Help can be obtained on the following SHAZAM commands and topics:

Additional information on SHAZAM can be found:

Information on SHAZAM is available as follows:

SHAZAM Department of Economics University of British Columbia Vancouver, BC V6T 1Z1 CANADA URL: http://shazam.econ.ubc.ca/ or http://econometrics.com Information and ordering details: FAX : 1-604-608-5511 E-mail: info@shazam.econ.ubc.ca Technical Help: FAX : 1-604-822-5915 Phone : 1-604-822-9436 E-mail: help@shazam.econ.ubc.ca Professional Edition for Windows: E-mail: pro@shazam.econ.ubc.ca

Books

Documentation on all SHAZAM commands is available in:Addition instructions on using SHAZAM are found in:

- Kenneth J. White and Steven A. Theobald
McGraw-Hill, 1994, ISBN 0-07-069864-3. This computer handbook accompanies D.N. Gujarati, 1994.*Basic Econometrics: A Computer Handbook Using SHAZAM,*- Kenneth J. White and Linda T.M. Bui
Addison-Wesley, 1991, ISBN 0-201-50048-5. This computer handbook accompanies E.R. Berndt, 1991.*The Practice of Econometrics: A Computer Handbook Using SHAZAM,*- Kenneth J. White, Shirley A. Haun, and David J. Gow
Wiley, 1988, ISBN 0-471-85946-X. This computer handbook accompanies G.G. Judge, R.C. Hill, W.E, Griffiths, H. Lutkepohl, and T.C. Lee, 1988.*Introduction To The Theory And Practice Of Econometrics: A Computer Handbook Using SHAZAM And SAS, Second Edition,*- Kenneth J. White, S. Donna Wong, Diana Whistler, R. Quentin Grafton, and Meridith Scantlen
McGraw-Hill, 1991, ISBN 0-07-050101-7. This computer handbook accompanies R.S. Pindyck and D.L. Rubinfeld, 1991.*Econometric Models & Economic Forecasts: A Computer Handbook Using SHAZAM,*- D. Chotikapanich and W.E. Griffiths
Wiley, 1993, ISBN 0-471-58592-0. This computer handbook accompanies Griffiths, Hill, and Judge, 1993.*Learning SHAZAM: A Computer Handbook For Econometrics,*- T.J. Coelli and W.E. Griffiths
Wiley, 1989, ISBN 0-471-63821-8. This computer handbook accompanies G.G. Judge, W.E. Griffiths, R.C. Hill, H. Lutkepohl, and T.C. Lee, 1985.*Computer And Exercise Solutions Manual,*-
T.T. Nguyen
Narada Press, 1993, ISBN 1-895938-00-7.*Statistics With SHAZAM,*

New Features

The following new features should be noted: October 1996 : TheCOINT Command

TheDN Use a divisor of N (rather than N-K) when estimating the variance used in calculating the t-statistics. DUMP Gives output of interest to SHAZAM consultants. LOG Takes logs of the data. MAX Gives more detailed ouptut. BEG= END= Specifies the BEGinning and ENDing observations to be used in the calculations. This option overrides the SAMPLE command and defaults to the sample range in effect. NDIFF= Specifies the order of differencing to transform the the data for unit root tests. NLAG= Specifies the number of lag terms in the Dickey-Fuller regressions or the truncation lag parameter for the Phillips tests. If this is not specified then the order is set as the highest significant lag order from either the ACF or PACF of the first differenced series. RESID= Specifies a matrix to save the residuals from the regression equations used for the unit root tests. The first column is the residuals from the constant, no trend regression and the second column is the residuals from the constant, trend regression for the first series. The third and fourth column are the residuals for the second series (if requested). For example, to inspect the ACF of the residuals the following SHAZAM commands could be used. ?demo SAMPLE 1 17 COINT CONSUME PRICE / NLAG=2 RESID=EMAT SIGLEVEL=5 * Adjust the sample period for the observations lost due to lags GEN1 BEG=4 GEN1 END=17 GEN1 NOBS=END-BEG+1 SAMPLE 1 NOBS DO #=1,4 COPY EMAT E / FROW=BEG;END FCOL=#;# TROW=1;NOBS TCOL=1;1 * Now inspect the residuals with the ARIMA command ARIMA E ENDO STOP SIGLEVEL= Specifies the significance level for the critical values. Use SIGLEVEL=5 for 5% critical values and use SIGLEVEL=10 (the default) for 10% critical values. TESTSTAT= Saves the test statistics in the variable specified. TYPE= Specifies the type of tests to calculate. The available options are: DF For Dickey-Fuller unit root tests. This is the default. PP For Phillips-Perron unit root tests. RESD For Dickey-Fuller tests on the residuals of cointegrating regressions. RESP For Phillips tests on the residuals of cointegrating regressions.

SAMPLE command

TheREAD Command

TheBINARY The data is in double precision binary. BYVAR The data is read variable by variable. CLOSE Closes a file that was opened for a READ or WRITE command. DIF Data is read from a DIF file. EOF Prevents SHAZAM from reading any further observations. FORMAT The data is read according to the Fortran type. LIST Lists all the data read in. NOREWIND Prevents the read unit from rewinding. REWIND Rewinds the input data file before reading any data. TSP Data is in TSP format. BEG= END= Resets the sample size for the given READ command. ROWS= COLS= Specifies the dimensions of the matrix to be read in. SKIPLINES= Skips the number of lines specified before reading in any data.

WRITE Command

TheBYVAR, CLOSE, DIF, FORMAT, NAMES, WIDE, BEG=, and END=. BINARY Writes the specified variables in double precision binary. REWIND Used to rewind the output data file before and after data is written.

