FLS
The FLS command implements time-varying linear regression via flexible least squares. The flexible least squares (FLS) method developed by Kalaba and Tesfatsion [1989] finds time paths of the coefficients which minimize the 'incompatibility cost' function (see the FLEXIBLE LEAST SQUARES chapter in the SHAZAM Reference Manual). A strength of FLS is its ability to capture turning points and other systematic time variation in the coefficients.
In general, the format is:
FLS depvar indeps / options
where depvar is the dependent variable and indeps is a list of independent variables with coefficients which evolve over time.
The available options are:
| OPTION |
DESCRIPTION |
| beg= |
Specifies the BEGinning observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect. |
| coef= |
Saves the FLS estimates in a N x K matrix. |
| delta= |
Specifies the smoothing weight DELTA in the range 0 < DELTA < 1. The default setting is DELTA=0.5. |
| end= |
Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect. |
| graph |
Prepares gnuplot plots of the time paths of the coefficients as well as the residuals and predicted values. 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. |
| max |
Reports the first-order necessary conditions for the minimization of the cost function as described in Kalaba and Tesfatsion [1989, Appendix A]. The columns on the output give the evaluations of the partial derivatives of the cost function with respect to the variables. The results should be close to zero and therefore may be machine dependent. The MAX option also prints the coefficient estimates. |
| noconstant |
Do not include an intercept term. Otherwise, a time-varying intercept is included in the model. |
| pcoef |
Prints the coefficient estimates over the sample period. |
| predict= |
Saves the PREDICTed values of the dependent variable in the variable specified. |
| resid= |
Saves the values of the RESIDuals from the regression in the variable specified. |
| append |
Specifies that the gnuplot command file is to be appended to gnuplot command files created with previous commands in the SHAZAM program. |
| output= |
Gives the filename for the gnuplot data 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. |
| port= |
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. |
| commfile= |
Gives the filename for the gnuplot command file (8 characters maximum). |
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