SIMU_REGRESSION

Syntax

SIMU_REGRESSION(regression,regression,...)

Returned object

SimuRegressionOperator

Example

s=SIMU_REGRESSION(REGRESSION(UNRATE,U6RATE),REGRESSION(INDPRO,PAYEMS))
EXTRACT(s,"residual_covariance")

Interpretation and limitations

Requires at least two regression equations after flattening supported extracted result lists. Its current source exposes residual_correlation and residual_covariance keys. This constructs a system; use SUR_REGRESSION or THREE_STAGE_REGRESSION for their estimators.

Available extracts

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

• slideshow
• residual_correlation
• residualcorrelation
• residual_covariance
• residualcovariance

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

Learn more

Detailed guide and examples