STOP Command

TheDEMO Command

TheMENU Command

ThePRINT Command

TheBYVAR Prints one variable at a time. FORMAT The currently defined FORMAT is used. NEWLINE These options will start a new line, page or sheet NEWPAGE before printing. The NEWSHEET option will only NEWSHEET work on page printers which use a : as the new sheet control character. NONAMES The heading of variable names is deleted. WIDE Uses 120 columns, NOWIDE will use 80 columns. BEG= END= Resets the sample size for the given PRINT command. You may print a series of vectors, in which case they will appear as columns on the page. If you only print one vector it will be presented in horizontal format.

FORMAT Command

TheFORMAT(3F5.2,4F12.1,2X,F1.0)

SET Command

TheBATCH Tells SHAZAM it is a Batch run. CC Carriage control - some commands will skip to a new page. COLOR/NOCOLOR Used on IBM PC Compatible machines with the Color EGA monitor to obtain a color background. CPUTIME Prints the amount of computer time used in the run. DELETE In Distributed Lag models SHAZAM automatically deletes a number of observations equal to the longest lag before estimation. Use SET NODELETE to disable this. DOECHO Echos commands at each pass thru DO LOOP. DUMP DUMPs a lot of output. ECHO Echos SHAZAM commands. FRENCH All commands may be typed in French. LASTCOM Creates a variable called C$ which will contain the previous command typed. LCUC Converts all lower case characters to upper case. Use SET NOLCUC to distinguish upper and lower case. MAX Turns on maximum output. NOCC Turns off the carriage control. OPTIONS Turns on the display of all options for each command. OUTPUT Turns on the output for all following commands. Use SET NOOUTPUT to suppress all output. PAUSE Causes a pause after each command is executed. RANFIX Prevents random number generator from being set by the system clock. SAMPLE/NOSAMPLE Allows use of the omitted observations in expanded form of the SAMPLE command to be turned on and off. SCREEN Echos the SHAZAM output to the terminal screen when the output has also been redirected to a file assigned to Unit 6. (Works on some computers) SKIP Puts SKIPIFs back. SKIPMISS Skips observations with a value equal to the MISSVALUE= STATUS With some computers displays a status line. TALK Tells SHAZAM you are at a terminal and are typing in SHAZAM commands interactively. TERMINAL Tells SHAZAM you are at a terminal and commands have all ready been put in a file assigned to Unit 5. TIMER Turns on the timer. TRACE Traces subroutine flow. WARN/NOWARN Warning messages are normally printed for illegal operations in GENR, MATRIX, IF, SKIPIF and ENDIF statements. WARNSKIP/ Warning messages are printed for every observation NOWARNSKIP skipped by a SKIPIF command. WIDE WIDE assumes that up to 120 columns are available. COMLEN=xxx Sets maximum length of command. MAXCOL=xxx Specifes the maximum number of a column or observation used after a ":". MISSVALU=XXX Specifies Missing value code, Default=-99999 OUTUNIT= When the output is going to more than one file. RANSEED=xxx Sets the seed for the random number generator. To turn on an option you would say something like SET DUMP. Then to turn it off you would say SET NODUMP.

DISPLAY Command

TheOLS Command

TheANOVA Prints analysis of variance tables and model selection tests. AUXRSQR Prints the R-squared statistic for the auxiliary regressions. DFBETAS Used with the INFLUENCE option if you want the DFBETAS computed. DLAG Used to compute Durbin's h statistic when there is a LAGged Dependent variable. DN Uses a divisor of N instead of N-K for SIGMA**2. DUMP DUMPS large amounts of data on the regression. DWPVALUE Computes the exact Durbin Watson probability. GF Prints Goodness of Fit tests for normality of residuals. GNU Plots residuals and fitted values with GNUPLOT. HETCOV Uses Heteroskedastic-Consistent covariance matrix. INFLUENCE Computes the Belsey-Kuh-Welsch Influence Diagnostics. LINLOG Used when the dependent variable is linear, but the independent variable are in LOG form. LIST Lists the residuals and predicted values of the dependent variable and residual statistics. LM Gives the Jargue-Bera Lagrange Multiplier test for normality of residuals. LOGLIN Used when the dependent variable is in LOG form, but the independent variables are linear. LOGLOG Used when the dependent variable and all the independent variables are in log form. MAX Prints analysis of variance tables, variance-covariance matrix, correlation matrix, residuals, residual statistics, goodness of fit test for normality, Jarque-Bera test, and plots residuals. NOCONSTANT Removes the intercept from the equation. NOMULSIGSQ When NOMULSIGSQ is specified the estimated covariance matrix will just be X'X inverse. NONORM Weights are NOT to be normalized. PCOR Prints the correlation matrix of coefficients. PCOV Prints the covariance matrix of coefficients. PLUSH Prints the LUSH residuals. REPLICATE Used with WEIGHT= if your weights indicate a sample replication factor. RESTRICT Forces restrictions into the regression. RSTAT Prints and plots residuals and residual statistics. UT Used with WEIGHT= if you want the residuals and predicted values to be UnTransformed. AUTCOV= Autocorrelation equivalent to HETCOV option. BEG= END= Specifies the sample size for the given command. COEF= Stores the coefficients in another variable. COV= Saves the variance-covariance matrix. FE=,FX= Specify F values in Stepwise regression. HATDIAG= Saves the diagonal of the so-called Hat Matrix. IDVAR= Specifies a variable which contains names to be printed out next to the residuals when the LIST option is used. INCOEF= Used to specify a vector of coefficients to input if you do not want to estimate the mode. INCOVAR= Used with the INCOEF= option to specify covariance matrix. INDW= Specifies a value for the Durbin-Watson test statistic. INSIG2= Used with the INCOEF= option described above to specify a value of sigma - squared. METHOD= Specifies the METHOD; GS (Gram Schmidt) (default), HH (Householder), or NORMAL (Normal Equations). ORDER= Specifies the order to test with the DWPVALUE option. PCINFO= The matrix of Information obtained from a previous PC command for regression on Principal Components. PCOMP= The matrix of Principal Components if this is a regression on Principal Components. PE=,PX= Specify probability levels in Stepwise regression. PREDICT= Saves the predicted values of the dependent variables. RESID= Saves the values of the residuals from the regression. RIDGE= Specifies a value of k to be used in Ridge regression. STDERR= Saves the values of the standard errors of the coefficients. TRATIO= Saves the values of the t-ratios on the coefficients. WEIGHT= Specifies a weight for a Weighted Least Squares regression.The temporary variables available on the

