ordinary least squares with specification tests
[rols]=olspec(namey,arg1,...,argn)
* namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes
* argi = arguments which can be:
- a time series
- a real (nx1) vector
- a real (nxk) matrix
- a string equal to the name of a time series or a (nxk) real vector or matrix between quotes
- a list of such elements
- the string 'noprint' if the user doesn't want to display the results of the regression
- the string 'arlm(n)' where n is the order of the AR Lagrange multiplier test if the user wants another lag than 4
- the string 'test=x1,...,xp' where xi is the name of a test function ('jbnorm', 'dornhans', 'chowtest', 'predfailin', 'arlm', 'hetero_sq' or 'reset')
* rols = a results tlist with
- rols('meth') = 'ols'
- rols('y') = y data vector
- rols('x') = x data matrix
- rols('nobs') = # observations
- rols('nvar') = # variables
- rols('beta') = bhat
- rols('yhat') = yhat
- rols('resid') = residuals
- rols('vcovar') = estimated variance-covariance matrix of beta
- rols('sige') = estimated variance of the residuals
- rols('sigu') = sum of squared residuals
- rols('ser') = standard error of the regression
- rols('tstat') = t-stats
- rols('pvalue') = pvalue of the betas
- rols('dw') = Durbin-Watson Statistic
- rols('condindex') = multicolinearity cond index
- rols('prescte') = boolean indicating the presence or absence of a constant in the regression
- rols('rsqr') = rsquared
- rols('rbar') = rbar-squared
- rols('f') = F-stat for the nullity of coefficients other than the constant
- rols('pvaluef') = its significance level
- rols('prests') = boolean indicating the presence or absence of a time series in the regression
- rols('namey') = name of the y variable
- rols('namex') = name of the x variables
- rols('bounds') = if there is a timeseries in the regression, the bounds of the regression
- rols('name_test') = the names of the specification
- rols('spec_test') = a matrix with the values of the statistics of the specification tests in column 1 and the corresponding p-values in column 2
load(GROCERDIR+'/macros/grocer/db/bdhenderic.dat') ;bounds('1964q3','1989q2'); rols=olspec('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte') //provides the estimation of Hendry and Ericsson prefered equation along with the 5 default specification tests. rols=olspec('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte','arlm(2)') // The same as above, except for the autocorrelation test, which is performed with 2 lags. rols=olspec('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte','test=doornhans,arlm(2),reset') // Provides the estimation of Hendry and Ericsson prefered equation along with the Doornik and Hansen normality test, // the autocorrelation test performed with 2 lag and Ramsey's reset test. | ![]() | ![]() |