| GLS
The GLS command does Generalized Least Squares Regressions
In general, the format is:
GLS depvar indeps / options
The user must specify one of PMATRIX=,
OMEGA= or OMINV= as
one of the GLS options to tell SHAZAM which matrix to use for
estimation.
The available options are:
| Option |
Description |
|
BLUP
|
Predicted values are adjusted using info obtained from previous period residuals according to the transformation specified by the P matrix.
|
|
DUMP
|
Prints the Omega, Omega Inverse and P matrices used.
|
|
FULLMAT
|
If the user is passing the full matrix.
|
|
NOMULSIGSQ
|
When the matrix is the actual covariance matrix this option is specified so the matrix is not multiplied by sigma squared.
|
|
UT
|
Estimated coefficients will be used with the original data to compute predicted values and residuals that are not transformed.
|
|
PMATRIX=,
|
Specifies the matrix to be used for estimation.
|
|
OMEGA=,
|
|
|
OMINV=
|
|
|
RESID=
|
Saves the residuals according to UT and BLUP.
|
Options as defined for OLS:
ANOVA, DLAG, DN, GF, HETCOV, LININV, LINLOG, LIST, LOGINV, LOGLIN, LOGLOG, MAX,
NOCONSTANT, PCOR, PCOV, RSTAT,BEG=, END=, COEF=, COV=, PREDICT=, STDERR= and
TRATIO= .
For available temporary variables see the
OLS command. |