$ADR2, $ANF, $DF, $ERR, $CDF, $DW, $K, $LLF, $N, $PI, $R2, $R2OP, $RAW, $RHO, $SIG2, $SSE, $SSR, $SST, $ZANF, $ZSSR, and $ZSST.ANOVA option: $FPE, $LAIC, $LSC, $GCV, $HQ, $RICE, $SHIB, $SC, and $AIC. DLAG option: $DURH LM option: $JB

GLS Command

TheBLUP Predicted values are adjusted using info obtained from previous period residuals according to the transformation specified by the P matrix. DUMP Prints the Omega, Omega Inverse and P matrices used. FULLMAT If the user is passing the full matrix. NOMULSIGSQ When the matrix is the actual covariance matrix this option is specified so the matrix is not multiplied by sigma squared. UT Estimated coefficients will be used with the original data to compute predicted values and residuals that are not transformed. PMATRIX=, Specifies the matrix to be used for estimation. OMEGA=, OMINV= RESID= Saves the residuals according to UT and BLUP.Other options available are:

ANOVA, DLAG, DN, GF, LIST, MAX, NOCONSTANT, PCOR, PCOV, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, STDERR=, and TRATIO=as defined for the

GME Command

TheLINLOG, LIST, LOGLIN, LOGLOG, NOCONSTANT, PCOV, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, and TRATIO=.Options as described for

CONV=, ITER=, PITER=, and START=.Other options are:

DEVIATION Variables are converted to deviations from means. This forces the NOCONSTANT option. LOGEPS= Small constant to avoid numerical underflow. QPRIOR= Matrix of priors for supports specified in ZENTROPY=. UPRIOR= Matrix of priors for supports specified in VENTROPY=. VENTROPY= Matrix of support points for the unknown disturbances. ZENTROPY= Matrix of support points for the unknown coefficients.

2SLS Command

In general, the format of theDN, DUMP, GF, LIST, MAX, NOCONSTANT, PCOR, PCOV, RESTRICT, RSTAT BEG=, END=, COEF=, COV=, PREDICT=, and RESID=.

INST Command

In general, the format of theSYSTEM Command

To set up a system for estimation, the following commands are used:OLS depvar indeps

.

OLS depvar indeps

DN Uses N as the divisor for the covariance matrix. DUMP For SHAZAM consultants. FULL Gives full equation output. LIST Used as described for the OLS command. RSTAT MAX GF NOCONEXOG Do not include a constant in the list of exogs variables. NOCONSTANT Suppresses the intercept in all equations. PCOR,PCOV Print the correlation and covariance matrices of all variables in the system after convergence. PINVEV Prints the inverse of the exogenous variables matrix when the 3SLS system is being used. PSIGMA Prints the residual covariance matrix (SIGMA) after each iteration. RESTRICT Used when the SYSTEM command is to be followed by RESTRICT commands and an END command. COEF= Saves the values of the COEFficients (excluding the intercept). COEFMAT= Saves the values of the COEFficients (including the intercept) in a matrix with each column of the matrix representing one equation. CONV= Specifies a convergence criterion to stop the iterative procedure. COV= Saves the COVariance matrix. ITER= Specifies the maximum number of iterations. OUT=,IN= Used to output a file of useful information on unit 11 at each iteration, so that the system can be restarted in another run at the same point by inputting the file from unit 11. PITER= Specifies the frequency with which ITERations are to be Printed. PREDICT= Saves the predicted values of the dependent variable. RESID= Saves the residuals from the regression. SIGMA= Save the residual covariance matrix (SIGMA).

PROBIT Command

TheDUMP Of interest to SHAZAM consultants. LIST Prints the index, I, the predicted and observed values of the dependent variable, a plot of the predicted values and the residual statistics. LOG Computes elasticities assuming log-transformed variables. PCOV Prints the estimated asymptotic covariance matrix. RSTAT Prints residual statistics. CONV= Sets the convergence criterion for the log-likelihood function. IMR= Saves the computed Inverse Mill's Ratio. INDEX= Saves the index. ITER= Sets maximum number of iterations. PITER= Specifies the frequency with which the ITERations will be Printed. PREDICT= Stores the predicted probabilities.Other options available are:

MAX, NOCONSTANT, NONORM, PCOR, BEG=, END=, COEF=, COV=, STDERR=, TRATIO=, and WEIGHT=as defined for

LOGIT Command

TheTOBIT Command

TheDUMP Of interest to SHAZAM consultants. LIST Prints the index, I, the density and cumulative probabilities corresponding to the index I and the observed and expected and conditional values of the dependent variable. PCOR Prints the correlation matrix of the normalized coefficients. PCOV Prints the extimated asymptotic covariance matrix of the normalized coefficients. UPPER Used if it is an upper rather than a lower limit. CONV= Sets the convergence criterion for the log-likelihood function. INDEX= Saves the INDEX. ITER= Sets the maximum number of iterations allowed. LIMIT= Specifies the limiting value of the dependent variable. PITER= Specifies the frequency with which iterations are to be printed. PREDICT= Saves the predicted values of the dependent variable.Other options available are:

