Showing papers in "Journal of Applied Econometrics in 2001"
TL;DR: In this paper, the authors developed a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary.
Abstract: This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The proposed tests are based on standard F- and t-statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The asymptotic distributions of these statistics are non-standard under the null hypothesis that there exists no level relationship, irrespective of whether the regressors are I(0) or I(1). Two sets of asymptotic critical values are provided: one when all regressors are purely I(1) and the other if they are all purely I(0). These two sets of critical values provide a band covering all possible classifications of the regressors into purely I(0), purely I(1) or mutually cointegrated. Accordingly, various bounds testing procedures are proposed. It is shown that the proposed tests are consistent, and their asymptotic distribution under the null and suitably defined local alternatives are derived. The empirical relevance of the bounds procedures is demonstrated by a re-examination of the earnings equation included in the UK Treasury macroeconometric model. Copyright © 2001 John Wiley & Sons, Ltd.
13,898 citations
TL;DR: In this paper, the authors investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA) and find that the posterior probability is very spread among many models suggesting the superiority of BMA over choosing any single model.
Abstract: Summary We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA) We flnd that the posterior probability is very spread among many models suggesting the superiority of BMA over choosing any single model Out-of-sample predictive results support this claim In contrast with Levine and Renelt (1992), our results broadly support the more \optimistic" conclusion of Sala-i-Martin (1997b), namely that some variables are important regressors for explaining cross-country growth patterns However, care should be taken in the methodology employed The approach proposed here is flrmly grounded in statistical theory and immediately leads to posterior and predictive inference
756 citations
TL;DR: In this article, an empirically stable money demand model for M3 in the euro area is constructed starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long-term and the short-term nominal interest rates, (ii) the longterm real interest rate, and (iii) a long-run demand for broad money M3.
Abstract: In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long-term and the short-term nominal interest rates, (ii) the long-term real interest rate, and (iii) a long-run demand for broad money M3. There is evidence that the determinants of M3 money demand are weakly exogenous with respect to the long-run parameters. Hence, following a general-to-specific modelling approach, a parsimonious conditional error-correction model for M3 money demand is derived which can be interpreted economically. For the conditional model, long-run and short-run parameter stability is extensively tested and not rejected. Copyright © 2001 John Wiley & Sons, Ltd.
227 citations
TL;DR: In this article, the authors used both semiparametric and parametric estimation methods to corroborate earlier findings of fractionally integrated behaviour in the forward premium, and two new explanations are also proposed to help reconcile earlier conflicting empirical evidence on the time series properties.
Abstract: Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new explanations are also proposed to help reconcile earlier conflicting empirical evidence on the time series properties of the forward premium. Traditional regression approaches used to test the forward rate unbiasedness hypothesis are then evaluated, including regression in levels, in returns (Fama's, 1984, regression), and in error-correction format. Interesting statistical and/or interpretive implications are found in all three cases. For example, the predictions of the appropriate nonstandard limit theory are consistent with many of the standard empirical results reported from Fama's regression, including the commonly occurring, yet puzzling negative correlations between spot returns and the forward premium. It is suggested that the principal failure of unbiasedness, may be due instead to the difference in persistence between these two series. Copyright © 2001 John Wiley & Sons, Ltd.
211 citations
TL;DR: In this article, a model of UK inflation is presented, which is modelled as responding to excess demands from all sectors of the economy: goods and services, factors of production, money, financial assets, foreign exchange, and government deficits.
Abstract: UK inflation has varied greatly in response to many economic policy and exchange-rate regime shifts, two world wars and two oil crises, as well as legislative and technological changes. Inflation is modelled as responding to excess demands from all sectors of the economy: goods and services, factors of production, money, financial assets, foreign exchange, and government deficits. Equilibrium-correction terms are developed for each of these over the sample. Indicator variables and commodity prices capture turbulent years. Variables representative of most theories of inflation matter empirically, yielding an eclectic model inconsistent with any ‘single-cause’ explanation. Copyright © 2001 John Wiley & Sons, Ltd.
196 citations
TL;DR: In this article, an I(2) analysis of Australian inflation and the markup is undertaken within an imperfect competition model and it is found that the levels of prices and costs are best characterized as integrated of order 2 and a linear combination of the levels (which may be defined as the markup) cointegrates with price inflation.
Abstract: An I(2) analysis of Australian inflation and the markup is undertaken within an imperfect competition model. It is found that the levels of prices and costs are best characterized as integrated of order 2 and that a linear combination of the levels (which may be defined as the markup) cointegrates with price inflation. From the empirical analysis we obtain a long-run relationship where higher inflation is associated with a lower markup and vice versa. The impact in the long run of inflation on the markup is interpreted as the cost to firms of overcoming missing information when adjusting prices in an inflationary environment. Copyright © 2001 John Wiley & Sons, Ltd.
