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10.2Regressioncommands

OLSregressionofyonx1,x2,x3ARCH(p,q)regression

Twostageleastsquareswithinstrumentsz1,z2,z3displaysgraphsoftheresidualscoe cientvector

vectorofstandarderrorsforcoe cients

sumofsquaredresidualsbasedonOLSregression

runningaVAR(1)(namevar1)fory1andy2inaprogramresidualcovariancematrixofthe(VAR)systemvar1

ls(options)yx1x2x3

arch(p,q,options)yx1x2x3

tsls(options)yx1x2@z1z2z3resids@coefs@stderrs@ssr

varvar1.ls11y1y2cvar1.@residcov

10.3Graphiccommands

bargraphsxygraph

barser1ser2ser3xy

11

11.1

Functions

Timeseriesfunctions

1 n 1

n-periodbackwardmovingaverage: j=0Xt j

n 1

n-periodbackwardmovingsum:j=0Xt j1storderdi erenceofseriesX:Xt Xt 1

1storderdi erenceoflogarithmofseriesX:ln(Xt) ln(Xt 1)

@movav(X,n)@movsum(X,n)d(X)dlog(X)

11.2Statisticaldistributionfunctions

cumulativedensityfunctionofnormaldistributiondensityfunctionofnormaldistributionquantileofnormaldistribution

generatesnormallydistributedrandomvariablesquantileoftvdistribution

generatestvdistributedrandomvariablesquantileofχ2vdistribution

generatestvdistributedrandomvariables

@cnorm(x)@dnorm(x)@qnorm(p)@rnorm

@qtdist(p,v)@rtdist(v)@qchisq(p,v)@rtdist(v)