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Nonlinear Least Squares Regression
Estimators
Nonlinear instrumental variables
Efficient GMM
Weighted nonlinear least squares
Model specification
Recursive function definition
Analytic or numeric derivatives
All algebraic operators and any level of parentheses
Matrix bilinear and quadratic forms
Mathematical functions (exp, sin, phi, gma, etc.)
Univariate and bivariate normal integrals
Hermite and Laguerre quadrature
Simulation estimation
Fixed parameters
Several algorithms
Model Estimation & Data Analysis
Nearly 200 model formulations for continuous, discrete, limited and censored dependent variables are provided, including:
Panel Data
Analysis of variance and covariance
Fixed effects
Random effects
Random parameters (GLS, hierarchical)
Balanced or unbalanced panels
Cluster correction
Heteroscedasticity and autocorrelation tests
LM and Hausman tests for effects
White and Newey-West robust estimators
Dynamic linear models (Arellano/Bond)
Summary Statistics
Fit measures, F, R2, adjusted R2, sum of squares
Information criteria
Likelihood function
Durbin-Watson
Predictions and Residuals
List, plot, retain
Standardized residuals
Confidence interval for predictions
Impute missing values
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