GAUSS lsdvFit Example

Introduction

The following is an example of implementing the lsdvFit procedure for estimating least squares dummy variable models given by

$$Y = X_{1} + X_{2} + X_{3}$$

Estimate the model

This example uses previously simulated data stored in the GAUSS dataset "lsdv.dat". The model can be estimated in a single line using the GAUSS formula string syntax.

new;
library tsmt;

// Get file name with full path
dataset = getGAUSSHome() $+ "pkgs/tsmt/examples/lsdv.dat";

// Estimate the model
call garchMFIT(dataset, "Y ~ X1 + X2 + X3", 50, 2);

Output

The output reads:

Bias Corrected Auto-regression Coefficients

           coeff          std err       t-stat           prob
Y-1        0.29891        0.00490       61.00745        0.01043
Y-2        0.00099        0.00496        0.19860        0.87519

Bias Corrected Regression Coefficients

           coeff          std err       t-stat           prob
X1        0.50511        0.00694       72.80321        0.00874
X2        0.50107        0.00689       72.73983        0.00875
X3        0.49650        0.00692       71.74688        0.00887

Total SS       7845.7652634122
Explained SS   4950.6572554781
Residual SS    2890.4866068818
Pooled SS      4.6214010523
Number of cases 500
Number of periods 50
Number of Degrees of Freedom 17433
Number of observations 25000
Number of missings 6567
lower upper bound bound Constraint Lagrangean = 0.0000 0.0000

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