自己作研究时写的一些程序。也许对一部分人有用。

DM 'LOG; Clear; Output;Clear;';

/* Example Program for Misspecification Testing */

PROC IMPORT OUT= WORK.SLIP

DATAFILE= "H:\AGEC6213\SLIP.xls"

DBMS=EXCEL2000 REPLACE;

GETNAMES=YES;

data slip; set slip;

t+1;

Proc Reg simple;

model slip = buysell ny ncv;

plot predicted.*residual.;

Proc Autoreg archtest dwprob;

model slip = buysell ny ncv/ reset godfrey normal chow = 148;

output out =two resid = ehat;

Data mtest;set two;

esquared = ehat * ehat;

lagesqu = lag(esquared);

lagehat = lag(ehat);

ncv2 = ncv * ncv;/* Other squared terms are not included because they are dummies */

ncvny = ncv * ny;

ncvbuy = ncv * buysell;

t+1;

Proc reg;

model esquared = buysell ny ncv;/* Static heteroskedasticity */

model ehat = t buysell ny ncv;/* Structural change using a time trend */

Proc reg;/* Joint Tests */

model ehat = lagehat t ncv2 ncvny ncvbuy buysell ny ncv;/* Joint conditional mean */

model esquared = lagesqu buysell ny ncv;/* Joint conditional variance */

run;

[此贴子已经被作者于2007-2-9 7:21:19编辑过]