GLS

Syntax

GLS(regression,window)

Returned object

RegressionOperator

Example

r=REGRESSION(LIST(LOGDIFF(INDPRO),LOGDIFF(PAYEMS)))
g=GLS(r,12)
EXTRACT(g,"model")

Interpretation and limitations

Requires an ordinary RegressionOperator and a numeric rolling window used to construct omega. The returned fitted regression retains the ordinary regression extract interface.

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.

Learn more

Detailed guide and examples