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reliability

reliability of the coefficients in a regression

CALLING SEQUENCE

res=reliability(res,w,p,np)

PARAMETERS

Input

* res = the results of a -univariate- regression

* w = a (1 x 4) vector of reliability outcome:

  - w(1) = significant only on a sub-sample

  - w(2) = significant only on the sub-samples

  - w(3) = significant only on the whole sample

  - w(4) = significant on the whole sample and on a sub_sample

* p = a size level

* np = 'noprint' if the user does not want to print the results

 

Output

* res = a tlist with:

  - res('meth')='reliability'

  - res('namey')= a string, the name of the endogenous variable in the regression

  - res('namex')= the string vector of the names of the exogenous variables in the regression

  - res('reliab')= the real vector of the reliability of the coefficients

DESCRIPTION

Estimates the reliability of the coefficients in a regression

EXAMPLE

load(GROCERDIR+'/data/bdhenderic.dat');
bounds('1964q3','1989q2');
rols=ols('delts(lm1-lp)','delts(lp)','delts(lagts(1,lm1-lp-ly))','rnet', 'lagts(1,lm1-lp-ly)', 'const');
reliability(rols,[0.3 0.6 0.4 0.7],0.05)
// From Hendry and Ericsson estimation, calculates the reliability of the coefficients at a 5% level,
// using Hendry and Krolzig proposed parametrisation (w=[0.3 0.6 0.4 0.7]).

AUTHOR

Eric Dubois 2006

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