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automatic_signed

automatic general to specific regression with sign constraints on coefficients

CALLING SEQUENCE

[rd,rf]=automatic_signed(namey,listx,signx,arg1,...,argn)

PARAMETERS

Input

* 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* results = an automatic tlist results

* listx = a matrix of exogenous variables, under as a (T x k) real matrix or a (T x 1) string vector of names

* signx = a (T x 1) vector of -1, 1 or %nan values, each value indicating the expected sign of the coefficients, -1 for negative, +1 positive and %nan for indifferent.

* arg1,...,argn = any option to automatic (see function automatic for details)

 

Output

* rd = a results tlist with:

  - rd('meth') = 'signed automatic'

  - rd('starting automatic') = original automatic results tlist

  - rd('ending automatic') = final automatic results tlist that is with all coefficient fo the good sign

  - rd('removed var') = a string vector, the variables that have been removed

* rf = the results tlist of the final model

DESCRIPTION

Performs the automatic selection of a model by least-squares regression as in Hendry and Krozlig, while imposing the sign of selected coefficients.

EXAMPLE

global GROCERDIR
load(GROCERDIR+'\data\conjfra.dat')
bounds('1991q3','2008q2','2009q3','2011q2')
tests='test=predfailin(0.9),doornhans,arlm(4),hetero_sq'
listx=['serv_paou_m1','serv_paou_m1-lagts(serv_paou_m1)','serv_exou_m1-serv_paou_m1','serv_exou_m1-lagts(serv_exou_m1)',...
'man_paou_m1','man_paou_m1-lagts(man_paou_m3)','man_exou_m1-lagts(man_paou_m3)','man_exou_m1-lagts(man_exou_m3)',...
'bat_paou_m1','bat_paou_m1-lagts(bat_paou_m3)','bat_exou_m1-lagts(bat_paou_m3)','bat_exou_m1-lagts(bat_exou_m3)',...
'ret_paou_m1','ret_paou_m1-lagts(ret_paou_m1)','ret_glor_m1-lagts(ret_paou_m3)','ret_glor_m1-lagts(ret_glor_m3)',...
'france_climcr_m1','france_climcr_m1-lagts(france_climcr_m3)']
signx=ones(size(listx,2),1)
[r1,rf1]=automatic_signed('growthr(fra_gdp)',listx,signx,'comp=const','strategy=liberal',tests)
 
// Example taken from function automatic_signed_d. Sign of all free coefficients are imposed positive. quantile(x,[0.025 ; 0.5 ; 0.975])

AUTHOR

Eric Dubois 2011

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