Object Reference : Object View and Procedure Reference : Equation
  
 
funtest
Perform functional coefficients hypothesis and stability tests.
Test one or more functional coefficients for stability or equality with values in a specified series.
For equations estimated using the functional coefficients method.
Syntax
eq_name.funtest(options) arg
where arg is a comma separated list of functional coefficient restrictions for which you wish separately to test.
The coefficient restrictions
coefspec = restriction
where coefspec is a coefficient spec consisting of,
c(k)
@all
for individual coefficient k, and all coefficients, respectively, and restriction takes the form:
series_name or vector
scalar
@constant
Options
Basic Options
 
nolocalbw
Do not use the existing local pilot bandwidth (if it exists)
Note that this option is only available if a local pilot bandwidth has been set previously, either through the estimation step, using Equation::setpilotbw, or through another view or proc which sets the local bandwidth.
p
Print output.
Pilot Bandwidth Options
If a local pilot bandwidth has exists, all of the pilot bandwidth computation options below will be ignored unless the “nolocalbw” option is specified.
 
noupdate
Do not update the local pilot bandwidth using the current pilot bandwidth computation.
plth =arg (default = “cv”)
Pilot bandwidth method: simple rule-of-thumb (“rot”), robust rule-of-thumb (“rotr”), residual squares criterion (“rsc”), modified multi cross-validation (“cv”), user-defined (“user”).
pltbw=arg (default =1)
User-defined bandwidth (if “plth=user”).
plthmin=arg (default = 0.1)
Bandwidth grid search minimum value (if not “plth=user”).
plthmax=arg (default =1)
Bandwidth grid search maximum value (if not “plth=user”).
plthlen=integer (default = 100)
Bandwidth grid search length (if not “plth=user”).
plthinc=integer (default = 10)
Bandwidth grid search increment step percentage increase (if not “plth=user”).
plthcup=integer (default = 10)
Stop rule: consecutive increases of objective function before stop (not available when “plth=user”).
pltm=arg (default = 10)
Modified multifold CV m-value: percentage of sample size used in bandwidth determination (when “plth=cv”).
pltq=integer (default = 4)
Modified multifold CV Q-value: percentage of sample size used in bandwidth determination (when “plth=cv”).
auxk=integer (default = 2)
Estimation polynomial degree for pilot stage in excess of final stage degree. This number should always be an even positive integer.
Examples
eq1.funtest @all=10, c(2)=2, c(3)=y
performs three separate tests for the restrictions: all of the coefficients are constant and equal to 10, c(2) is a constant equal to 2, and c(3) is equal to the series Y using an existing local pilot bandwidth if present, or estimating the pilot bandwidth, if not. If estimated, the local pilot bandwidth is updated with the result.
eq1.funtest(nolocalbw, noupdate, auxk=4, plth=rsc) @all=3, c(2)=2, c(3)=y
ignores an existing local pilot bandwidth and instead computes a pilot bandwidth using the residual squares criterion and auxiliary degree of 4, and uses it in the test calculation. The existing saved local pilot bandwidth is retained.
Cross-references
See “Functional Coefficient Regression” for discussion of functional coefficients estimation. See “Stability and Significance Tests” for discussion of functional covariances.
See also Equation::makefunobj and Equation::setpilotbw.