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DIAGNOS

The DIAGNOS command performs diagnostic tests. SHAZAM can perform a number of diagnostic tests after estimating a single-equation regression model including tests on recursive residuals, Goldfeld-Quandt tests, Chow tests, RESET specification error tests, and tests for autocorrelation and heteroskedasticity. The DIAGNOS command is used for these tests and many other statistics.

In general, the format is:

DIAGNOS depvar indeps / options

The available options are:

OPTION DESCRIPTION
append Specifies that the gnuplot command file is to be appended to gnuplot command files created with previous commands in the SHAZAM program.
acf Prints the AutoCorrelation Function of residuals and associated test statistics.
backward Used with the RECUR option to compute BACKWARDs recursive residuals.
bootlist= Used with the BOOTSAMP= option to print the entire list of Bootstrapped coefficients for every generated sample. This could generate a lot of output.
bootsamp= Specifies the number of samples desired for BOOTSAMP experiments on the previous OLS regression. This option is not appropriate with models that include lagged dependent variables as regressors. Initially, a regression is run and the K coefficients Beta and N residuals e are saved. Then, random samples of size N of residuals are drawn with replacement and the residuals are normalized.
bootunit= Writes out the generated coefficients for each sample in a BOOTstrap experiment on the UNIT specified. It is used in conjunction with the BOOTSAMP= option. A file should be assigned to the unit with the SHAZAM FILE command. Units 11-49 may be used.
chowone= Specifies the number of observations in the first group for the Chow test and Goldfeld-Quandt test. (The CHOWTEST option reports test statistics at every breakpoint).
chowtest Produces a set of sequential CHOW TEST statistics and sequential Goldfeld-Quandt Test statistics which split the sample of dependent and independent variables in 2 pieces at every possible point. Some users may wish to sort the data first as suggested by Goldfeld and Quandt [1972]. It also computes some recursive residuals test statistics. Also see the CHOWONE=, GQOBS= and MHET= options.
ctest Produces Pinkse's [1996] C-test for serial independence of error terms and stores the result in the temporary variable $CTES. The C-test tests for independence of the errors instead of lack of correlation. In the SHAZAM implementation the null hypothesis is independence and the alternative hypothesis is serial dependence of order one. The test is consistent against higher order dependence structures also, as long as under the alternative consecutive elements of the time series are not independent.
commfile= Gives the filename for the gnuplot command file (8 characters maximum).
device= Specifies the type of device for gnuplot output. The default is the terminal screen. The option DEVICE=POSTSCRIPT sends output to a PostScript file. The gnuplot command set term gives the complete list of valid options.
gqobs= Used with the CHOWTEST option to specify the number of central observations to be omitted for the Goldfeld-Quandt Test. The default is zero.
graph Prepares gnuplot plots of the recursive residuals when the MAX or RECUR options are specified. For more information on this option see the chapter PLOTS AND GRAPHS in the SHAZAM Reference Manual. With the GRAPH option the APPEND, OUTPUT=, DEVICE=, PORT= and COMMFILE= options are also available as described for the GRAPH command.
hansen Reports Hansen [1992] tests for parameter instability. Test statistics for the stability of each parameter (B, Sigma^2) individually and for the joint stability of all (K+1) parameters are calculated. Asymptotic critical values are listed in Table 1 of the Hansen paper. SHAZAM flags rejection of the null hypothesis of stability at the 1%, 5% and 10% significance levels. In contrast to the Chow test, the Hansen test does not require the specification of a breakpoint.
het Runs a series of tests for HETeroskedasticity.
jackknife Runs a series of regressions, successively omitting a different observation to get JACKKNIFE coefficient estimates.
list Prints a table of observed (Y) and predicted (Y-HAT) values of the dependent variable, and regression residuals (e). This gives the same output as the LIST option on OLS.
max Equivalent to specifying the LIST, RECUR, ACF, BACKWARD, CHOWTEST, HANSEN, RESET and HET options. The computation of all these tests can be slow and can generate a lot of output.
mhet= Used with the CHOWTEST and RECUR options to specify M, the number of residuals to use in Harvey's recursive residuals exact heteroskedasticity test.
norecest NORECEST suppresses the printing of the RECursive ESTimated coefficients when the RECUR option is specified.
norecresid Used with the RECUR option if you want to print the recursive residuals
nowhite With the HET option, the NOWHITE option excludes the computation of the White test statistics for heteroskedasticity. This is recommended when dummy variables are included in the list of explanatory variables.
nowide Reduces the width of output to 80 columns.
output= Gives the filename for the gnuplot output file (8 characters maximum) when the DEVICE= option is used. When DEVICE=POSTSCRIPT is used the default output filename is GNU.ps.
port= Use PORT=NONE to obtain gnuplot command and data files but no gnuplot output.
recunit= Used with the RECUR option to write the RECursive residuals and the CUSUM and CUSUMSQ of the recursive residuals on the UNIT specified. A file should be assigned to the unit with the SHAZAM FILE command. Units 11-49 may be used.
recur Performs RECURsive Estimation by running a series of regressions by adding one observation per regression. It is often used for tests of structural change. Recursive residuals and CUSUM tests are printed along with a recursive t-test and Harvey's recursive residuals exact heteroskedasticity test. Also see the MHET= and SIGLEVEL= options.
reset Used to compute Ramsey [1969] RESET (regression specification error test) statistics and the DeBenedictis and Giles [1998, 2000] FRESET tests for mis-specification.
siglevel= Used with the RECUR option to specify the significance level desired for the CUSUM and CUSUMSQ tests. The available choices are 1, 5, and 10. The default is SIGLEVEL=5.