134 citations
TL;DR: In this paper, seasonal fractional integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of modelling these series, and they find that seasonality is a plausible way to model these series.
Abstract: The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) and Hylleberg, Engle, Granger and Lee (HEGL, 1993). We find that seasonal fractional integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of modelling these series.
124 citations
TL;DR: In this paper, the relationship between unemployment insurance benefit duration, unemployment duration and subsequent job duration was investigated using a multi-state duration model with state specific unobserved heterogeneity, and two potential explanations for the negative correlation between unemployment and job spell durations were examined.
Abstract: The relationship between Unemployment Insurance (UI) benefit duration, unemployment duration and subsequent job duration is investigated using a multi-state duration model with state specific unobserved heterogeneity. I examine two potential explanations for the negative correlation between unemployment and job spell durations; UI benefits increase job matching quality (the ‘Matching’ effect) versus unobserved heterogeneity (‘Adverse Selection’). The Matching effect is found to be weak. Although new jobs accepted within 5 weeks of benefit termination seem to have a higher dissolution rate, the negative correlation between unemployment and job duration is mostly explained by unobserved heterogeneity. Various simulations indicate that increasing the maximum benefit duration by one week will raise expected unemployment duration by 1.0 to 1.5 days but will raise expected job duration by 0.5 to 0.8 day only. Copyright © 2001 John Wiley & Sons, Ltd.
97 citations
TL;DR: In this paper, both parametric and semiparametric methods were applied to the estimation of wage and participation equations for married women in Portugal, and significant differences between the two approaches indicate the inappropriateness of the standard parametric methods to estimation of the model and for the purpose of policy simulations.
Abstract: This paper applies both parametric and semiparametric methods to the estimation of wage and participation equations for married women in Portugal. The semiparametric estimators considered are the two-stage estimators proposed by Newey (1991) and Andrews and Schafgans (1998). The selection equation results are compared using the specification tests proposed by Horowitz (1993), Horowitz and Hardle (1994), and the wage equation results are compared using a Hausman test. Significant differences between the two approaches indicate the inappropriateness of the standard parametric methods to the estimation of the model and for the purpose of policy simulations. The greater departure seems to occur in the range of the low values of the index corresponding to a specific group of women. Copyright © 2001 John Wiley & Sons, Ltd.
96 citations
TL;DR: In this paper, the authors introduce a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions, applied to daily US dollar exchange rate data for six major currencies.
Abstract: Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher-order moments and goodness-of-fit tests favours the GARCH-EGB2 model over more conventional GARCH-t and EGARCH-t model alternatives, particularly for exchange rate data characterized by skewness. Copyright © 2001 John Wiley & Sons, Ltd.
94 citations
TL;DR: In this paper, the authors studied the joint dynamics of U.S. output and unemployment rate in a nonlinear VAR model and found that the feedback effect from recessions generates important asymmetries in the propagation of shocks, a possible key to interpret the divergence in the measures of persistence existing in the literature.
Abstract: This paper studies the joint dynamics of U.S. output and unemployment rate in a nonlinear VAR model. The nonlinearity is introduced through a feedback variable that endogenously augments the output lags of the VAR in recessionary phases. Sufficient conditions for the ergodicity of the model, potentially applying to a larger class of threshold models, are provided. The linear specification is severely rejected in favor of our threshold VAR. However, in the estimation the feedback is found to be statistically significant only on unemployment, while it transmits to output through its cross-correlation. This feedback effect from recessions generates important asymmetries in the propagation of shocks, a possible key to interpret the divergence in the measures of persistence existing in the literature. The regime-dependent persistence also explains the finding that the feedback from recession exerts a positive effect on the long-run growth rate of the economy, an empirical validation for the Schumpeterian macroeconomic theories.
TL;DR: In this paper, the authors compared the performance of eight frequently used flexible forms that are either locally flexible, globally regular, or asymptotically globally flexible, and found that the functions with global properties generally perform better.
Abstract: This paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) ‘effectively globally regular’, or (3) asymptotically globally flexible Results show that the functions with global properties generally perform better, particularly those models having asymptotic properties Results, using US consumption data, indicate substitutability among the components of consumption at most data points There is also some interesting substitution volatility around the time of recessions in the USA Copyright © 2001 John Wiley & Sons, Ltd
TL;DR: The results show that advice has a substantial and significant impact on alcohol consumption by males with hypertension, and that failing to account for the endogeneity of advice masks this result.
