| 3. Data Input and
Output |
| rdataSHA.txt |
Reading character data with the
FORMAT command. |
| readcharSHA.txt |
Reading character data with the
CHARVARS= option. |
| 4. Descriptive
Statistics |
| anovaSHA.txt |
A two-way ANOVA table. |
| teststatSHA.txt |
t-test statistic for differences in population mean and an
F-test statistic for different population variances.
Data file : urate.txt
|
| stemleafSHA.txt |
Stem-and-Leaf Display
|
| 5. Plots and
Graphs |
| graphSHA.txt |
Graph of monthly time series data with
dates on the x-axis.
Data file : urate.txt
|
| 6. Generating
Variables |
| log10SHA.txt |
Working with logarithms to the base 10.
|
| wreplaceSHA.txt |
Sampling Without Replacement.
|
| 7. Ordinary Least
Squares |
| homeownSHA.txt |
Weighted Least Squares - Analysis of
Proportions Data |
| 8. Hypothesis Testing
and Confidence Intervals |
| hyptestSHA.txt |
Linear and non-linear hypothesis tests. |
| confidSHA.txt |
Interval estimation for a population mean. |
| confid2SHA.txt |
Confidence ellipse for 2 regression coefficients
from 2SLS estimation.
Also see systemSHA.txt.
Data file : klein.txt
|
| 9. Inequality
Restrictions |
| bayesSHA.txt |
Linear regression with inequality restrictions. |
| sureqSHA.txt |
SURE with inequality restrictions. |
| 10. ARIMA
Models |
| pacfSHA.txt |
Calculation of the partial autocorrelation function. |
| arimaSHA.txt |
ARIMA estimation - an example from Enders. |
| arseasSHA.txt |
Seasonal ARIMA models - examples with the Box and
Jenkins airline passenger data set and the Enders Spanish tourism
data set. |
| 11. Autocorrelation
Models |
| ar1SHA.txt |
Estimation and forecasting for a model with
AR(1) errors. The commands show how to replicate the estimation
results of the AUTO command by using OLS on transformed observations. |
| 13. Cointegration and
Unit Root Tests |
| unitrootSHA.txt
|
Tests for unit roots using the Perron test
applied to the Nelson-Plosser data set.
Data file : nelplos.txt
|
| johansen |
Johansen trace test procedure for cointegration .
Command file : johanSHA.txt
Data file : macro.txt
|
| 14. Diagnostic
Tests |
| diagnosSHA.txt |
Examples of programming test statistics in SHAZAM
by illustrating some of the computations implemented by the
DIAGNOS command. Calculations for tests for
autocorrelation and tests for heteroskedasticity are shown. |
| recurSHA.txt |
More examples of programming test statistics. Calculations for
recursive coefficient estimates and the Hansen test of model stability
are shown. |
| resetSHA.txt |
More examples of programming test statistics.
Calculations for RESET tests are shown. |
| 15. Distributed-Lag
Models |
| dlagSHA.txt |
Estimation of distributed lag models including
Almon lags. |
| gcauseSHA.txt |
Testing for Granger causality.
Data file : judge18.txt
|
| 16. Forecasting
|
| poolfcSHA.txt |
Forecasting with time-series cross-section data.
|
| 17. Fuzzy Set
Models |
| fuzzySHA.txt |
Measuring the underground economy using the
methodology of Giles and Draeseke. |
| 18. Generalized
Entropy |
| gmeSHA.txt |
Example of generalized entropy estimation. |
| 19. Generalized
Least Squares |
| glsar1SHA.txt |
Example of generalized least squares estimation
for the model with AR(1) errors. |
| 20. Heteroskedastic
Models |
| hetregSHA.txt |
Multiplicative Heteroskedasticity
Data file : credit.txt
|
| 21. Maximum
Likelihood Estimation of Non-Normal Models |
| poissonSHA.txt |
Poisson regression. |
| mlebetaSHA.txt |
Models with Beta-Distributed Dependent Variables
Data file : soss.txt
|
| 22. Nonlinear
Regression |
| nlcesSHA.txt |
Estimation of a CES production function and
testing for autocorrelated errors.
|
| maxfuncSHA.txt |
Maximizing a function of a single variable. |
| nlsureSHA.txt |
Nonlinear seemingly unrelated regression applied to the estimation
of a linear expenditure system.
|
| sysnlSHA.txt |
N2SLS, N3SLS and GMM estimation applied to Klein's
Model I.
Also see systemSHA.txt.
Data file : klein.txt
|
|
Examples of the LOGDEN option |
| mhetSHA.txt |
Estimation of the multiplicative heteroskedastic
error model. |
| boxhetSHA.txt |
Maximum likelihood estimation of Box-Cox models with
heteroskedasticity. |
| poisnlSHA.txt |
Poisson regression. Note that Poisson regression is
implemented with the MLE command as shown
in the command file poissonSHA.txt.
|
| tobithetSHA.txt |
Tobit model with heteroskedasticity.
Data file : mroz.txt |
| homeownSHA.txt |
Analysis of Proportions Data
|
| 23. Nonparametric
Methods |
| nonparSHA.txt |
Nonparametric regression of a nonlinear function.
|
| semiparSHA.txt |
Robinson's semiparametric regression. |
| 24. Pooled
Cross-Section Time-Series |
| poolSHA.txt |
Estimation methods available with the
POOL command. |
| poolfcSHA.txt |
Forecasting with time-series cross-section data.
|
| poolecSHA.txt |
Pooling with error components - an example of programming in SHAZAM.
|
| 25. Probit and Logit
Regression |
| logitSHA.txt |
Logit model estimation - comparisons with the
probit model are also shown.
Data file : school.txt |
| probitSHA.txt |
Probit model estimation and Heckit procedure.
