Run Entries

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name

run name

title

run title, if any

model

model name

p

for GARCH models, order of GARCH parameters; for ARIMA models order of AR parameters

q

for ARCH and GARCH models, order of ARCH parameters; for ARIMA models order of MA parameters

d

for ARIMA models, order of differencing

estimate

parameter estimates

parnames

parameter labels

parlist

parameter type

rcode

NLP return code for this estimation run

aic

AIC statistic

bic

BIC statistic

lrs

likelihood ratio statistic

numobs

number of observations

covpar

approximate covariance matrix of parameters

climits

confidence limits

indvars

labels of independent variables for this run

tsfcst

forecasts of time series

cvfcst

forecasts of conditional variances and covariances, if any

covtype

type of covariance matrix,

1

computed from Hessian of log-likelihood

2

computed from cross-product of first derivatives of log-likelihood

3

quasi-maximum likelihood covariance matrix

inftype

type of inference used in computing confidence limits

0

computed from covariance matrix of parameters

1

computed by inversion of Wald statistic

-1

confidence limits not computed

pdcovpar

if constrainPDCOvPar has been called with argument "ON", the NLP output global _nlp_PDA is stored here

indeqs

matrix of zeros and ones with number of rows equal to the number of time series and columns equal to the number of independent variables; a indicates that a coefficient is computed for the corresponding independent variable on the corresponding dependent variable

cvindeqs

matrix of zeros and ones with number of rows equal to the number of time series and columns equal to the number of independent variables; a indicates that a coefficient is computed for the corresponding independent variable on the conditional variance for the corresponding dependent variable