Abstract: Although there are encouraging trends, alcohol abuse continues to be a significant public health problem. Econometric studies of alcohol demand have yielded a great deal of information for alcohol abuse prevention policy. These studies suggest that higher alcohol taxes and stricter drunk-driving policies can reduce heavy drinking and drunk driving. In this paper we explore the role physician advice plays in the campaign to prevent alcohol-related problems. Compared to alcohol taxation, physician advice is a more precisely targeted intervention that does not impose extra costs on responsible drinkers. Compared to the resource costs of arresting, processing, and punishing drunk drivers, physician advice may be a lower-cost intervention. To provide a basis for alcohol policy analysis, we use an alcohol demand framework to test whether physician-provided information about the adverse consequences of alcohol abuse shifts demand to more moderate levels. There are three aspects of our alcohol demand model that complicate the estimation: (1) the dependent variable is non-negative (it is a count variable—number of drinks consumed); (2) a non-trivial number of sample observations have zero values for the dependent variable; and (3) because the data we use is non-experimental, the treatment variable indicating receipt of advice from a physician may be endogenous. We implement an estimation method that is specifically designed to deal with these three complicating factors. Our results show that advice has a substantial and significant impact on alcohol consumption by males with hypertension, and that failing to account for the endogeneity of advice masks this result. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this article, an error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich is considered, which can be viewed as an approximation to a smooth transition regression (STR) type specification.
Abstract: In this paper we reconsider an error-correction model of UK broad money demand by Ericsson, Hendry and Prestwich. Their model is non-linear in both variables and parameters, and it can be viewed as an approximation to a smooth transition regression (STR) type specification. The corresponding STR model, when specified and estimated, fits the data better than the original model. Adopting a somewhat more general modelling approach leads to another STR model. This model variance dominates the other two, and the encompassing tests performed in this paper indicate that it is an improvement over the other two specifications. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this paper, Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices, and the model also indicates that the expected price variance is an explanatory variable in price regressions.
Abstract: Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected price variance is an explanatory variable in price regressions. Hypotheses were tested on price data of twenty commodities using a variation of Engle et al. (1987) ARCH–M technique. An ARCH process was found in storable and not in non-storable commodity data, as expected. However, changes in expected price variance have no significant impact on price. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: This paper found no evidence of a negative effect of the overall unemployment rate on the earnings of men in non-manual, or women in full-time, employment, however, for manual men, a significant elasticity of around −0.07, comparable with Blanchflower and Oswald (1994).
Abstract: This paper models regional earnings and unemployment in the ten regions of Great Britain between 1972 and 1995, paying particular attention to their interaction and to the important influence of the housing market. In contrast to Blanchard and Katz (1992, 1997) for the United States, we find less persistence in British regional earnings differentials but greater persistence in regional unemployment rates. We find no evidence of a negative effect of the overall unemployment rate on the earnings of men in non-manual, or women in full-time, employment. However, for manual men, we find a significant elasticity of around −0.07, comparable with Blanchflower and Oswald (1994). Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: This paper showed that a VAR model with long run restrictions, justified by economic theory, is useful for both forecasting inflation and for analysing other issues that are central to the conduct of monetary policy.
Abstract: Empirical monetary policy research has increased in the last decade, possibly because deregulation and explicit monetary targets have made monetary policy issues more interesting. In particular, within the inflation targeting framework it has been argued that inflation forecasts can be used as optimal intermediate targets for monetary policy, and the development of empirical models that have good forecasting properties is therefore important. This paper shows that a VAR model with long-run restrictions, justified by economic theory, is useful for both forecasting inflation and for analysing other issues that are central to the conduct of monetary policy. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this article, the authors examined the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or exogenous, there are as many cointegrating relations as endogenous variables, the cointegating vectors are identified and they contain at least one exogenous variable.
Abstract: This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or exogenous, there are as many cointegrating relations as endogenous variables, the cointegrating vectors are identified and they contain at least one exogenous variable. It is shown that with these assumptions it is possible to identify the shocks without the use of further restrictions on the covariance matrix of the disturbances or the short-run dynamics. If the long-run parameters are known the whole model can be estimated by OLS. The analysis is extended to allow the VAR to have both stationary and non-stationary variables. An illustration of the method is provided using the traditional benchmark VAR model involving US data on output, prices, interest rates and money. A liquidity effect is not found using this VAR methodology.
TL;DR: In this article, a general econometric model is proposed that allows for abrupt changes or regime shifts in volatility, transition probabilities which vary explicitly with observable fundamentals such as the basis, GARCH dynamics, seasonal variations and conditional leptokurtosis.