MAX, NOCONSTANT, NONORM, BEG=, END=, COEF=, COV=, STDERR=, TRATIO=, and WEIGHT=as defined for

TEST Command

TheEND Command

ThePLOT Command

TheALTERNATE Alternates the symbols 'X' and 'O' in plotting columns of the histogram when the HISTO option is used. DASH Gives dashed lines. GNU Prepares GNUPLOT graphs (SEE BELOW for options). ...MSDOS-PC OPTIONS GRAPHICS These options are used only on PC Compatible Personal EGA Computers running MSDOS operating system to obtain VGA graphics on your system. HERCULES ... Macintosh GOAWAY Used with the GRAPHICS option if you wish the Plot Window to go away after the plot appears on the screen. GRAPHICS Creates a Plot Window and draws a Graphics plot. To remove the Plot, click the GO AWAY Box. You may also use the LINE and LINEONLY options. ..... HISTO Plots histograms for the variables specified. HOLD Prevents the plot from being printed. LINE Used with the GRAPHICS, EGA, HERCULES, or TOSHIBA options to draw a line connecting data points and plot a symbol at each point. LINEONLY Used with the GRAPHICS, EGA, HERCULES, or TOSHIBA options to draw a line connecting the data points. NOBLANK Prints the previously held plot as well as the current one. NOPRETTY Tells SHAZAM not to attempt to make axes pretty and just use the range of the data directly. NOSAME Uses a separate page for each plot. NOWIDE 80 columns are available for the plot. PAUSE Used with one of the graphics options on IBM-PC Compatible or Macintosh computers to temporarily stop the screen after a graphics plot appears. PRINT Used with one of the graphics options on IBM-PC Compatible computers to PRINT the plot on a printer. RANGE Uses the entire range of the data for plotting the histogram. SAME Plots depvars against the indep on the SAME plot. TIME Plots the variables listed against time. WIDE 120 columns are available for the plot. BEG= END= Sets the sample size for the given PLOT command. CHARSIZE= Used with the GRAPHICS option to specify a character size. DEVICE= Available with the GRAPHICS option. GROUPS= When the HISTO option is used SHAZAM normally places data into 6 groups. This option can be used to specify up to 60 groups. Suggested values for the GROUPS= are 2,3, 4,5,6,10,12,15,30 or 60. OUTPUT= Available with the GRAPHICS option. PORT= Available with the GRAPHICS option. SYMBOL= Uses the user specified symbol. XMIN=,XMAX= Specifies the desired range for the X and Y axis. YMIN=,YMAX= Must be used with the NOPRETTY option.The

HISTO, LINE, LINEONLY, TIME, BEG=, END=, and GROUPS=.Additional options are:

APPEND KEY / NOKEY COMMFILE= DATAFILE= DEVICE= Use DEVICE=POSTSCRIPT to send output to a PostScript file. OUTPUT= PORT=

DUMP Command

TheREWIND Command

TheSIZE Command

TheINDEX Command

To calculate Indexes it is necessary to have prices and quantities for at least two commodities. In general, the format is:ALTERN Normally, the variable list is as described above, where p and q alternate in the list. CHAIN Chains the Laspeyres, Paasche or Fisher indices using the method described above. The Divisia index is always chained. EXPEND Indicates that the quantity variables measure expenditures rather than quantities. NOALTERN Lists all the prices then all the quantities. NOLIST The price and quantity indexes are not printed. BASE= Specifies the observation request for a base year to use for the index. DIVISIA= Specify the type of index to be calculated and PAASCHE= the variable into which the result should be placed. LASPEYRE= If a quantity index is desired, the option name FISHER= should begin with a Q. Option names not beginning QDIVISIA= with a Q refer to price indexes. QPAASCHE= QLASPEYRES= QFISHER=If there is a zero price or quantity in any year the commodity will be ignored for that year. To compute a quantity indexes reverse the p and q variables on the

STAT Command

TheALL The basic statistics are computed for ALL the variables in the data. ANOVA Prints an ANalysis Of VAriance table and an F value that tests the null hypothesis that the means of all the variables listed on the given STAT command are the same. BARTLETT Perform Bartlett's Homogeneity of Variance Test. DN Uses N rather than N-1 in computing variances. MATRIX Uses any matrices contained in the list vars as single variables. MAX Prints PCOR, PCOV, PCP, PCPDEV and PRANKCOR matrices. PCOR Prints a CORrelation matrix of the variables listed. PCOV Prints a COVariance matrix of the variables listed. PCP Prints a CrossProduct matrix of the variables listed. PCPDEV Prints a CrossProduct matrix of variables in DEViations from the means. PFREQ Prints tables of FREQuencies. PMEDIAN Prints the MEDIAN, mode and quartiles for each variable. PRANKCOR PRints a matrix of Spearman's RANK CORrelation coefficients. REPLICATE Used with WEIGHT= when weights are replication factors. WIDE= Prints the Coefficient of Variation and the Constant- Digits statistic. BEG= END= Specify the beginning and end observations to be used in the given STAT command. COR= Saves the Correlation Matrix. COV= Saves the Covariance Matrix. CP= Saves the CrossProduct Matrix. CPDEV= Saves the CrossProduct Matrix in deviations from the mean. MAXIM= Saves the MAXIMums as a vector. MEAN= Saves the MEANS as a vector. MEDIAN= Saves the MEDIANS as a vector. MINIM= Saves the MINIMums as a vector. MODE= Saves the MODES as a vector. RANKCOR= Saves the RANK CORrelation Matrix. STDEV= Saves the Standard Deviations as a vector. SUMS= Stores the sum of each variable as a vector. VAR= Saves the VARiances as a vector. WEIGHT= Specifies a variable to be used as WEIGHTs if weighted descriptive statistics are desired.

