11.0 RR Command
The RR option allows extensive equation specification tests
following the procedures suggested by Brown-Durbin-Evans. Tests
available include resursive residuals, CUSUM, CUSUMSQ, Quandt-
Likelihood, moving regression, and Chow tests. The RR command
does not allow lags to be specified on the MODEL statement. If
lag variables are desired, they must be built in a B34S DATA
step. The ROBUST and REG commands allow for lags to be set
on the MODEL sentence. The ROBUST command calculates moving
regressions for OL:S, L1 and MINIMAX estimators BUT is
substantially slower than the RR command. The ROBUST command uses
modified routines originally obtained from version 8 of the IMSL
library. Note that the OLSQ command under the MATRIX procedure contains
recursive residual capability and well as the ability to produce L1 and
MINIMAX results.
References for the RR command include:
-Brown, R., J. Durbin and J. Evans, "Techniques for Testing the
Constancy of Regression Relationships over Time," in
Journal of Royal Statistical Society Series B, Vol. 37,
1975.
- Dufour, Jean-Marie,"Recursive Stability Analysis of Linear
Regression Relationships," Journal of Econometrics,
Vol. 19, 1982, pp. 31-76.
For OLS models, see REGRESSION, REG, ROBUST and QR commands.
The general form of the RR command is:
B34SEXEC RR options parameters$
MODEL Yvar = Xvar1 Xvar2 $
BISPEC options parameters$
TRISPEC options parameters$
POLYSPEC options parameters$
B34SEEND$
MODEL is a required sentence. If the NTEST parameters in the RR sentence
are omitted, only OLS results are given.
RR options:
SORTF - Sorts data against each variable listed in NTEST card.
SORTB - Reverse sorts data. This option is used to test for
the number of observations to drop off the beginning of
the dataset.
NOINT - A constant will not be estimated.
CUSUM10 - Sets 10% bounds on CSUM plot.
CUSUM5 - Sets 5% bounds on CSUM plot.
CUSUM1 - Sets 1% bounds on CSUM plot. This is the default.
Note that the 1% bounds are the widest.
ACOV - Same as WHITE command.
WHITE - If set uses the White (1980) formula to calculate the
SE. For further detail see Greene (1993) page 391.
This option is similar to the SAS ACOV option on
SAS PROC REG or the the RATS ROBUSTERRORS on the RATS
command LINREG. The command ACOV can be used in place
of WHITE.
RR parameters:
NTEST=n1 Instructs the RR command to use the first n1 right
hand variables on the MODEL sentence to perform RR
equation stability tests.
IBEGIN=n2 Sets the observation number for the first time
observation. Default=1.
IEND=n3 Sets the last time period. Default = last
observation in the current dataset.
IRB=n4 Sets the maximum order of the recursive residual.
Default=1.
IRRPT=key If IRRPT is not specified, the recursive residual
(RR) will not be plotted.
If key=PLOTO, the RR will be plotted aginst order.
If key=PLOTX, the RR will be plotted against each X
variable.
IRRLS=key If IRRLS is not specified, the recursive residuals
(RR) will not be listed or saved.
If key=LIST, the RR will be listed.
If key=LISTPE, the RR will be listed and punched on
unit 37 in format 5E16.8.
If key=LISTPA, the RR will be listed and saved on
unit 44 in SCA FSAVE format in file RRES. Data
will also be saved.
If key=SCAP, the RR will be saved on
unit 44 in SCA FSAVE format in file RRES. Data
will also be saved.
Note: Recursive residuals of order greater
than one will have missing values placed
at the end of the series.
IBCPT=key If IBCPT is not specified, the recursive B
coefficient will not be plotted.
If key=PLOTO, the recursive B coefficient will be
plotted against order.
If key=PLOTX, the recursive B coefficient will be
plotted against X.
IBCLS=key If IBCLS is not specified, the recursive B
coefficient will not be listed, plotted or saved.
If key=LIST, the recursive B coefficient will be
listed.
If key=LISTP, the recursive B coefficient will be
listed and saved on unit 44 in SCA FSAVE format
in file RCOEF
If key=LISTBSB, the recursive B coefficient and
standardized B coefficient will be listed.
If key=LISTPBSB, the recursive B coefficient and the
standardized B coefficient will be listed and
saved on unit 44 in SCA FSAVE files RCOEF and
RSCOEF respectively
If key=LISTSB, the standardized B coefficients will
be listed.
