectral density estimation
  • ACF and PACF
  • Phillips-Perron tests
  • Newey-West estimator

Statistical Analysis
Programming language allows extension of supported estimators:

  • Nonlinear estimation
  • Delta method for functions of parameters
  • Simulation: Krinsky and Robb
  • Testing and restrictions
  • Post estimation analysis
  • Predictions
  • Marginal effects

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

  • MAXIMIZE/MINIMIZE for user supplied functions
  • Matrix programming with LIMDEP
  • Scientific calculator
  • Numerical analysis tools, integration and differentiation
  • Simulation based estimation
  • Program Gibbs samplers

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

Frontier and Efficiency Analysis
The stochastic frontier model provided are:

  • Fixed and random effects
  • Battese and Coelli
  • Heteroscedasticity
  • Technical inefficiency estimation
  • This is the only package with both SFA and DEA.

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

  • Binary choice - dozens of specifications
  • Ordered choice
  • Hierarchical ordered choice
  • Panel data
  • Multinomial logit
  • Count data models

Modeling Individual Choice with NLOGIT
NLOGIT contains all of LIMDEP plus numerous extensions of the multinomial choice models not in LIMDEP, including:

  • Nested logit model
  • Generalized nested logit model
  • Multinomial probit model
  • Mixed (random parameters) logit model
  • Latent class model
  • Error components (RE) logit model
  • Dynamic random effects MNL model
  • General utility specifications
  • Partial effects and elasticities
  • Model simulation

(These features do not appear in LIMDEP.)

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

  • Poisson and negative binomial models
  • New specifications for NB models
  • Gamma, generalized Poisson, Polya
  • Aeppli
  • Zero inflation and hurdle
  • Fixed and random effects
  • Latent class

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

  • Descriptive statistics
  • Analysis of variance
  • Linear regression
  • Nonlinear least squares

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

  • Data transformations
  • Sampling and bootstrapping
  • Bootstrap cross section observations or panel groups
  • Weighted data
  • Random number generation
  • Cluster sampling and stratification

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

  • Data transformations
  • Cross section
  • Panel data
  • Time series manipulation

Click here for further details on some of these features ...

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This LIMDEP Web is Copyright of Timberlake Consultants Limited and Econometric Software Inc

Last revised: 8/8/2007