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)
•
for individual coefficient k, and all coefficients, respectively, and restriction takes the form:
• series_name or vector
• scalar
•
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.