If key=SCAP, the recursive B coefficient will be
saved on unit 44 in SCA FSAVE format in file
RCOEF and plotted using line printer plot.
If key=SCASBP, the standardized B coefficient will
be saved on unit 44 in SCA FSAVE format in file
RSCOEF and plotted using line printer plot.
If key=SCABBP, both the recursive residual and the
standardized residuals are saved in SCA FSAVE
format and plotted using line printer plot.
INOPUL=n5 Sets number of standardized B coefficient differences
calculated. The value n5 must be LE number of
series in NTEST (n1) sentence. Default=0.
INOPLT=key If INOPLT is not specified, the standardized B
coefficients will not be be plotted.
If key=PLOTO, the standardized B coefficients will be
plotted against order.
If key=PLOTX, the standardized B coefficients will be
plotted against X.
ICUM=key If ICUM is not specified, the CUSUM test is not
performed.
If key=LIST, the CUSUM test is listed.
If key=PLOTO, the CUSUM test is plotted against
order.
If key=PLOTX, the CUSUM test is plotted against
X.
If key=PLOTOLS, the CUSUM test is plotted against
order, listed and saved in SCA FSAVE file.
If key=PLOTXLS, the CUSUM test is plotted against
X, listed and saved in SCA FSAVE file.
If key=PLOTOL the CUSUM test is plotted against
order and listed.
If key=PLOTXL the CUSUM test is plotted against
X and listed.
If key=PLOTOS, the CUSUM test is plotted against
order and saved in SCA FSAVE file.
If key=PLOTXS, the CUSUM test is plotted against
X and saved in SCA FSAVE file.
Note: If FSAVE file save performed. SCA savefile
will be CUSUMi and variables saved will be
OBS, L10, L5, L1, CUSUM, U1, U5, U10 for
the CUSUN test for order i.
ICUMSQ=key If ICUMSQ is not specified, the CUMSUMSQ test is not
performed.
If key=LIST. the CUSUMSQ test is listed.
If key=PLOTO, the CUSUMSQ test is plotted against
order.
If key=PLOTX, the CUSUMSQ test is plotted against X.
If key=PLOTOLS, the CUSUMSQ test is plotted against
order, listed and saved in SCA FSAVE file.
If key=PLOTXLS, the CUSUMSQ test is plotted against
X, listed and saved in SCA FSAVE file.
If key=PLOTOL the CUSUMSQ test is plotted against
order and listed.
If key=PLOTXL the CUSUMSQ test is plotted against
X and listed.
If key=PLOTOS, the CUSUMSQ test is plotted against
order and saved in SCA FSAVE file.
If key=PLOTXS, the CUSUMSQ test is plotted against
X and saved in SCA FSAVE file.
Note: If FSAVE file save performed. SCA savefile
will be CUSUMSQi and variables saved will be
OBS, L, CUSUMSQ, BASE, U.
For this release of B34S PLOTO** = PLOTA**.
IMOVE=n6 Sets the number of periods for autocorrelation of the
recursive residual. The maximum allowed = 60.
ICHOW=key If ICHOW is not specified, the Chow test is not
performed.
If key=CAL, the Chow test is performed.
If key=CALPRINT, the Chow test is performed and the
OLS subsample results are printed.
If key=PRINT, the OLS subsample results are printed
but the Chow test is not performed.
IOBSCH=n7 Sets the number of observations per subsample for the
Chow test. IOBSCH must be greater than the number of
right hand variables. The number of Chow subsamples
calculated = (IEND-IBEGIN+1)/IOBSCH. If IOBSCH will
not go in evenly, the remainder is added to the last
subsample.
IWN=n8 Sets the maximum order of the Wilcox test on the IRB
recursive residual sets. The default = 1. The Wilcox
test will be performed on Z(i)=W(i) * W(I+k) for k
going from 1 to n8.
IADD=n9 Sets the number of additional observations to add to
the base. The default is 1. The IADD parameter is
used if the researcher knows that, due to a dummy
variable, a full rank matrix cannot be obtrained for
the first n8-1 observations in the dataset. If the
IADD parameter is not specified, the B34S RR
procedure will have to test each prospective base for
rank.
IQUANT=key If IQUANT is not specified, Quandt's Log-Likelihood
Ratio Test (QLRT) will not be performed.
If key=PLOT, the QLRT test will be plotted.
If key=LIST, the QLRT will be listed.
If key=PLIST, the QLRT will be listed and plotted.
(LISTP is a synonym for PLIST).
