IMsSerialCorellationLMTestSettings.LMOrder

Syntax

LMOrder: Integer;

Description

The LMOrder property returns autoregression order.

Comments

LMOrder must take non-negative value.

Example

Executing the example requires that the repository contains a modeling container with the CONT_MODEL identifier that contains a linear regression model (OLS estimation) with the MODEL identifier. The model contains more than one factor.

Add links to the Metabase, Ms, Stat system assemblies.

Sub UserProc;
Var
    mb: IMetabase;
    ContModelDescr: IMetabaseObjectDescriptor;
    ModelObj: IMetabaseObject;
    pModel: IMsModel;
    pTransform: IMsFormulaTransform;
    pFormula: IMsFormula;
    pRegress: IMsLinearRegressionTransform;
    pTestList: IMsDiagnosticTestList;
    Test: IMsDiagnosticTest;
    TestSettings: IMsSerialCorellationLMTestSettings;
    VarTrans: IMsFormulaTransformVariable;
    Calc: IMsMethodCalculation;
    Coord: IMsFormulaTransformCoord;
    Res: IMsDiagnosticTestResults;
    Stat: ISpecificationTestStatistic;
Begin
    mb := MetabaseClass.Active;
    ContModelDescr := mb.ItemById("CONT_MODEL");
    ModelObj := mb.ItemByIdNamespace("MODEL", ContModelDescr.Key).Edit;
    pModel := ModelObj As IMsModel;
    pTransform := pModel.Transform;
    pFormula := pTransform.FormulaItem(0);
    pRegress := pFormula.Method As IMsLinearRegressionTransform;
// get diagnostic tests set    
    pTestList := pRegress.DiagnosticTests;
// find the Godfrey criterion
    Test := pTestList.FindByType(MsDiagnosticTestType.SerialCorellationLM);
    TestSettings := Test.Settings As IMsSerialCorellationLMTestSettings;
// set autoregression order 
    TestSettings.LMOrder := 2;
// set testing parameters
    VarTrans := pTransform.Outputs.Item(0);
    Coord := pTransform.CreateCoord(VarTrans);
    Calc := pModel.CreateCalculation As IMsMethodCalculation;
    Calc.Period.IdentificationStartDate := DateTime.ComposeDay(19900101);
    Calc.Period.IdentificationEndDate := DateTime.ComposeDay(20071231);
    Calc.Period.ForecastStartDate := DateTime.ComposeDay(20080101);
    Calc.Period.ForecastEndDate := DateTime.ComposeDay(20101231);
// execute testing   
    Res := Test.Execute(Calc As IMsMethodCalculation, Coord);
// display results
    Stat := Res.ChiTest;
    Debug.WriteLine("-- Chi-square statistic --");
    Debug.Write("     Value: ");
    Debug.WriteLine(Stat.Statistic);
    Debug.Write("     Probability: ");
    Debug.WriteLine(Stat.Probability);
    Stat := Res.FTest;
    Debug.WriteLine("-- Fisher statistic --");
    Debug.Write("     Value: ");
    Debug.WriteLine(Stat.Statistic);
    Debug.Write("     Probability: ");
    Debug.WriteLine(Stat.Probability);
End Sub UserProc;

The example describes setting up of diagnostic test parameters (functional form criterion). The model is tested by autoregression of second order. After the testing the results are displayed in the console window.

See also:

IMsSerialCorellationLMTestSettings