Abstract: Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commodity Index (GSCI). Given that commodity markets tend to be ‘choppy’ (Webb, 1987), a general econometric model is proposed that allows for abrupt changes or regime shifts in volatility, transition probabilities which vary explicitly with observable fundamentals such as the basis, GARCH dynamics, seasonal variations and conditional leptokurtosis. The model is applied to daily futures returns on the GSCI over 1992–1997. The results show clear evidence of regime shifts in conditional mean and volatility. Once regime shifts are accounted for, GARCH effects are minimal. Consistent with the theory of storage, returns are more likely to switch to the high-variance state when the basis is negative than when the basis is positive. The regime switching model also performs well in forecasting the daily volatility compared to standard GARCH models without regime switches. The model should be of interest to sophisticated traders who base their trading strategies on short-term volatility movements, managed commodity funds interested in hedging an underlying diversified portfolio of commodities and investors of options and other derivatives tied to GSCI futures contracts. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this article, a review of recent work on spatial density analysis for time series data with stochastic trends is presented, and the limits of sample moments of non-stationary data are shown to take the form of moments with respect to the underlying spatial density analogous to population moments of a stationary process.
Abstract: Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with deterministic trends, formulae for the mean spatial density are given, and the limits of sample moments of non-stationary data are shown to take the form of moments with respect to the underlying spatial density, analogous to population moments of a stationary process. The methods are illustrated in some empirical applications and simulations. The empirical applications include macroeconomic data on inflation, financial data on exchange rates and political opinion poll data. It is shown how the methods can be used to measure empirical hazard rates for inflation and deflation. Empirical estimates based on historical US data over the last 60 years indicate that the predominant inflation risks are at low levels (2–6%) and low two-digit levels (10–12%), and that there is also a significant risk of deflation around the −1% level. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this paper, a score test against non- nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models, which is essentially a test for the correct specification of the conditional distribution of the variable of interest.
Abstract: This paper suggests that a convenient score test against non- nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. It is shown that this procedure is essentially a test for the correct specification of the conditional distribution of the variable of interest. As in Models for discrete data it is often necessary to fully specify the conditional distribution of the variate of interest, the test proposed here is particularly attractive in this context. The usefulness of the proposed tests is illustrated with applications to discrete choice and count data models.
TL;DR: In this paper, a hybrid of the mover-stayer model of income dynamics and a geometric random walk is proposed to account for mobility both within and between jobs, which provides a good explanation of observed non-linearities in income dynamics.
Abstract: In this paper, we propose a model of income dynamics which takes account of mobility both within and between jobs. The model is a hybrid of the mover-stayer model of income dynamics and a geometric random walk. In any period, individuals face a discrete probability of ‘moving’, in which case their income is a random drawn from a stationary recurrent distribution. Otherwise, they ‘stay’ and incomes follow a geometric random walk. The model is estimated on income transition data for the United Kingdom from the British Household Panel Survey (BHPS) and provides a good explanation of observed non-linearities in income dynamics. The steady-state distribution of the model provides a good fit for the observed, cross-sectional distribution of earnings. We also evaluate the impact of tertiary education on income transitions and on the long-run distribution of incomes. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this article, the authors derived a test of the null hypothesis that the trend is deterministic against the alternative that it is an integrated random walk with drift, assuming that the other component in the model is normally distributed white noise.
Abstract: A trend estimated from an unobserved components model tends to be smoother when it is modelled as an integrated random walk rather than a random walk with drift. This article derives a test of the null hypothesis that the trend is deterministic against the alternative that it is an integrated random walk. It is assumed that the other component in the model is normally distributed white noise. Critical values are tabulated, the asymptotic distribution is derived and the performance of the test is compared with the test against a trend specified as a random walk with drift. The test is extended to allow for serially correlated and evolving seasonal components. When there is a stationary process containing a single autoregressive unit root close to one, a bounds test can be applied. In the case of a first-order autoregressive disturbance, it is shown that a consistent test can still be obtained by carrying out estimation of the nuisance parameters under the null hypothesis. The overall conclusion is that the most effective test against an integrated random walk is a parametric one based on the random walk plus drift test statistic, constructed from innovations, with the nuisance parameters estimated in the unrestricted model. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this article, the relationship between real wages, output per capita, inflation and unemployment in Italy between 1970 and 1994 was modelled using a cointegrated vector autoregression.
Abstract: The relationships between real wages, output per capita, inflation and unemployment in Italy between 1970 and 1994, are modelled using a cointegrated vector autoregression. There is evidence of a change in the underlying equilibria and in the dynamic evolution of the variables, probably associated with the substantial changes in many sectors of the Italian economy after 1979. Alternative ways to model structural change in the Italian labour market are considered. In adopting a split sample approach the results favour an hysteresis interpretation of unemployment.
