_crcar1.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 09mar2005}{...}
{cmd:help _crcar1}{right:also see:  {help undocumented}}
{hline}

{title:Title}

{p 4 17 2}
{cmd:_crcar1} {hline 2} Programmer's utility for computing AR(1) rho from
residuals


{title:Syntax}

{p 8 16 2}{cmd:_crcar1} {it:rho_scalar} {it:method_macro} {cmd::}
	{it:resids_varname} [{cmd:,} {cmd:k(}{it:#}{cmd:)} {cmdab:c:heck}
	{cmd:dw} {cmd:freg} {cmdab:nag:ar} {cmdab:reg:ress} {cmdab:th:eil}
	{cmdab:tsc:orr} ]

{pstd}
{cmd:_crcar1} is for use with time-series data.  You must {cmd:tsset} your
data before using {cmd:_crcar1}; see {helpb tsset}.


{title:Description}

{pstd}
{cmd:_crcar1} is a programmer support command.  It computes the first-order
autocorrelation parameter for a variable (presumably containing residuals)
using any of several estimates of the autocorrelation.

{pstd}
{cmd:_crcar1} expects the first argument to be the name of a scalar into
which the value of rho is saved and the second argument to be the name of a
local macro which will be set to the fully expanded name of the method for
computing rho.


{title:Options}

{phang}
{cmd:check} specifies that rho is not computed, but that the command is
simply checked for syntax and an error reported if the syntax is not proper.

{phang}
{cmd:k(}{it:#}{cmd:)} specifies the number of parameters estimated in the
model.  This is only required for the {cmd:theil} and {cmd:nagar} options which
use {cmd:k} to adjust the degrees of freedom.

{pstd}
The remaining options specify how rho is to be computed; {cmd:regress} is the
default.

{p 4 12 2}
{cmd:regress} rho_reg = B from the residual regression e_t = B * e_(t-1).

{p 4 12 2}
{cmd:freg}{space 4}rho_freg = B from the residual regression e_t = B * e_(t+1).

{p 4 12 2}
{cmd:tscorr}{space 2}rho_tscorr = e'e_(t-1)/e'e, where e is the vector of residuals.

{p 4 12 2}
{cmd:dw}{space 6}rho_dw = 1 - DW / 2.

{p 4 12 2}
{cmd:theil}{space 3}rho_theil = rho_tscorr * (N - k) / N.

{p 4 12 2}
{cmd:nagar}{space 3}rho_nagar = (rho_dw * N^2 + k^2) / (N^2 - k^2).


{title:Examples}

{phang}{cmd:. _crcar1 rho fullopt : my_res}

{phang}{cmd:. _crcar1 rho fullopt : my_res, theil k(3)}


{title:Also see}

{psee}
Online:  {help time}, {helpb tsset}
{p_end}