SHAZAM is a command-driven computer program for econometric and statistical computing. Features include:
- data transformations, handling missing observations, matrix manipulation, evaluation of derivatives and integrals, data sorting, calculation of price indexes, computation of cumulative distribution functions for a variety of probability distributions.
- descriptive statistics, nonparametric density estimation, Dickey-Fuller and Phillips-Perron unit root tests, tests for cointegration.
- OLS estimation, restricted least squares, weighted least squares, ridge regression, distributed lag models, generalized least squares, estimation with autoregressive or moving average errors, estimation with heteroskedastic errors, ARCH and GARCH models, ARIMA (Box-Jenkins) time series models, Box-Cox regressions, probit models, logit models, tobit models, estimation using regression quantiles (including MAD estimation), regression with non-normal errors (including exponential regression and beta regression), regression with time varying coefficients, nonparametric methods, generalized entropy methods.
- linear and nonlinear hypothesis testing, calculation of confidence intervals and ellipse plots, computation of the Newey-West autocorrelation consistent covariance matrix, regression diagnostic tests (including tests for heteroskedasticity, CUSUM tests, RESET specification error tests), computation of p-values for many test statistics (including the p-value for the Durbin-Watson test), forecasting.
- nonlinear least squares, estimation of systems of linear and nonlinear equations by SURE, 2SLS and 3SLS, generalized method of moments (GMM) estimation, pooled time-series cross-section methods.
- principal components and factor analysis, principal components regression, linear programming, minimizing and maximizing nonlinear functions, solving nonlinear simultaneous equations.
The new version, 9.0, has these new and revised features:
Incompatibilites with previous versions
- pooled time-series cross-section models with unbalanced panels, Poisson regression, and estimation of distributed lag models with polynomial inverse lags.
- test statistics include additional statistics for testing for equality of mean and variance with the STAT command. The DIAGNOS command now provides Hansen tests for parameter instability, White heteroskedasticity tests and DeBenedictis and Giles FRESET tests. Granger causality test statistics can be obtained as described in the chapter DISTRIBUTED-LAG MODELS in the Version 9 User's Manual. The CONFID command will calculate a confidence interval for the population mean as well as a confidence interval for the error variance.
- The DISTRIB command has been enhanced to include options for calculating properties of the Bernoulli, Cauchy, Erlang, exponential, extreme value, geometric, logistic, lognormal, negative binomial, Pareto, Pascal, Poisson, standard power function and Weibull distributions.
- The FUZZY command is a new command for implementing fuzzy set econometrics. This methodology has useful application for models where the dependent variable is unobservable. For example, Draeseke and Giles have applied fuzzy set modelling to the problem of measuring the underground economy.
- The SMOOTH command is a new command for implementing moving averages, exponential smoothing and seasonal adjustment of time series.
- New commands for the analysis of financial time series are STOCKGRAPH, PORTFOLIO, CALL and PUT. Some online documentation can be viewed.
- The GRAPH command provides an interface to the gnuplot program for preparing graphs and histograms. This replaces the PLOT command available in previous versions. The new commands AXISFMT and TIMEFMT provide options for setting dates on the x-axis for time series plots.
In previous versions, the READ command set the NOREWIND option as the default. In Version 9, the READ command loads the data set starting at the first record of the data file. If multiple READ commands are used to load data sequentially from a data file, then the NOREWIND option must be specified.
In previous versions, the WRITE command set the NOREWIND option as the default when a FILE command was used to assign a file to a unit number. The REWIND option is the default in Version 9.
For the GENR and GEN1 commands the expression X**-A is not permitted. This should be entered as X**(-A). The expression -X**A is evaluated as -(X**A). That is, -X**A is interpreted as 0-X**A. In previous versions the expression -X**A was evaluated as (-X)**A. The SET NOUMINUS command can be used to obtain the priority of operations that was effective in previous SHAZAM versions.
There two versions of SHAZAM running on Unix: version 8.0 and version 9.0. To start version 8.0 type shazam
To start version 9.0 type shazam9
To exit either version and return to UNIX type "stop".
For a demo on either version, after starting type demo
After performing each suggested demonstration, type demo
again to progress on to other demonstrations.
To obtain help while running Shazam type help
Online documentation is available for Shazam 9.0.
SHAZAM can interface with Gnuplot to create high quality graphics.
For more detailed information on SHAZAM check SHAZAM's Home Page.