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The Independent Variables

Direct Transformation
Next ->: setIndVars

Independent or exogenous variables can be declared for all types of estimations. And ARCH/GARCH models can include independent variables in both the mean equations and the conditional variance equations.

Different estimations may include different sets of independent variables and for this reason special keyword commands are required to accomplish this. First, setIndVars is called with the complete list of independent variables for a session. If all independent variables in this list are to be included in all runs in the session, the nothing more needs to be done. However, if the list of independent variables differs by run, then additional calls are required to setIndEqs, for mean equations, and setCVIndEqs for conditional variance equations.

• Basic Use
  • Initializing the Session
  • Defining the Dataset
  • The Dependent Variable
    • Transforming the Dependent Variable
    • Direct Transformation
  • The Independent Variables
    • setIndVars
    • setIndEqs
    • setCVIndEqs
    • Transforming Independent Variables
  • The Estimation
  • Displaying Results
    • Conditional Variances, Standard Deviations, Residuals
    • Forecasts
• Advanced Use
• Session File
• Modifying NLP globals
• Start Values
  • Saving and Retrieving Estimates for Start Values
    • Retrieval of Start Values
    • Direct Retrieval of Estimates
• Working with NLP
• Appendix A
  • Session Entries
  • Run Entries
• About this document

R. Schoenberg
1999-03-29