stata命令:predict zg if e(sample), xb 这条命令什么意思呀?关键是e(sample), xb if e(sample) 加上该条件是指用上一次回归中的样本观测值进行数据处理。相当于 if e(sample)==1 的条件语句。 predict 后面加xb是预测yhat,不加也可以。 === if e(sample) 等价于 if e(sample) == 1,表示只针对...
31、t, variance /*条件方差*/ * ht = c + a_1*e2_t-1 + a_2*e2_t-2 + . + a_5*e2_t-5 line ht t predict et, residual /*均值方程的残差*/ *-*- 模型的评估模型的评估 * 基本思想: * 若模型设定是合适的,那么标准化残差 * z_t = e_t/sqrt(h_t) * 应为一个 i.i.d 的...
cap arch r if y == `x', arch(1) garch(1) nolog cap predict h1, variance cap replace h0 = h1 if y == `x' } di `x' } bys y: egen H2 = sum(h0) g OILVAR = H2 / N * N^0.5 keep y O* duplicates drop su cor O* list graph twoway line O* y save 原油价格不确定性...
.predict v*, variance.tsline v_acme_acme v_anvil_anvil In the prediction above, we also predicted the conditional covariance between the two companies. Let’s graph that now, .tsline v_anvil_acme Tell me more Explore moretime-series featuresin Stata....
⼀、基本命令 1.1时间序列数据的处理 1)声明时间序列：tsset命令 usegnp96.dta,clear listin1/20 genLgnp=L.gnp tssetdate listin1/20 genLgnp=L.gnp 2)检查是否有断点：tsreport,report usegnp96.dta,clear tssetdate tsreport,report dropin10/10 listin1/12 tsreport,report tsreport,reportlist/*列出...
.tsappend, add(50).predict H*, variance dynamic(2016) We can graph the result: Above, we fit a CCC model. We could instead fit a DCC model in which the correlation matrix at each time period is modeled as a weighted average of its own past and recent shocks. ...
predict e, r *** ** VARIANCE EQ ** *** * 计算残差的平方 gen e2 = e^2 * 使用 svy 命令拟合广义线性模型 (GLM) svy: glm e2 TLU_lag c.TLU_lag#c.TLU_lag c.TLU_lag#c.TLU_lag#c.TLU_lag /// c.TLU_lag#c.TLU_lag#c.TLU_lag#c.TLU...
前提是残差符合以下假设：同方差：Homoscedasticity (i.e., the residuals have a constant variance)独立不相关：Non-correlation (i.e., the residuals are not correlated with eachother)正态分布：Normality (i.e., the residuals are normally distributed)回归结果包含的一些内容的意思l 各变差的自由度：For...
. predict archh, variance . quietly arch return L(1/8).return, arch(1) egarch(1) nolog . predict egarchh, variance //预测条件方差 . keep if t>4500 *-绘图---begin--- #d ; . twoway (line archh date, yaxis(1)) (line garchh date, yaxis...
25、另外,当存在heterogeneityofvariance的问题时,可在后面加上robust;另外,若是不想放入截距项时,可在后面加上noconstant。若欲得到残差值,可输入以下指令:predicte,residual3、二元选择模型在执行二元选择模型时所使用的程序写法与执行回归分析时相同,只是所使用的指令不同。在logit模型时为logit;在progit模型时为pro...