DISTRIB Command

TheINVERSE Returns critical values of the distributions instead of probabilities. This option may not be used with EDGE or IMHOF. LLF Computes the Log of the Likelihood function for the data and prints it and stores it in the temporary variable $LLF. NOLIST Suppresses list of probabilities. ACCURACY= Level of accuracy for TYPE=DAVIES. BEG= END= Specifies the sample range to be used. BIGN= Specifies the population size for the Hypergeometric distribution. BIGX= Specifies the population number of successes for the Hypergeometric distribution. C= Specifies non-centrality parameter for non-central F distribution. CDF= Saves the cumulative distribution probability. CRITICAL= Saves the critical values when the INVERSE option is used. DF= Specifies the degrees of freedom. Used only with TYPE=T and TYPE=CHI. DFVEC= Specifies vector of Degrees of Freedom for TYPE=DAVIES. DF1=,DF2= Specifies the degrees of freedom for the numerator and the denominator. Used only with TYPE=F. EIGENVAL= Specifies the eigenvalue to be used with the TYPE=IMHOF option. H= Specifies the precision parameter for the t-distribution. K= Parameter K for TYPE=BURRII, BURRIII, BURRXII KURTOSIS= Specifies the population KURTOSIS parameter for an EDGE approximation. LAMBDA= A LAMBDA vector with TYPE=DAVIES. LIMIT= Integration terms with TYPE=DAVIES. MEAN= Specifies the population mean value. This option is used only with TYPE=NORMAL and TYPE=EDGE. N= Saves the sample size for the Hypergeometric distribution. NEIGEN= Specifies the number of Eigenvalues to be used with the TYPE=IMHOF option if the entire vector is not required. NONCEN= Specifies the non-centrality parameter value of the Davies distribution. PDF= Saves the densities in the variable specified. P=,N= Specifies the parameters of the BINOMIAL distribution. P=,Q= Specifies the parameters of BETA or GAMMA distribution. SKEWNESS= Specifies the population skewness coefficient for an EDGE approximation. S=,V= Specifies the parameters of Inverted Gamma distribution. TYPE= Specifies the type of distributions. The choices are: BETA, BINOMIAL, BURRII, BURRIII, BURRXII, CHI, DAVIES, EDGE, F, GAMMA, HYPERGEO, IG2, IMHOF, NORMAL and T. VAR= Specifies the variance. Used only with TYPE=BETA, TYPE=EDGE and TYPE=NORMAL.The types of distribution available on the

BETA Beta Distribution P= and Q=, or MEAN= and VAR= must be used. The beta variable must be in the 0-1 interval. BINOMIAL Binomial Distribution When the BINOMIAL distribution is specified the N= and P= options must be used. BURRII, BURRIII, BURRXII The Burr Distribution. CHI Chi Squared Distribution DF= must be used. DAVIES Davies Distribution. EDGE Edgeworth Approximation MEAN=, VAR=, SKEWNESS=, and KURTOSIS= should be used. F F Distribution DF1= and DF2= must be used. C= must be used for a Non-Central F Distribution. GAMMA Gamma Distribution, parameters are P= and Q=. HYPERGEO Hypergeometric Distribution, parameters are BIGN=, N=, and BIGX=. IG2 Inverted Gamma, parameters are S= and V=. IMHOF Imhof Distribution EIGENVAL= must be used. NORMAL Normal Distribution MEAN= and VAR= should be used with it. T Student's t Distribution DF= must be used.

GENR Command

Theaddition(+), subtraction(-), multiplication(*), division(/), exponentiation(**), .EQ.,.NE.,.GE.,.GT.,.LE.,.LT.(relations), .NOT.,.AND.,.OR.(logical operators).Operators are listed according to priority-level. Unary functions are first priority. The available unary functions are:

ABS(x), DUM(x), EXP(x), INT(x), LAG(x), LAG(x,n), LGAM(x), LOG(x), MAX(x,y), MIN(x,y), MOD(x,y), NCDF(x), NOR(x), SAMP(x), SEAS(x), SIN(x), SQRT(x), SUM(x), SUM(x,n), TIME(x), UNI(x).

GEN1 Command

TheGEN1 NOB=$N

DERIV Command

TheIF Command

TheIF1 Command

Equivalent to aINTEG Command

TheSKIPIF Command

TheMATRIX Command

TheCHOL(matrix) Cholesky's decomposition of symmetric positive. DET(matrix) Determinant of matrix. DIAG(matrix) Diagonal. EIGVAL(matrix) The eigenvalues of matrix are taken. EIGVEC(matrix) The eigenvector of matrix is taken. EXP(matrix) Exponential operator is applied to each element of matrix. FACT(matrix) Factors the inverse of the matrix. IDEN(ndim) Identity matrix is created. IDEN(ndim,ndiag) A matrix with ndim rows and columns is created with a diagonal of ones on the ndiag lower diagonal. (ndiag=1 gives an identity matrix) INT(matrix) Integer truncation of each element of matrix. INV(matrix) Inverse of matrix. LAG(matrix,n) Each column of the matrix is lagged n times. LOG(matrix) Natural log of each element is taken. NCDF(matrix) Normal cumulative density function. NOR(nrow,ncol) Normally distributed numbers. RANK(matrix) Rank of matrix is calculated. SAMP(matrix,nrows) A new matrix with n rows is created by random sampling with replacement from the old matrix. SEAS(nob,nseas) A series of seasonal dummy variables is created. SIN(matrix) Sine of each element of matrix is taken. SQRT(matrix) Square root of each element of matrix is taken. SVD(matrix) Singular Value Decomposition of matrix is performed. SYM(matrix) Creates a symmetric matrix from a square full matrix. TIME(nob,x) A vector with nob observations is created with values equal to a time index plus x. TRACE(matrix) Trace of matrix is calculated. TRI(matrix) Creates a lower triangular matrix from a square full matrix. UNI(nrow,ncol) Random numbers between 0 and 1 is created. VEC(matrix) Stacks columns of a matrix into a longer vector. VEC(matrix,nrows) Unstacks a vector into a matrix with nrows.