Data file : mroz.txt |
| logitwSHA.txt |
Weighted Logit estimation
|
| 26. Robust
Estimation |
| ladSHA.txt |
Least Absolute Error estimation.
Calculation of bootstrap standard errors is also shown.
Data file : industry.txt
|
| 27. Time-Varying Linear
Regression |
| flsSHA.txt |
Flexible least squares simulation experiment from
Kalaba and Tesfatsion.
|
| 28. Tobit
Regression |
| tobitSHA.txt |
Tobit regression.
Data file : judge19.txt
|
| tobitmSHA.txt |
Calculating marginal effects for Tobit models including the
McDonald and Moffitt (1980) decomposition.
Data file : judge19.txt
|
| 29. Two-Stage Least
Squares and Systems of Equations |
| systemSHA.txt |
Estimation of Klein's Model I by 2SLS and 3SLS.
Data file : klein.txt
|
| hetcovSHA.txt |
Computation of heteroskedasticity-consistent standard errors for
2SLS estimation.
Data file : klein.txt
|
| 30. Data Smoothing,
Moving Averages and Seasonal Adjustment |
| smoothSHA.txt |
Seasonal adjustment. |
| expsmthSHA.txt |
Moving averages and exponential smoothing. |
| 31. Financial Time
Series |
| stockSHA.txt |
Chart of stock market prices.
Data file : spy.txt
|
| portfolSHA.txt |
Portfolio selection problem.
Data file : p.txt
|
| eurocallSHA.txt |
Pricing European call options. |
| bspriceSHA.txt |
Black-Scholes formula for a call option price, put option price
and implied volatility. |
| 32. Linear
Programming |
| lpSHA.txt |
Linear Programming. |
| 33. Matrix
Manipulation |
| matrixSHA.txt |
Matrix operations. |
| matolsSHA.txt |
OLS estimation with the MATRIX command. |
| 34. Price
Indexes |
| prindexSHA.txt |
Computing price indexes. |
| 35. Principal
Components and Factor Analysis |
| pcompSHA.txt |
Example of multicollinearity diagnostics and
principal components regression. |
| 36. Probability
Distributions |
| pvalueSHA.txt |
Calculating p-values for test statistics. |
| distchiSHA.txt |
Calculating probabilities for chi-square. |
| distfSHA.txt |
Calculating probabilities for non-central F. |
| 37. Sorting
Data |
| wreplaceSHA.txt |
Sampling Without Replacement.
|
| 40. Programming in
SHAZAM |
| spliceSHA.txt |
Splicing price index series. |
| powerSHA.txt |
Computing the power of a test. |
| ridgeSHA.txt |
Ridge Regression. |
| nlsrocSHA.txt |
Nonlinear least squares by the rank one correction method. |
| mcarloSHA.txt |
Monte Carlo experiments. |
| bootSHA.txt |
Bootstrapping regression coefficients. |
| olscovSHA.txt |
Estimating the variance of the OLS estimator in the presence
of heteroskedastic errors or autocorrelated errors. |
| hausmanSHA.txt |
Hausman specification test for errors in variables. |
| nonnestSHA.txt |
Non-Nested model testing. |
| solveSHA.txt |
Solving nonlinear sets of equations. |
| mnlogitSHA.txt |
Multinomial logit estimation. |
|
More Examples |
| corSHA.txt |
Computing p-values for correlation
coefficients. |
| archprogSHA.txt |
ARCH estimation using Engle's algorithm. |
| vifSHA.txt |
Computation of Variance Inflation Factors as an
indicator of the severity of multicollinearity. |
| probelasSHA.txt |
Computing elasticities from probit estimation
when variables have been log-transformed.
Also see logitSHA.txt.
Data file : school.txt
|
| bvprobSHA.txt |
Bivariate Probit models - Testing for zero error
correlation by computing a Lagrange multiplier test statistic.
Data file : school.txt
|
| fimlSHA.txt |
Full information maximum likelihood - Klein Model I.
Data file : klein.txt
|
| 41. SHAZAM
Procedures |
sqrta
sqrtm |
Square root of a matrix using:
- an eigenvalue-vector decomposition
- the Golub-Van Loan procedure
Command file : sqrtmSHA.txt
|
bs
impvol |
Black-Scholes option pricing and implied volatility.
Command file : bsvolSHA.txt
Note that Black-Scholes option pricing is implemented with the
CALL and PUT commands as shown
in the command file bspriceSHA.txt. |
| liml |
Limited information maximum likelihood.
Command file : limlSHA.txt
Data file : klein.txt
|
| multi |
Generating multivariate random numbers.
Command file : multiSHA.txt
|
|
More Procedures |
| dwpvalue |
Calculation of a p-value for the Durbin-Watson
statistic
Command file : dwpvalueSHA.txt
|
| gauss |
Nonlinear equation estimation by the Gauss-Newton method
Command file : gaussSHA.txt
|
| granger |
Testing for Granger causality
Command file : grangerSHA.txt
Data file : judge18.txt
Granger causality tests are also available using the
commands shown in gcauseSHA.txt. |
| huf |
Robinson's heteroskedasticity of unknown form estimator
Command file : hufSHA.txt
|
qr
hh |
Solving OLS with the Householder transformation
Command file : qrSHA.txt
|
| randcoef |
Random coefficients models - pooled time-series cross-section data.
Command file : randSHA.txt
|
| seasroot |
Tests for seasonal unit roots
Command file : seasSHA.txt
Data file : gdpcan.txt
|
| stest |
Stationarity tests proposed by Leybourne and McCabe
Command file : stestSHA.txt
Data file : citibase.txt
|
| ols |
Replication of the SHAZAM OLS command.
Command file : olsSHA.txt
|