ISm2SLS.CovarianceMatrix

Syntax

CovarianceMatrix: Array;

Description

The CovarianceMatrix property returns covariance matrix values.

Comments

It is required to use an array of Double values.

Example

To execute the example, add a link to the Stat system assembly.

Sub UserProc;
Var
    TwoSLS: Sm2SLS;
    can, fra, ger, jpn, uk: Array[15] Of Double;
    C: IIntercept;
    X: ISlSerie;
    res, i, j: Integer;
    str: String;
Begin
    TwoSLS := New Sm2SLS.Create;
    // Set values fornbsp;variables
    can[00] := 6325; fra[00] := 4110; ger[00] := 3415; jpn[00] := 1475; uk[00] := 5320;
    can[01] := 6385; fra[01] := 4280; ger[01] := 3673; jpn[01] := 1649; uk[01] := 5484;
    can[02] := 6752; fra[02] := 4459; ger[02] := 4013; jpn[02] := 1280; uk[02] := 5517;
    can[03] := 6837; fra[03] := 4545; ger[03] := 4278; jpn[03] := 1884; uk[03] := 5791;
    can[04] := 6495; fra[04] := 4664; ger[04] := 4577; jpn[04] := 1972; uk[04] := 5971;
    can[05] := 6907; fra[05] := 4459; ger[05] := 5135; jpn[05] := 2108; uk[05] := 6021;
    can[06] := 7349; fra[06] := 5195; ger[06] := 5388; jpn[06] := 2249; uk[06] := 6238;
    can[07] := 7213; fra[07] := 5389; ger[07] := 5610; jpn[07] := 2394; uk[07] := 6322;
    can[08] := 7061; fra[08] := 5463; ger[08] := 6028; jpn[08] := 2505; uk[08] := 6340;
    can[09] := 7180; fra[09] := 5610; ger[09] := 6181; jpn[09] := 2714; uk[09] := 6569;
    can[10] := 7132; fra[10] := 5948; ger[10] := 6633; jpn[10] := 3052; uk[10] := 6813;
    can[11] := 7213; fra[11] := 6218; ger[11] := 6910; jpn[11] := 3453; uk[11] := 6974;
    can[12] := 7473; fra[12] := 6521; ger[12] := 7146; jpn[12] := 3666; uk[12] := 6994;
    can[13] := 7722; fra[13] := 6788; ger[13] := 7248; jpn[13] := 4008; uk[13] := 7220;
    can[14] := 8088; fra[14] := 7222; ger[14] := 7689; jpn[14] := 4486; uk[14] := 8021;
    // Set sample period parameters
    TwoSLS.ModelPeriod.FirstPoint := 1;
    TwoSLS.ModelPeriod.LastPoint := 10;
    // Set last forecast point
    TwoSLS.Forecast.LastPoint := 15;
    // Use auto estimation of constant value
    C:=TwoSLS.ModelCoefficients.Intercept;
    C.Mode := InterceptMode.AutoEstimate;
    // Set explained variable
    TwoSLS.Explained.Value := can;
    // Set explanatory variables
    X:=TwoSLS.Explanatories.Add;
    X.Value := fra;
    X.Name:= "fra";
    X:=TwoSLS.Explanatories.Add;
    X.Value := ger;
    X.Name:= "ger";
    // Use constants in instrumental variables
    TwoSLS.UseConstantAsInstrument := True;
    // Set instrumental variables
    TwoSLS.Instrumental.Add.Value := jpn;
    TwoSLS.Instrumental.Add.Value := uk;
    // Run calculation and show results
    res := TwoSLS.Execute;
    If res <> 0 Then
        Debug.WriteLine(TwoSLS.Errors);
    Else
        Debug.WriteLine("=== Covariance matrix ===");
        For i := 0 To TwoSLS.CovarianceMatrix.GetUpperBound(2) Do
            str := "";
            For j := 0 To TwoSLS.CovarianceMatrix.GetUpperBound(1) Do
                str := str + "  " + (TwoSLS.CovarianceMatrix[j, i] As Double).ToString;
            End For;
            Debug.WriteLine(str);
        End For;
    End If;
End Sub UserProc;

After executing the example the console window displays values of covariance matrix.