RainbowStats™ · Regression commands

BEST_COVID_REGRESSION

Select predictors and fit a COVID-adjusted regression. IMPORTANT: Use only when the estimation sample spans March 2020, preferably with observations before and after COVID onset. Do not apply to pre-COVID-only or post-onset-only samples; use ordinary regression instead.

Syntax

BEST_COVID_REGRESSION(list,N)

Returned object

RegressionOperator

Example

r=BEST_COVID_REGRESSION(LIST(LOGDIFF(INDPRO),LOGDIFF(PAYEMS),LOGDIFF(CPIAUCSL)),1)
EXTRACT(r,"model")

Interpretation and limitations

COVID sample requirement: IMPORTANT: Use only when the estimation sample spans March 2020, preferably with observations before and after COVID onset. Do not apply to pre-COVID-only or post-onset-only samples; use ordinary regression instead.

Selects from the candidate regressors using the existing getBestRegression search path. N must be between 1 and the number of available predictor series. Selection uncertainty is not removed by reporting the final OLS coefficients. The final model uses the existing COVID-adjusted construction.

Available extracts

Save the command result in a variable, then use EXTRACT(result, "key"). Availability can depend on the input form and fitted model.

residuals
fitted
actualvsfitted
autocorrelation
model
slideshow
beta
betase
wald
wald_cumulative
wald_text
wald_cumulative_text
hac
mann_kendall

In indexed patterns such as beta:n, replace n with the required index.