ISmPooledModel.RandomEffectsMethod

Syntax

RandomEffectsMethod: PooledModelRandomEffectsMethodType;

Description

The RandomEffectsMethod property determines the method for calculating random effects.

Comments

The value RandomEffectsMethod is taken into account if a random effect model is estimated: that is, ISmPooledModel.CrossSection = PooledModelCrossSectionType.RandomEffect.

Example

Add a link to the Stat system assembly.

Sub UserProc;
Var
    PooledModel: ISmPooledModel;
    yY: Array[62Of Double;
    X1x, x2x: Array[72Of Double;
    Coefficients: ICoefficients;
    i, j, Status, MPLastPoint, ForecastValue: Integer;
    StandardError, Estimate, d1, d2: Array Of Double;
Begin
    PooledModel := New SmPooledModel.Create;
    // Explained values
    yY[00] := 20;  yY[01] := 17;
    yY[10] := 7;   yY[11] := Double.Nan;
    yY[20] := -50; YY[21] := 21;
    yY[30] := 20;  yY[31] := 17;
    yY[40] := 25;  yY[41] := 7;
    yY[50] := -50; YY[51] := 0.1;
    PooledModel.Explained.Value := YY;
    // Explanatory values
    x1x[00] := 4;   x1x[01] := -1.5;
    x1x[10] := 0.5; x1x[11] := 5;
    x1x[20] := -2;  x1x[21] := 2.5;
    x1x[30] := 130; x1x[31] := 131;
    x1x[40] := 141; x1x[41] := Double.Nan;
    x1x[50] := 150; x1x[51] := 151;
    x1x[60] := 160; x1x[61] := 161;
    PooledModel.Explanatories.Add.Value := x1x;
    // Weights
    x2x[00] := 3;    x2x[01] := 0.5;
    x2x[10] := 6;    x2x[11] := 1;
    x2x[20] := 0.75; x2x[21] := 2;
    x2x[30] := 230;  x2x[31] := 231;
    x2x[40] := 240;  x2x[41] := 241;
    x2x[50] := 250;  x2x[51] := 251;
    x2x[60] := 260;  x2x[61] := 261;
    PooledModel.Weights := x2x;
    // Sample period
    PooledModel.ModelPeriod.FirstPoint := 2;
    PooledModel.ModelPeriod.LastPoint := 5;
    // Latest forecast point
    PooledModel.Forecast.LastPoint := 7;
    // Model type
    PooledModel.CrossSection := PooledModelCrossSectionType.RandomEffect;
    // Method to estimate random effects
    PooledModel.RandomEffectsMethod := PooledModelRandomEffectsMethodType.SwamyArora;
    // Missing data treatment
    PooledModel.MissingData.Method := MissingDataMethod.SampleAverage;
    // Calculation and obtained coefficients
    Status := PooledModel.Execute;
    Debug.WriteLine(PooledModel.Errors);
    If Status = 0 Then
        Debug.WriteLine("Idiosyncratic standard deviation:");
        Debug.WriteLine(" " + PooledModel.IdiosyncraticSD.ToString);
        Debug.WriteLine("Standard deviation of group errors:");
        Debug.WriteLine(" " + PooledModel.CrossSectionSD.ToString);
        Coefficients := PooledModel.ModelCoefficients.Coefficients;
        j := Coefficients.Estimate.Length;
        Debug.WriteLine("Coefficient values:");
        For i := 0 To j - 1 Do
            Estimate := Coefficients.Estimate;
            StandardError := Coefficients.StandardError;
            Debug.WriteLine(" " + (i + 1).ToString + ": " + Estimate[i].ToString + ", " + StandardError[i].ToString);
        End For;
        Debug.WriteLine("Modeling series");
        For i := 0 To PooledModel.Fitted.GetUpperBound(1Do
            d1 := PooledModel.Fitted;
            d2 := PooledModel.Fitted;
            Debug.WriteLine(" " + d1[i, 0].ToString + " " + d2[i, 1].ToString);
        End For;
        Debug.WriteLine("Forecasting results");
        MPLastPoint := PooledModel.ModelPeriod.LastPoint;
        ForecastValue := PooledModel.Forecast.Value.GetUpperBound(1);
        For i := MPLastPoint + 1 To ForecastValue Do
            d1 := PooledModel.Forecast.Value;
            d2 := PooledModel.Forecast.Value;
            Debug.WriteLine(" " + d1[i, 0].ToString + " " + d2[i, 1].ToString);
        End For;
        Debug.WriteLine("Residual series");
        For i := 0 To PooledModel.Residuals.GetUpperBound(1Do
            d1 := PooledModel.Residuals;
            d2 := PooledModel.Residuals;
            Debug.WriteLine(" " + d1[i,0].ToString + " " + d2[i,1].ToString);
        End For;
    End If;
End Sub UserProc;

Result of example execution: the panel data regression model with random effects is calculated; calculation results are displayed to the console window.

See also:

ISmPooledModel