If key=PPLIST, the QLRT will be listed, plotted and
saved on unit 44 in SCA FSAVE format in file
RRQUANT. Series names are OBSNUM, QUANDTLR,
SIGMA1, SIGMA2, TSUMSQ. Note that TSUMSQ is a
constant.
If key=SCAP, the QLRT will be plotted and
saved on unit 44 in SCA FSAVE format in file
RRQUANT. Series names are OBSNUM, QUANDTLR,
SIGMA1, SIGMA2, TSUMSQ. Note that TSUMSQ is a
constant.
IMORR=key If IMORR is not specified, moving regressions are not
calculated.
If key=MTEST, m1 (first step ahead forecast error),
m2 (first step behind forecast error),
m (m=m1+m2) and m3 (constant interval form of m1)
are calculated.
If key=LIST, moving coefficients are listed as well
the test statistics for MTEST. Values listed are
not normalized. Beginning values set to zero.
Listed M values show how the sum is proceeding.
If key=PUNCH, moving coefficients and MTEST
statistics are placed on unit 44 in SCA FSAVE
format. File name = MCOEF.
Data in form: #obs in reg (NOOBSREG)
., Obs beginning (NOBBEGIN), coef 1-
K, M1, M2, M, M3, RSUMSQ. (See notes for LIST).
Another SCA FSAVE file MVALUES containing
NOOBSREG NOBBEGIN M1 M2 M M3 is also saved.
These represent normalized M values.
If key=LPUNCH, option LIST and PUNCH are performed.
If key=SOUTPUT, the test statistics are listed only
after each set of moving regressions. This option
saves paper (i.e. suppressed output).
Note that the SCA FSAVE file produced by PUNCH or
LPUNCH may require further processing to
extract sets of moving coefficients for different
NOOBSREG values.
NBEGIN=n10 Sets the number of observations to use to begin
moving regressions. The default is the number of
variables on the right hand side of the MODEL
sentence.
MMRNOB=n11 Sets the number of observations in the last set of
moving regressions. n11 must be GT than n10 and
LT number of observations in the dataset. If
MMRNOB is set outside this range, if defaults to
NBEGIN.
INCR=n12 Sets the increment for moving regressions. The
default = 1. If NBEGIN=7 and MMRNOB=14 and INCR=2,
sets of moving regressions will be attempted for #
of observations 7, 9, 11, 13.
MODEL sentence.
MODEL Y = X1 X2 X3 X4 $
The MODEL sentence lists the left hand variable and the right hand
variables. A constant will be added to the variable list unless the
NOINT option is given. The NTEST parameter in the RR sentence sets how
many variables to the right of the = sign on the MODEL card are to be
used for stability tests of the coefficients of the the variables listed
on the right hand side of the MODEL sentence. The maximum number of
variables that can be listed on the right hand side of the MODEL
sentence is 69 (including the constant).
BISPEC sentence.
The BISPEC sentence performs various nonlinearity, gaussianity and
matringale tests suggested by Hinich. The form of the BISP sentence in
the BTIDEN, BTEST and MARS commands is the same. To save space, detail
for this sentence is only given under the BTIDEN command help file. If
the BISPEC sentence is given with no options or parameters, gaussianity
and nonlinearity tests will be performed using default settings. The
setting
BISPEC IAUTO ITURNO $
will perform tests for gaussianity and nonlinearity over a grid of
admissable values for the bandwidth.
TRISPEC sentence
The TRISPEC command performs 4th order nonlinearity tests suggested
by Hinich. Further detail on this sentence is listed under the BTIDEN
command.
POLYSPEC sentence
The POLYSPEC command performs various nonlinearity tests suggested
by Hinich within the sample. Further detail on this sentence is listed
under the BTIDEN command.
Sample RR setup for recursive residual analysis. Where the data is
first sorted against X1, and next against X2. If the SORTF option had
not been given, the data would have not been sorted.
B34SEXEC RR ICUM=PLOTO SORTF IRB=2 IRRPT=PLOTO IRRLS=LIST
IBCPT=PLOTO IBCLS=LIST ICHOW=CALPRINT IOBSCH=25
IQUANT=PLOT NTEST=2
$
MODEL Y = X1 X2 X3 $
B34SEEND $
Sample RR setup for a simple regression with nonlinearity tests.
Recursive residual test are not given because the TEST parameter has not
been specified.
B34SEXEC RR $
MODEL Y = X1 X2 X3 $
BISPEC IAUTO ITURNO$
B34SEEND$