COPY Command

TheFROW=first;last Tells SHAZAM the first and last rows to copy. TROW=first;last Tells SHAZAM the first and last rows of the matrix you are copying into to be filled. FCOL=first;last Tells SHAZAM the first and last columns to copy. TCOL=first;last Tells SHAZAM the first and last columns of the matrix you are copying into to be filled.If no options are specified, all of

SORT Command

TheDESC Sorts the specified variables in descending order. LIST Lists all the sorted data, ie. vars and sortvar. BEG= END= Specifies the sample range for the given SORT command.

TIME Command

TheSAMPLE 1 48 TIME 1981 12 YEARMO

TITLE Command

TheDIM Command

TheEQ Command

TheCOEF Command

TheGAMES

Global Thermonuclear WarCOMPRESS Command

TheSAVE Command

ThePAUSE Command

TheDELETE Command

TheNAMES Command

TheRENAME Command

TheRESTORE Command

TheDO Command

TheDO #=1,20,2 GENR LX#=LOG(X#) ENDO

ENDO Command

TheENDIF Command

TheAUTO Command

TheDLAG Used with first-order models to indicate that the first independent variable is a LAGged Dependent variable. DN Divide by N instead of N-K to get Variances. DROP Drops first observation in estimation. GS Uses a grid search to estimate rho. MISS Maximum likelihood estimates are adjusted for any missing observations that were deleted with SKIPIF commands. ML Maximum Likelihood Estimation NOPITER Suppresses the printing of the iterations. PAGAN Used with ORDER=1 or ORDER=2 to estimate the model using Pagan's ]1974( procedure. CONV= Sets a convergence criterion when the Cochrane-Orcutt by procedure is being used. GAP= Used when the missing observations were included in the data. ITER= Used when doing an iterative Cochrane-Orcutt procedure to control the number of iterations. NMISS= Used with the GAP= option to indicate how many observations are missing from the data. NUMARMA= Used with PAGAN option to specify the number of AR or MA coefficients to be estimated. ORDER=n Used to estimate models with second or higher order autocorrelation. ORDER=-n Model will be estimated using a moving-average error model instead of an autoregressive error model. DLAG, DROP, GAP, GS, MISS, ML, RESTRICT, RHO and SRHO may not be used. RHO= Specifies rho desired by user. SRHO= Specifies rho for second order.Other available options are:

ANOVA, DUMP, GF, LINLOG, LIST, LOGLIN, LOGLOG, MAX, NOCONSTANT, PCOR, PCOV, RESTRICT, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, and TRATIO=as defined for

$DF, $DW, $ERR, $K, $LLF, $N, $R2, $R2OP, $RAW, $RHO, $SIG2, $SSE, $SSR, $SST, $ZDF, ZSSR, and $ZSST.

RESTRICT Command

TheRESTRICT INCOME+PRICE=0

END

DLAG Command

Polynomial Distributed Lags (or Almon Lags) can be specified onNL Command

TheEQ equation

COEF values

END

ACROSS Corrects for autocorrelation across equations as well as within a single equation. AUTO Corrects the equations for first-order autocorrelation or for higher order if specified on the ORDER= option. DRHO Gives a different value of rho for each equation. DUMP Dumps the internal code that SHAZAM has generated for the EQ commands. EVAL Evaluates the likelihood function for the starting value prints out the answer without doing any estimation if ITER=0 is specified. GENRVAR Takes a vector of coefficients and generates a set of scalar variables. LOGDEN Tells SHAZAM that the equation given on the EQ command is the LOG-DENSITY for a single observation. MAXFUNC Maximizes the function given on the EQ command. MINFUNC Minimizes the equation given on the EQ command. NOCONEXOG Do not include a constant in the list of exogs variables. NOPSIGMA Suppress printing of the sigma matrix. NUMCOV Uses numeric difference method to compute derivatives in the algorithm. NUMERIC Uses the numeric difference method to compute derivative used in the algorithm. OPGCOV Uses the outer-product of the Gradient method to compute the covariance matrix. PCOV Prints an estimate of the covariance matrix of coefficients after convergence. SAME Will run the previous NL regression without repeating the EQ commands. SOLVE Solves the equations given on the EQ command as a set of nonlinear simultaneous equations. AUTCOV= Lag length used with the GMM= option. CONV= Specifies the convergence criterion for the coefficients. IN= Reads back the coefficients that were saved with the OUT option. ITER= Specifies the maximum number of iterations. GMM= Specifies the weighting matrix for Generalized Method of Moments estimation. METHOD= Default is Davidon-Fletcher-Powell algorithm. An alternative is the Broyden-Fletcher-Goldfarb-Shanno (BFGS). NCOEF= Specifies the number of coefficients to be estimated. ORDER= Specifies the order of autocorrelation to be corrected for when the AUTO option is used. OUT= Writes out on unit 3 the values of the coefficients after each iteration. Useful for restarting the model in another run with the IN option described above. PITER= Specifies the frequency with which iterations will be printed. SIGMA= Saves the sigma matrix in the variable specified. START= Uses the values in the specified variable as starting values for the estimation. STEPSIZE= Specifies the stepsize to use with the NUMCOV option to control the differential in numeric derivatives. ZMATRIX= Specifies a matrix to create and use to store the derivatives of the nonlinear function.Also available are:

