RainbowStats™ · Regression commands

REGRESSION_COVID

Fit regression with a COVID-onset adjustment. 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

REGRESSION_COVID(list)
REGRESSION_COVID(y,x)
REGRESSION_COVID(list,dependentColumn)

Returned object

RegressionOperator

Example

r=REGRESSION_COVID(LIST(LOGDIFF(INDPRO),LOGDIFF(PAYEMS)))
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.

Uses the existing regression constructor with the COVID flag enabled. The first list entry is the dependent variable. A constant is added by the ordinary regression constructor. Inspect residuals and their autocorrelation. HAC changes inference rather than coefficient estimates. Wald extracts test the final three coefficients; the cumulative Wald variant uses the specialized 0–8 lag-polynomial weights 9, 36 and 204, so it is not a general cumulative-effect test.

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.