TL;DR: In this paper, the authors compared the distribution of several composite measures of well-being which include income, with distribution of some common measures of aggregate income over the period 1915-1995, to determine potentially distinct dimensions in multidimensional analysis of welfare and quality of life in the USA.
Abstract: Using ARIMA models and entropy, the dynamic evolution of several functions of aggregate income and other attributes of well-being is analysed for statistical ‘similarity’ in order to determine potentially distinct dimensions in multidimensional analysis of welfare and quality of life in the USA. The entropy metric compares entire distributions and is more general than principal components and other correlation-based techniques for clustering. To help macroeconomic policy makers, we compare the distribution of several composite measures of well-being which include income, with the distribution of some common measures of aggregate income over the period 1915–1995. Per capita disposable income and growth in GNP are statistically distinct dimensions of well-being. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this paper, the authors analyse the monetary transmission mechanism in Italy and how it has changed with the increased independence of the Italian Central Bank and the increasingly fixed exchange rates of the ERM.
Abstract: The focus in this paper is on the monetary transmission mechanism in Italy and how it has changed with the increased independence of the Italian Central Bank and the increasingly fixed exchange rates of the ERM. The sample period 1974–1994 is divided into two parts approximately corresponding to the different systems. Based on a VAR model for money, income, prices, and interest rates the cointegration properties of the data in nominal and real terms are analysed. Long-run price homogeneity is empirically rejected and the economic and econometric consequences for a real money analysis are described. Altogether we find little evidence that the use of M2 and the short interest rate as intermediate targets has effectively controlled price inflation in this period. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: This paper proposed a Bayesian estimator for a discrete time duration model which incorporates a non-parametric specification of the unobserved heterogeneity distribution, through the use of a Dirichlet process prior.
Abstract: This paper proposes a Bayesian estimator for a discrete time duration model which incorporates a non-parametric specification of the unobserved heterogeneity distribution, through the use of a Dirichlet process prior. This estimator offers distinct advantages over the Nonparametric Maximum Likelihood estimator of this model. First, it allows for exact finite sample inference. Second, it is easily estimated and mixed with flexible specifications of the baseline hazard. An application of the model to employment duration data from the Canadian province of New Brunswick is provided. Copyright © 2001 John Wiley & Sons, Ltd.
TL;DR: In this paper, the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods are used to rigorously impose time and firm-varying equality and inequality constraints.
Abstract: Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods can be used to rigorously impose time- and firm-varying equality and inequality constraints. To illustrate the technique we estimate a system of translog input demand functions subject to all the constraints implied by economic theory, including observation-varying symmetry and concavity constraints. Results are presented in the form of characteristics of the estimated posterior distributions of functions of the parameters. Copyright (C) 2001 John Wiley Sons, Ltd.
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TL;DR: Stata 7 is a general-purpose statistical package that does all of the textbook statistical analyses and has a number of procedures found only in highly specialized software.
Abstract: 1. GENERAL INTRODUCTION Stata 7 is a general-purpose statistical package that does all of the textbook statistical analyses and has a number of procedures found only in highly specialized software. 1 Unlike most commercial packages aimed at making it possible for any Windows user to produce smart-looking graphs and tables, Stata is aimed primarily at researchers who understand the statistical tools they are using. The applications of statistics that are covered best by Stata are econometrics, social sciences, and biostatistics. The Stata tools for the latter two categories are contingency tables, stratified and clustered survey data analysis (useful also for health and labour economists), and survival data analysis (useful also in studies of duration, such as studies of the lengths of unemployment or poverty spells). There are several things that I like about Stata. First of all, it is a very good package for doing applied research, with lots of everyday estimation and testing techniques, as well as convenient data-handling tools. The unified syntax makes all these things easy to learn and use. It is also a rapidly developing package, with excellent module extension and file sharing capabilities built into it. Stata features a great support environment, both from the developers and from advanced users of the package. The best example of the informal support network formed around Stata is the Statistical Software Components archive (SSC-IDEAS, part of RePEc) that contains several hundred user-written programs. For many users, it is also important that the academic and student prices can be quite low.
TL;DR: This article reviews Scilab, a free MATLAB-like programming system that can be used for data analysis and applied numerical work in both research and teaching.
Abstract: This article reviews Scilab, a free MATLAB-like programming system. Scilab can be used for data analysis and applied numerical work in both research and teaching. Scilab is an interesting alternative to some commercial programming environments. Copyright © 2001 John Wiley & Sons, Ltd.