LIST, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, and TRATIO=as described for

NONPAR Command

TheDENSITY Specifies kernel density estimation is required. GNU Plots results with GNUPLOT. PCOEF For regression smoothing prints the coefficients. BRHO= Specifies the parameter for the boundary modified kernel. COEF= For regression smoothing saves the coefficients in a matrix. DELTA= Used with METHOD=LOWESS to group observations. FCSE= Saves prediction standard errors in the variable specified. HATDIAG= Saves the diagonal elements of the smoother matrix. INCOVAR= Specifies an input covariance matrix in lower triangular form. ITER= Used with METHOD=LOWESS to specify the number of iterations. METHOD= The options are EPAN, MULTI, NORMAL, QUARTIC, TRIANG, UNIFORM, and LOWESS. RWEIGHTS= For METHOD=LOWESS saves the robustness weights. SIGMA= Saves conditional standard errors in the variable specified. SMATRIX= Saves the N x N smoother matrix. SMOOTH= Specifies the value of the smoothing parameter.Also available are:

LIST, BEG=, END=, PREDICT=, and RESID=.

FC Command

TheAFCSE Used with BLUP or IBLUP option. BLUP,IBLUP Used in autoregressive models when the user wishes the predicted values to be adjusted with the lagged residual, thereby giving the best linear unbiased predictions. DYNAMIC Performs DYNAMIC forecasts for models with a lagged dependent variable. MAX Equivalent to the LIST, GF, and RSTAT options. PERCENT Displays the percentage change in the actual and predicted values. CSNUM= Specifies the cross-section to use on a Pooled Cross-Section Time-Series model. ESTEND= Specifies the last observation of the estimation for the AUTO and POOL models. FCSE= Saves the Forecast Standard Errors. NC= Specifies the number of cross-sections in a Pooled Cross-Section Time-Series model.When the

NOCONSTANT Forced through the origin. No intercept should be included. UPPER Used when a TOBIT model is being run with the FC command. LIMIT= Used when MODEL=TOBIT is specified. MODEL= Specifies the model as : AUTO, BOX, LOGIT, OLS, POOL, PROBIT or TOBIT. ORDER= Specifies the order for the model for MODEL=AUTO. POOLSE= Specifies the standard error of the cross-section in a Pooled Cross-Section Time-Series model when POOL=TOBIT. RHO= Specifies a value of the first-order autoregressive parameter for the regression. SRHO= Used with the RHO= option to specify a value of the second order rho in a second order autoregressive model.Also available on the

GF, LIST, BEG=, END=, PREDICT=, and RESID=options as defined for

BOX Command

TheACCUR Iterates to an accuracy of .001 instead of .01 for lambda. ALL Extends the Box-Cox model so that all variables receive the same power transformation. AUTO Will simultaneously estimate lambda and the first-order autocorrelation parameter rho. With this option the DROP, NMISS= and GAP= options as described for the AUTO command can be used. DN Uses N instead of N-K as the divisor for SIGMA**2. DUMP Gives some intermediate output on the iterations. FULL Combined Box-Cox and Box-Tidwell estimation is done and all variables have different lambdas. NOCONSTANT Forces the regression through the origin. TIDWELL Box-Tidwell regression is done. UT Untransforms the observed and predicted dependent variables. COEF= Saves the coefficients, the lambda for each independent variable and the rho if there is autocorrelation in the matrix specified. LAMBDA= Specifies a fixed value for lambda. LAMS= Used to do a manual grid search of lambda. The starting LAME= value (LAMS=), the ending value (LAME=) and an increment LAMI= (LAMI=) of lambda should be specified. RHO= Specifies the rho to be used when the AUTO option is specified.Other available options are:

ANOVA, GF, LIST, MAX, PCOR, PCOV, RESTRICT, RSTAT, BEG=, END=, COV=, PREDICT=, and RESID=as defined for

$ANF, $DF, $DW, $ERR, $K, $LLF, $N, $R2, $R2OP, $RAW, $RHO, $SIG2, $SSE, $SSR, $SST, $ZANF, $ZDF, $ZSSR, and $ZSST.

MLE Command

TheThe ANOVA, DUMP, GF, LINLOG, LIST, LOGLIN, LOGLOG, MAX, NOCONSTANT, NONORM, PCOR, PCOV, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, TRATIO=, and WEIGHT=options as defined for

CONV=, IN=, ITER=, OUT=, and PITER=as defined for

LM Performs a Lagrange Multiplier test of the estimated models against a less restricted model. METHOD= Specifies the nonlinear algorithm to use. TYPE= Specifies the type of distribution to be assumed for the errors as EXP (the default), WEIBULL, EWEIBULL, BETA, GAMMA, EGAMM, GG, EGG, LOGNORM, or EXTREMEV.The available temporary variables on the

$DF, $DW, $ERR, $K, $LLF, $N, $R2, $R2OP, $RAW, $RHO, $SIG2, $SSE, $SSR, $SST, $ZDF, $ZSSR, and $ZSST.

