ISmPhillipsOuliarisTest.Explained

Syntax

Explained: ISlSerie;

Description

The Explained property returns the explained series.

Comments

The number of observations in the explained series cannot be smaller than the number of estimated parameters.

Example

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

Sub UserProc;
Var
    po: SmPhillipsOuliarisTest;
    can, fra, ger: Array[43] Of Double;
    kernel: Array[2] Of Double;
    res, i: Integer;
    d: Integer = 2;
Begin
    po := New SmPhillipsOuliarisTest.Create;
    // Values of variables:
    can[00] := 6209;    can[01] := 6385;    can[02] := 6752;    can[03] := 6837;
    can[04] := 6495;    can[05] := 6907;    can[06] := 7349;    can[07] := 7213;
    can[08] := 7061;    can[09] := 7180;    can[10] := 7132;    can[11] := Double.Nan;
    can[12] := 7473;    can[13] := 7722;    can[14] := 8088;    can[15] := Double.Nan;
    can[16] := 8941;    can[17] := 9064;    can[18] := 9380;    can[19] := 9746;
    can[20] := 9907;    can[21] := 10333;   can[22] := 10863;   can[23] := Double.Nan;
    can[24] := 12242;   can[25] := 12227;   can[26] := 12910;   can[27] := 13049;
    can[28] := 13384;   can[29] := 14036;   can[30] := 14242;   can[31] := 14704;
    can[32] := 13802;   can[33] := 14197;   can[34] := 15010;   can[35] := 15589;
    fra[00] := 4110;    fra[01] := 4280;    fra[02] := 4459;    fra[03] := 4545;
    fra[04] := 4664;    fra[05] := 4861;    fra[06] := 5195;    fra[07] := 5389;
    fra[08] := 5463;    fra[09] := 5610;    fra[10] := 5948;    fra[11] := 6218;
    fra[12] := 6521;    fra[13] := 6788;    fra[14] := 7222;    fra[15] := 7486;
    fra[16] := 7832;    fra[17] := 8153;    fra[18] := 8468;    fra[19] := 9054;
    fra[20] := 9499;    fra[21] := 9866;    fra[22] := 10217;   fra[23] := 10763;
    fra[24] := 10683;   fra[25] := 10494;   fra[26] := 10938;   fra[27] := 11198;
    fra[28] := 11546;   fra[29] := 11865;   fra[30] := 11781;   fra[31] := 11681;
    fra[32] := 11903;   fra[33] := 11900;   fra[34] := 11986;   fra[35] := 12206;
    ger[00] := 3415;    ger[01] := 3673;    ger[02] := 4013;    ger[03] := 4278;
    ger[04] := 4577;    ger[05] := 5135;    ger[06] := 5388;    ger[07] := 5610;
    ger[08] := 5787;    ger[09] := 6181;    ger[10] := 6633;    ger[11] := 6910;
    ger[12] := 7146;    ger[13] := 7248;    ger[14] := 7689;    ger[15] := 8046;
    ger[16] := 8143;    ger[17] := 8064;    ger[18] := 8556;    ger[19] := 9177;
    ger[20] := 9705;    ger[21] := 9923;    ger[22] := 10268;   ger[23] := 10681;
    ger[24] := 10448;   ger[25] := 10366;   ger[26] := 10958;   ger[27] := 11292;
    ger[28] := 11726;   ger[29] := 12172;   ger[30] := 12058;   ger[31] := 11804;
    ger[32] := 11682;   ger[33] := 12001;   ger[34] := 12300;   ger[35] := 12535;

    // Sample period:
    po.ModelPeriod.FirstPoint := 1;
    po.ModelPeriod.LastPoint := 35;
    // Explained series:
    po.Explained.Value := can;
    // Cointegration regressors:
    po.CointegratingRegressors.Clear;
    po.CointegratingRegressors.Add.Value := fra;
    // Deterministic regressors:
    po.DeterministicRegressors.Clear;
    po.DeterministicRegressors.Add.Value := ger;
    // Missing data treatment:
    po.MissingData.Method := MissingDataMethod.Casewise;
    // Trend specification:
    po.TrendSpecification := TrendSpecificationType.LinearNone;

    // Long-term covariance settings:
    po.HACOptions.LRCLagSpecification := LRCLagSpecificationType.AutoAIC;
    po.HACOptions.NumberOfLags := 1;
    po.HACOptions.LRCKernel := LRCKernelType.UserSpecified;
    kernel[0] := 1; kernel[1] := 2;
    po.HACOptions.KernelVector := kernel;
    po.HACOptions.LRCBandwidthMethod := LRCBandwidthMethodType.UserSpecified;
    po.HACOptions.BandwidthValue := 1.00;
    // Calculate model:
    res := po.Execute;
    Debug.WriteLine(po.Errors);
    For i := 0 To po.WarningsCount-1 Do
        Debug.WriteLine(po.Warnings[i]);
    End For;
    Debug.WriteLine("=== Test statistics ===");
    Debug.Indent;
    Debug.WriteLine("Tau "+po.TauStat.Statistic.ToString + " " + po.TauStat.Probability.ToString);
    Debug.WriteLine("Z "+po.ZStat.Statistic.ToString + " " + po.ZStat.Probability.ToString);
    Debug.Unindent;
    Debug.WriteLine("=== Model coefficient estimates ===");
    Debug.Indent;

    For i := 0 To po.ModelCoefficients.Estimate.Length-1 Do
        Debug.WriteLine(po.ModelCoefficients.Estimate[i].ToString + " "
            + po.ModelCoefficients.StandardError[i].ToString + " "
            + po.ModelCoefficients.TStatistic[i].ToString + " "
            + po.ModelCoefficients.Probability[i].ToString);
    End For;
    Debug.Unindent;
    Debug.WriteLine("=== Auxiliary regression characteristics ===");
    Debug.Indent;
    Debug.WriteLine("Determination coefficient: " + po.SummaryStatistics.R2.ToString);
    Debug.WriteLine("Adjusted determination coefficient: " + po.SummaryStatistics.AdjR2.ToString);
    Debug.WriteLine("Standard regression error: " + po.SummaryStatistics.SE.ToString);
    Debug.WriteLine("Durbin-Watson statistic: " + po.SummaryStatistics.DW.ToString);
    Debug.Unindent;
End Sub UserProc;

After executing the example the console window displays the following:

Test statistics values.
Estimations of model coefficients.
Auxiliary regression characteristics.