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GME

The GME command implements Generalized Entropy methods. SHAZAM will recover estimates of beta and epsilon according to the generalized maximum entropy (GME) and generalized cross-entropy (GCE) methods. GME and GCE employ limited prior information, and the methods are robust alternatives to OLS and other estimation procedures. Users should be familiar with generalized entropy methods before attempting this procedure.

In general, the format is:

GME depvar indeps / options

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 COEFficients in the variable specified. If there is an intercept it will be stored as the last coefficient.
conv= Specifies the CONVergence criterion for the coefficients. This value will be multiplied by each coefficient starting value to compute the convergence condition for each coefficient. The default is CONV=.00001.
cov= Saves the COVariance matrix of coefficients in the variable specified.
deviation Specifies that the estimation is to use variables measured as deviations from their mean. This option automatically turns on the NOCONSTANT option.
end= Specifies the ENDing observation to be used in estimation. This option overrides the SAMPLE command and defaults to the sample range in effect.
iter= Specifies the maximum number of ITERations. The default is 100.
lininv Used when the dependent variable is LINear, but the independent variables are in INVerse form. This type of model is known as the reciprocal model. This option only affects the calculation of the elasticities. NOTE: This option does not transform the data. The data must be transformed by the user with the appropriate GENR commands or the Data Editor. See the chapter ORDINARY LEAST SQUARES in the SHAZAM Reference Manual.
linlog Used when the dependent variable is LINear, but the independent variables are in LOG form. This option only affects the calculation of the elasticities. NOTE: This option does not transform the data. The data must be transformed by the user with the appropriate GENR commands or the Data Editor. See the chapter ORDINARY LEAST SQUARES in the SHAZAM Reference Manual.
list LISTs and plots the residuals and predicted values of the dependent variable and residual statistics. When LIST is specified RSTAT is automatically turned on.
logeps= Specifies a small constant to be included in each logarithmic term of the objective function in order to avoid numerical underflow. The default value is 1E-8.
loginv Used when the dependent variable is in LOG form, and the independent variables are in INVerse form.
loglin Used when the dependent variable is in LOG form, but the independent variables are LINear. This option only affects the calculation of the elasticities. NOTE: This option does not transform the data. The data must be transformed by the user with the appropriate GENR commands or the Data Editor. See the chapter ORDINARY LEAST SQUARES in the SHAZAM Reference Manual.
loglog Used when the dependent variable is in LOG form, and the independent variables are in LOG form. This option only affects the calculation of the elasticities. NOTE: This option does not transform the data. The data must be transformed by the user with the appropriate GENR commands or the Data Editor. See the chapter ORDINARY LEAST SQUARES in the SHAZAM Reference Manual.
noconstant There will be NO CONSTANT (intercept) in the estimated equation. This option is used when the intercept is to be suppressed in the regression or when the user is supplying the intercept. This option should be used with caution as some of the usual output may be invalid. In particular, the usual R^2 is not well defined and could be negative. However, when this option is used, the raw moment R^2 may be of interest. The ANALYSIS OF VARIANCE - FROM MEAN table will not be computed if this option is used.
pcov Prints the COVariance matrix of coefficients. This should not be confused with the covariance matrix of variables which can be obtained with the STAT command.
piter= Specifies the frequency with which ITERations will be Printed in the output. The default PITER=15 indicates that one out of every 15 iterations will be printed.
predict= Saves the PREDICTed values of the dependent variable in the variable specified.
qprior= Specifies a (K x M) matrix of prior probability distributions on the supports specified in ZENTROPY=. If this option is not used, the priors are assumed to be discrete uniform.
resid= Saves the values of the RESIDuals from the regression in the variable specified.
rstat Prints Residual Summary STATistics. The output includes the Durbin-Watson statistic and related residual test statistics. It also includes the Runs Test. When the LIST option is specified RSTAT is automatically turned on.
start= Uses the values in the specified variable as starting values for the estimation. The order of the parameters should be the same as normally printed by the SHAZAM NL command, namely, the order that they appear on the EQ commands (followed by autocorrelation coefficients when the AUTO option is used). In some cases this may be an easier way to input starting values than by using the COEF command. Be careful to make sure that the length of the START= vector is equal to the number of coefficients specified with the NCOEF= option (plus the number of autocorrelation coefficients if any).
stderr= Saves the values of the STanDard ERRors of the coefficients in the variable specified.
tratio= Saves the values of the T-RATIOs in the variable specified.
uprior= Specifies a (N x J) matrix of prior probability distributions on the supports specified in VENTROPY=. The matrix must be adjusted appropriately if the data set contains missing values. That is, N must be set to the number of observed values. If this option is not used, the priors are assumed to be discrete uniform.
ventropy= Specifies a (N x J) matrix containing the J support points for each of the N unknown disturbances. The matrix must be adjusted appropriately if the data set contains missing values. That is, N must be set to the number of observed values. If this option is not used, the disturbance term, epsilon, is ignored.
zentropy= Specifies a (K x M) matrix containing the M support points for each of the K unknown parameters. If this option is not used, SHAZAM recovers a probability distribution for the K elements in indeps.