LIMDEP is an econometric and statistical software package with a variety of estimation tools. In addition to the core econometric tools for analysis of cross sections and time series, LIMDEP supports methods for panel data analysis, frontier and efficiency estimation and discrete choice modeling. The package also provides a programming language to allow the user to specify, estimate and analyze models that are not contained in the built in menus of model forms.

History

LIMDEP was first developed in the early 1980s. Econometric Software, Inc. was founded in 1985 by William H. Greene. The program was initially developed as an easy to use tobit estimator—hence the name, ''LIM''ited ''DEP''endent variable models. Econometric Software has continually expanded since the early 1980s and currently has locations in the United States and Australia. The ongoing development of LIMDEP has been based partly on interaction and feedback from users and from the collaboration of many researchers. LIMDEP is used by researchers in universities, government institutions, and businesses. LIMDEP has spun off a major suite of programs for the estimation of discrete choice models,

NLOGIT NLOGIT is an extension of the econometric and statistical software package LIMDEP. In addition to the estimation tools in LIMDEP, NLOGIT provides programs for estimation, model simulation and analysis of multinomial choice data, such as brand cho ...

, now a self standing superset of LIMDEP.

User interface

The main functionality of the program is accessed through a command line interface. Command streams are provided to the program via scripts or as text processed in a text editing format. It also includes a graphical user interface within which all program features can be accessed via menus or command generating dialog boxes. All GUI command generators produce transportable scripts that can be reused and modified in the command editor.

Data input, formats and storage

Any number of data sets may be analyzed simultaneously. Data are input via standard ASCII formats such as CSV, DIF and rectangular ASCII, as well as XLS, Stata DTA (some versions) and binary. Data may be exported in CSV, rectangular ASCII and binary formats. The native save format (LPJ) has not changed since the release of the Windows version in 1997. All versions may exchange data sets. Data storage and all computations are always in double precision. Active data set size limitation is imposed by the available memory.

List server

LIMDEP supports a list server based discussion group.List Server
/ref> Anyone (users and interested nonusers) may subscribe to the list server. The list server is maintained at the University of Sydney.

Models

There are model formulations for

linear Linearity is the property of a mathematical relationship (''function'') that can be graphically represented as a straight line. Linearity is closely related to '' proportionality''. Examples in physics include rectilinear motion, the linear r ...

and

nonlinear regression In statistics, nonlinear regression is a form of regression analysis in which observational data are modeled by a function which is a nonlinear combination of the model parameters and depends on one or more independent variables. The data are fit ...

, robust estimation,

discrete choice In economics, discrete choice models, or qualitative choice models, describe, explain, and predict choices between two or more discrete alternatives, such as entering or not entering the labor market, or choosing between modes of transport. Such ...

(including binary choice, ordered choice and unordered multinomial choice), censoring and

truncation In mathematics and computer science, truncation is limiting the number of digits right of the decimal point. Truncation and floor function Truncation of positive real numbers can be done using the floor function. Given a number x \in \mathbb ...

, sample selection, loglinear models,

survival analysis Survival analysis is a branch of statistics for analyzing the expected duration of time until one event occurs, such as death in biological organisms and failure in mechanical systems. This topic is called reliability theory or reliability analysi ...

quantile regression Quantile regression is a type of regression analysis used in statistics and econometrics. Whereas the method of least squares estimates the conditional ''mean'' of the response variable across values of the predictor variables, quantile regressi ...

(linear and count),

panel data In statistics and econometrics, panel data and longitudinal data are both multi-dimensional data set, data involving measurements over time. Panel data is a subset of longitudinal data where observations are for the same subjects each time. Time s ...

, stochastic frontier and

data envelopment analysis Data envelopment analysis (DEA) is a nonparametric method in operations research and economics for the estimation of production frontiers.Charnes et al (1978) DEA has been applied in a large range of fields including international banking, economi ...

count data Count (feminine: countess) is a historical title of nobility in certain European countries, varying in relative status, generally of middling rank in the hierarchy of nobility. Pine, L. G. ''Titles: How the King Became His Majesty''. New York: ...

, and

time series In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Exa ...

Data Analysis

Analysis of a data set is done interactively in a set of windows. Program control may be from a pull down menu or in an unstructured session of instructions and manipulations. Estimation involves: * Data management, including input from standard sources (such as

Excel ExCeL London (an abbreviation for Exhibition Centre London) is an exhibition centre, international convention centre and former hospital in the Custom House area of Newham, East London. It is situated on a site on the northern quay of the ...

), transformations and sample controls *

Programming language A programming language is a system of notation for writing computer programs. Most programming languages are text-based formal languages, but they may also be graphical. They are a kind of computer language. The description of a programming ...

, matrix algebra package and

scientific calculator A scientific calculator is an electronic calculator, either desktop or handheld, designed to perform mathematical operations. They have completely replaced slide rules and are used in both educational and professional settings. In some areas ...

Random number generation Random number generation is a process by which, often by means of a random number generator (RNG), a sequence of numbers or symbols that cannot be reasonably predicted better than by random chance is generated. This means that the particular outc ...

matrix Matrix most commonly refers to: * ''The Matrix'' (franchise), an American media franchise ** ''The Matrix'', a 1999 science-fiction action film ** "The Matrix", a fictional setting, a virtual reality environment, within ''The Matrix'' (franchis ...

for

bootstrapping In general, bootstrapping usually refers to a self-starting process that is supposed to continue or grow without external input. Etymology Tall boots may have a tab, loop or handle at the top known as a bootstrap, allowing one to use fingers ...

Gibbs sampling In statistics, Gibbs sampling or a Gibbs sampler is a Markov chain Monte Carlo (MCMC) algorithm for obtaining a sequence of observations which are approximated from a specified multivariate probability distribution, when direct sampling is dif ...

and

Monte Carlo simulation Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be determini ...

* Graphical and numeric

descriptive statistics A descriptive statistic (in the count noun sense) is a summary statistic that quantitatively describes or summarizes features from a collection of information, while descriptive statistics (in the mass noun sense) is the process of using and an ...

analysis * Optimization tools for

maximum likelihood In statistics, maximum likelihood estimation (MLE) is a method of estimation theory, estimating the Statistical parameter, parameters of an assumed probability distribution, given some observed data. This is achieved by Mathematical optimization, ...

, GMM, or maximum simulated likelihood estimators * Post estimation tools for

simulation A simulation is the imitation of the operation of a real-world process or system over time. Simulations require the use of Conceptual model, models; the model represents the key characteristics or behaviors of the selected system or proc ...

, hypothesis testing, and partial effects * Computational methods that match the

National Institute of Standards and Technology The National Institute of Standards and Technology (NIST) is an agency of the United States Department of Commerce whose mission is to promote American innovation and industrial competitiveness. NIST's activities are organized into physical sci ...

test problems

Resources

The PDF documentation set includes reference guides for the operation, background econometrics, and sample applications.

Notes

References

* Chang, Jae Bong and Lusk, Jayson (2011). "Mixed Logit Models: Accuracy and Software Choice". ''Journal of Applied Econometrics'' 26: 167-172. * Greene, William and Hensher, David (2010). ''Modeling Ordered Choices''. Cambridge University Press. *

External links

*
NLOGIT
{{Statistical software Econometrics software Proprietary software