JOURNAL OF APPLIED ECONOMETRICS, VOL. 6, 317-320 (1991)

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SHAZAM 6.2: A REVIEW

MICHAEL R. VEALL Depurtrnent of Economics, McMusler University, Hamilton, Oniario L8S 4M4 Canada

1. INTRODUCTION

SHAZAM was the first program reviewed in this Journal (Byron, 1987). Byron’s review was of a preliminary version of 6.0. SHAZAM’s author responded (White, 1988), indicating improvements. Two further rounds of revisions have led to version 6.2. While the program is available for many types of mainframes and Macintosh and OS/2 systems, this brief review will focus on the revisions as implemented in the DOS version. Table I contains a summary.

2. STRUCTURE

The basic structure of the program is unchanged. The program is command-driven as opposed to menu-driven, which some may regard as a drawback. To this reviewer the compensating advantage is what Byron called the ‘one-program-fits-all’ design. The same instruction set can be used on mainframe and micro alike, permitting flexibility in research and instruction.

There is still no access to the DOS shell and there are significant memory restrictions. SHAZAM can access only 640K (and is a bit profligate with that as dummy variables and other integer vectors are stored as reals). This is disappointing to those of us with 386 machines who want to use all the memory we paid for. White is a fan of OS/2, and an OS/2 version has long been available. A 386 Extender version, which also relieves memory constraints, will be available by the time this review is published.

3 . FEATURES

SHAZAM remains relatively comprehensive. All standard procedures and diagnostics are included. Most of the shortcomings discussed in Byron’s review have been addressed in subsequent versions; one exception is that in nonlinear optimization there is still no algorithm of the Gauss-Newton type.

SHAZAM 6.2 also has many other new features, for example ARCH methods. Since at least version 6.0, routines have been available for ARIMA method or ARMA errors in regression,

0883-7252/91/0303 17-04$05 .OO 0 1991 b y john Wiley & Sons, Ltd.

Received December 1990

318 M. R . VEALL

Table I . Summary information for SHAZAM 6.2

Distributor

Medium

Hard disk storage space

System requirements

Graphics

Language

Computational accuracy

Documentation

Support

Price

SHAZAM, Department of Economics, University of British Columbia, Vancouver, B.C. V6T 1W5, Canada

Up to three 3.5” or six 5.25” disks, depending on the version; not copy protected

About 2 mB

Most mainframe computers, SUN SPARCstations and these microcomputers: (1) all IBMs or compatibles with DOS 2.1 or higher, a hard disk,

512K RAM or OS/2 with 40 mB hard disk capacity with 2 mB RAM

(2) Mackintosh with 1 mB RAM Separate math co-processor and no-math co-processor versions available 386 Extender version announced for January 1991

Can employ CGA, EGA, VGA, Hercules and option for Toshiba 3100 Plasma screen

Compiled Fortran

Satisfactory on Longley Data (see text)

355-page bound user’s manual with index; useful demo for beginners; some on-line help

Users registered N o newsletter Support at above address Telephone support available Past comments have led to revisions

Single copies: DOS or Mac: $295; OS/2 or SPARCstation versions $395 Site licenses: DOS or Mac: $1200, OS/2 or SPARCstation versions $1700 Mainframe: $500 university, $750 government, $900 commercial. All prices in US dollars

robust regression, limited dependent variable models, normal and non-normal maximum- likelihood models, bootstrapping, jack-knifing, ridge regression and recursive residuals. Still more advanced techniques can be programmed in an easy-to-use matrix language, familiar to current SHAZAM users and useful in teaching. Other programming features include capabilities for numeric derivatives, integrals and function maximization and limited do-loops.

4. DOCUMENTATION

It may seem unfair to complain about the manual. It has parts which are clear and which strike an exceptional balance between the needs of the beginner and the experienced user. It is often very amusing, and I have seen much worse.

That having been said, it seems that the program is outgrowing the manual in describing some of the less-common procedures. For example, the user is not warned that a heteroskedasticity test labelled the Harvey test is not valid when there is a single-event dummy. It can be difficult to determine how to take values yielded from an estimation procedure and

SOFTWARE REVIEW 319

use them as starting values for algorithms such as nonlinear regression. The documentation for principal components is weak and I encountered two minor bugs. The documentation for the Imhof routine is still weaker, and using it yielded nonsensical results on occasion as well as my only (rather benign) crash.

One other aspect of SHAZAM documentation has been the development of student versions and manuals keyed to a number of econometrics books. I have had a favourable experience with student version 6.1 and Gujarati (1988). While data sets for all chapter examples are contained on the student disk, a minor criticism is that the problem data sets are not.

5. DATA INPUT AND MANIPULATION

The main change here since the Byron review is that SHAZAM can now input (and output) Lotus DIF files.

6. ACCURACY

SHAZAM does well on the Longley benchmark regressions, On some tests inspired by Lachenbruch (1983), SHAZAM made small errors, for example when calculating correlations of very large and very small perfectly correlated numbers. (As expected, GAUSS was more accurate in these cases but the advantage would appear to be small except perhaps to a tiny minority of users.)

7. GRAPHICS

Byron’s review noted that SHAZAM had only crude ASCII graphics. An improvement is that high-resolution graphics are now available. However, they are far from fancy: for example when graphing two variables against a common axis 1 was unable to label, or otherwise to distinguish, the two graphed lines.

8. SUPPORT

My personal experience with SHAZAM support has been excellent.

9. CONCLUSIONS

I have no hesitation in recommending SHAZAM 6.2 to users of previous versions: the pro- gram has been updated but changes should be easy to adjust to. Those considering a first-time purchase of SHAZAM can find other programs that are stronger in particular areas such as time-series methods (particularly spectral analysis which SHAZAM does not cover) or perhaps the more sophisticated aspects of limited dependent variable estimation. STATA is better for exploratory data analysis. The programming language GAUSS is faster and more accurate (but harder to learn and to use in applied problems; I would never attempt to teach econometrics with GAUSS). SHAZAM is a good, middle-of-the-road package, especially comprehensive on the regression diagnostics side and containing almost all of the features that most applied econometricians will require. It is also a good package for students, because it provides most of the procedures that econometrics texts consider. Because of the command-driven structure, however, the instructor must be fairly proficient before attempting ‘live’ classroom demonstrations.

320 M. R. VEALL

ACKNOWLEDGEMENTS

I thank Ray Byron, John Hutton, Itzhak Krinsky, Lonnie Magee, E. H. Oksanen and Pravin Trivedi for comments and discussions that were valuable in the writing of this review. Errors and opinions are mine alone.

REFERENCES

Byron, R. P. (1987), ‘SHAZAM: a review’, Journal of Applied Econometrics, 2, 79-82. Gujarati, D. N. (1988), Basic Econometrics, 2nd edn, McGraw-Hill, New York. Lachenbruch, P. A. (1983), ‘Statistical programs for microcomputers’, Byte, 8, 560-570. White, K . .I. (1988), ‘SHAZAM: a response’, Journal of Applied Econometrics, 3, 245-241