ISmCointegratingRegression.LagLeadMethod

Syntax

Description

The LagLeadMethod property determines the type of cointegration regression coefficient by means of the DOLS method.

Comments

If LagLeadMethod = LagLeadMethodType.Fixed, the following must be set for the DOLS method: number of lags and number of leads.

Example

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

Sub UserProc;
Var
    CointReg: SmCointegratingRegression;
    x: ISlSerie;
    can, fra, ger, ita: Array[20] Of Double;
    i, res: Integer;
Begin
    CointReg := New SmCointegratingRegression.Create;
    // Values of variables:
    can[00] := 6209 ;   fra[00] := 4110 ;  ger[00] := 3415 ;  ita[00] := 2822;
    can[01] := 6385 ;   fra[01] := 4280 ;  ger[01] := 3673 ;  ita[01] := 3023;
    can[02] := 6752 ;   fra[02] := 4459 ;  ger[02] := 4013 ;  ita[02] := 3131;
    can[03] := 6837 ;   fra[03] := 4545 ;  ger[03] := 4278 ;  ita[03] := 3351;
    can[04] := 6495 ;   fra[04] := 4664 ;  ger[04] := 4577 ;  ita[04] := 3463;
    can[05] := 6907 ;   fra[05] := 4861 ;  ger[05] := 5135 ;  ita[05] := 3686;
    can[06] := 7349 ;   fra[06] := 5195 ;  ger[06] := 5388 ;  ita[06] := 3815;
    can[07] := 7213 ;   fra[07] := 5389 ;  ger[07] := 5610 ;  ita[07] := 3960;
    can[08] := 7061 ;   fra[08] := 5463 ;  ger[08] := 5787 ;  ita[08] := 4119;
    can[09] := 7180 ;   fra[09] := 5610 ;  ger[09] := 6181 ;  ita[09] := 4351;
    can[10] := 7132 ;   fra[10] := 5948 ;  ger[10] := 6633 ;  ita[10] := 4641;
    can[11] := 7137 ;   fra[11] := 6218 ;  ger[11] := 6910 ;  ita[11] := 5008;
    can[12] := 7473 ;   fra[12] := 6521 ;  ger[12] := 7146 ;  ita[12] := 5305;
    can[13] := 7722 ;   fra[13] := 6788 ;  ger[13] := 7248 ;  ita[13] := 5611;
    can[14] := 8088 ;   fra[14] := 7222 ;  ger[14] := 7689 ;  ita[14] := 5693;
    can[15] := 8516 ;   fra[15] := 7486 ;  ger[15] := 8046 ;  ita[15] := 5804;
    can[16] := 8941 ;   fra[16] := 7832 ;  ger[16] := 8143 ;  ita[16] := 6121;
    can[17] := 9064 ;   fra[17] := 8153 ;  ger[17] := 8064 ;  ita[17] := 6546;
    can[18] := 9380 ;   fra[18] := 8468 ;  ger[18] := 8556 ;  ita[18] := 6918;
    can[19] := 9746 ;   fra[19] := 9054 ;  ger[19] := 9177 ;  ita[19] := 7349;
    // Sample period:
    CointReg.ModelPeriod.FirstPoint := 1;
    CointReg.ModelPeriod.LastPoint := 20;
    // Forecast:
    CointReg.Forecast.LastPoint := 20;
    // Source series:
    CointReg.Explained.Value := can;
    // Cointegration regressors:
    CointReg.CointegratingRegressors.Clear;
    x := CointReg.CointegratingRegressors.Add;
    x.Value := fra;
    // Deterministic regressors:
    x := CointReg.DeterministicRegressors.Add;
    x.Value := ger;
    // Additional regressors:
    CointReg.AdditionalRegressors.Clear;
    x := CointReg.AdditionalRegressors.Add;
    x.Value := ita;
    // Trend specification:
    CointReg.TrendSpecification := TrendSpecificationType.ConstLinear;
    // Estimation method:
    CointReg.EstimationMethod := CREstimationMethodType.DOLS;
    // Type of cointegration regression estimation:
    CointReg.LagLeadMethod:=LagLeadMethodType.Fixed;
    // Number of lags for the DOLS method:
    CointReg.Lags := 1;
    // Number of leads for the DOLS method:
    CointReg.Leads := 1;
    // Take into account that coefficients are found, approximately on calculating confidence limits:
    CointReg.Forecast.CoefUncertaintyInSECalc := True;
    // Calculate model:
    res := CointReg.Execute;
    Debug.WriteLine(CointReg.Errors);
    For i := 0 To CointReg.WarningsCount - 1 Do
        Debug.WriteLine(CointReg.Warnings[i]);
    End For;
    Debug.WriteLine("=== Cointegration coefficients of model ===");
    Debug.Indent;
    For i := 0 To CointReg.CointegratingCoefficients.Estimate.Length - 1 Do
        Debug.WriteLine(CointReg.CointegratingCoefficients.Estimate[i].ToString + " " +
            CointReg.CointegratingCoefficients.StandardError[i].ToString + " " +
            CointReg.CointegratingCoefficients.TStatistics[i].ToString + " " +
            CointReg.CointegratingCoefficients.Probability[i].ToString);
    End For;
    Debug.Unindent;
    Debug.WriteLine("=== Deterministic coefficients of model ===");
    Debug.Indent;
    For i := 0 To CointReg.DeterministicCoefficients.Estimate.Length - 1 Do
        Debug.WriteLine(CointReg.DeterministicCoefficients.Estimate[i].ToString + " " +
            CointReg.DeterministicCoefficients.StandardError[i].ToString + " " +
            CointReg.DeterministicCoefficients.TStatistics[i].ToString + " " +
            CointReg.DeterministicCoefficients.Probability[i].ToString);
    End For;
    Debug.Unindent;
    Debug.WriteLine("=== Model characteristics ===");
    Debug.Indent;
    Debug.WriteLine("Determination coefficient: " + CointReg.SummaryStatistics.R2.ToString);
    Debug.WriteLine("Adjusted determination coefficient: " + CointReg.SummaryStatistics.AdjR2.ToString);
    Debug.WriteLine("Standard regression error: " + CointReg.SummaryStatistics.SE.ToString);
    Debug.WriteLine("Durbin-Watson statistics: " + CointReg.SummaryStatistics.DW.ToString);
    Debug.Unindent;
End Sub UserProc;

After executing the example the console window displays the following:

Cointegration coefficients of model.
Deterministic coefficients of model.
Model characteristics.