* Examples of programming in SHAZAM by replicating some results * from the DIAGNOS command. * Written by Diana Whistler, e-mail: diana@shazam.econ.ubc.ca * -------------------------------------------------------------------- * The DEMO command loads the Theil textile data set. DEMO OLS CONSUME INCOME PRICE DIAGNOS / ACF HET * * The LM-STAT statistic reported with DIAGNOS / ACF * * The calculations are described in Breusch and Pagan, * "The Lagrange Multiplier Test and its Applications to Model * Specification in Econometrics", Review of Economic Studies, Vol. 47, * 1980, (p. 244). * SET NOOUTPUT NODOECHO OLS CONSUME INCOME PRICE / RESID=E DN GEN1 SIG2=$SIG2 GEN1 N=$N GENR ONE=1 COPY INCOME PRICE ONE X MATRIX HAT=X*INV(X'X)*X' DO #=1,4 GENR EL=0 GEN1 BEG=#+1 SAMPLE BEG N GENR EL=LAG(E,#) SAMPLE 1 N MATRIX RHO=(EL'E)/(E'E) MATRIX A=(EL'EL-EL'HAT'EL) MATRIX LM=N*N*RHO*RHO*SIG2 / A MATRIX LM=SQRT(LM) PRINT $DO LM ENDO * * Tests for heteroskedasticity reported with DIAGNOS / HET * OLS CONSUME INCOME PRICE / DN RESID=E PREDICT=YHAT GEN1 SIG2=$SIG2 GEN1 R20=$R2 GENR E2=E*E GENR YHAT2=YHAT*YHAT GENR LYHAT2=LOG(YHAT2) GENR LE2=LOG(E2) GENR ABSE=ABS(E) * E**2 ON YHAT OLS E2 YHAT GEN1 T1=$N*$R2 * E**2 ON YHAT**2 OLS E2 YHAT2 GEN1 T2=$N*$R2 * E**2 ON LOG(YHAT**2) OLS E2 LYHAT2 GEN1 T3=$N*$R2 * ARCH TEST OLS E2 E2(1.1) GEN1 ARCH=$N*$R2 * HARVEY TEST OLS LE2 INCOME PRICE GEN1 HARV=$SSR/4.9348 * GLEJSER TEST OLS ABSE INCOME PRICE GEN1 GLEJ=$SSR/((1-2/$PI)*SIG2) * Koenker Test OLS E2 INCOME PRICE GEN1 KOENKER=$N*$R2 * BPG Test GEN1 BPG=$SSR/(2*SIG2**2) * White Tests GENR INC2=INCOME*INCOME GENR PR2=PRICE*PRICE OLS E2 INCOME PRICE INC2 PR2 GEN1 WHITE1=$N*$R2 GEN1 WHITE2=$SSR/(2*SIG2**2) GENR INCPR=INCOME*PRICE OLS E2 INCOME PRICE INC2 PR2 INCPR GEN1 WHITE3=$N*$R2 GEN1 WHITE4=$SSR/(2*SIG2**2) PRINT T1 T2 T3 ARCH HARV GLEJ KOENKER BPG WHITE1-WHITE4 STOP