ARIMA Command

TheALL Compute all orders up to and including NDIFF and NSDIFF. IAC Compute inverse autocorrelations. (reference: Cleveland, Technometrics, 1972, pp.277-293) GNU Prepare GNUPLOT plots for the PLOTAC, PLOTDATA, and PLOTPAC options. LOG Take logs of the data. PLOTAC Plot autocorrelation function. PLOTDATA Plot data. PLOTPAC Plot partial autocorrelation function. WIDE/NOWIDE Controls size of terminal screen output. ACF= Saves the AutoCorrelation Function in the variable specified. BEG= END= First and last observation to be used. NDIFF= Order of differencing to transform the data. NLAG= The number of lags for autocorrelations. The default is 24. NLAGP= The number of lags for partial autocorrelations. The default is 12. (The value for NLAGP= must not exceed that for NLAG=). NSDIFF= Order of Seasonal Differencing. If this is specified then NSPAN= must be set. NSPAN= The number of periods for the seasonal cycle. For example, set NSPAN=4 for quarterly data and NSPAN=12 for monthly data. PACF= Saves the Partial AutoCorrelation Function in the variable specified. TESTSTAT= Saves the Ljung-Box-Pierce statistics (computed at every lag) in the variable specified.The available temporary variables are:

$N - the number of observations used in the identification phase.

LOG, WIDE, BEG=, END=, NDIFF=, NSDIFF=, and NSPAN=.The available options as used for the

ANOVA, PCOR, PCOV, COV=, STDERR=, and TRATIO=.Other options are:

DN Computes the estimated variance of the regression by dividing SIGMA**2 by N instead of (N-K). GNU Prepare GNUPLOT plots for the PLOTRES option. NOCONSTANT No intercept in model. PITER Print every iteration. PLOTRES Plot the residuals. RESTRICT Use zero starting values as zero restrictions. START Starting values for coefficients follow the ARIMA command. ACF= Saves the AutoCorrelation Function of the estimated residuals in the variable specified. COEF= Save Coefficients in variable specified. ITER= Maximum number of iterations. The default is 50. NAR= Order of the AR process. (REQUIRED) NMA= Order of the MA process (REQUIRED). NSAR= Order of the Seasonal AR process. If this is specified then NSPAN= must be set. NSMA= Order of the Seasonal MA process. If this is specified then NSPAN= must be set. PREDICT= Save Predicted values in variable specified. RESID= Save Residuals in variable specified. START= A vector of starting values. TESTSTAT= Saves the Ljung-Box-Pierce statistics (computed at every lag - up to 60 lags) in the variable specified.Following model estimation the available temporary variables as for the

$ERR, $K, $N, $R2, $SIG2, $SSE, $SSR, and $SST.

LOG, NOCONSTANT, BEG=, END=, NAR=, NDIFF=, NMA=, NSAR=, NSDIFF=, NSMA=, NSPAN=, PREDICT=, and RESID=.Other options are:

GNU Prepare GNUPLOT plots for the PLOTFORC option. PLOTFORC Plot the forecast with error bounds. STOCHAST For first differenced models compute the Beveridge/Nelson stochastic trend. (reference: Journal of Monetary Economics, 1981). COEF= Input coefficient variable. If this is not specified then coefficients must be entered on the line following the ARIMA command. FBEG= The origin date of the forecast (required). FEND= Last observation to forecast (required). (The maximum number of forecasts is 200.) FCSE= Saves the forecast standard errors in the variable. SIGMA= Used in calculating the forecast standard errors. By default the data for the current sample period will be used to estimate SIGMA. A recommended approach is following estimation enter GEN1 S=SQRT($SIG2). Then use the option SIGMA=S for the ARIMA forecasting.

BAYES Command

TheNOANTITHET Omits the ANTITHETIC replications. NORMAL Assumes the coefficients are normally distributed rather than t distributed. PSIGMA Prints the original covariance matrix. DF= Specifies the degrees of freedom for the t-distribution. NSAMP= Used to specify the number of desired replications. OUTUNIT= Specifies a Unit to use to write all the replicated coefficients.

CONFID Command

SHAZAM automatically computes the Confidence Intervals for any coefficients from a previous estimation with theEGA, GNU, GOAWAY, GRAPHICS, HERCULES, HOLD, NOBLANK, PAUSE, PRINT, SYMBOL, VGA, WIDE/NOWIDE, MODE=, XMAX=, XMIN=, YMAX=, and YMIN=.Other available options are:

NOFPLOT Deletes the joint confidence region plot if two coefficients were specified. NOMID Used when you are computing the FPLOT. NORMAL Normal distribution used in computing confidence regions. NOTPLOT Deletes the computation of the confidence intervals for individual coefficients based on the t or normal distribution and suppresses the drawing of the (+) symbol. DF= Specifies the Degrees of Freedom required. FCRIT= Specifies a critical value from an F distribution to use for the joint confidence region plot. POINTS= Specifies the number of points desired in the construction of the confidence ellipse for the FPLOT. TCRIT= Allows the calculation of intervals other than the 95% interval.

DIAGNOS Command

TheACF Prints the Autocorrelation Function of residuals and associated test statistics for various orders of autocorrelation. BACKWARD Used with the RECUR option if you want to compute BACKWARDS recursive residuals. BOOTLIST Used with the BOOTSAMP= option to print the entire list of Bootstrapped coefficients for every generated sample. CHOWTEST Used to obtain a set of sequential Chow test statistics and sequential Goldfeld-Quandt test statistics which split the sample in 2 pieces at every possible point. CTEST Computes Pinkse's C-test for serial independence of the residuals and saves the results in $CTES. GNU Prepares gnuplot plots of the recursive residuals when the MAX or RECUR options are specified. HET Runs a series of tests for heteroskedasticity. JACKKNIFE Runs a series of regressions, successively omitting a different observation to get the "Jackknife Coefficient Estimates". LIST Prints a table of observed and predicted values of the dependent variable, and regression residuals. MAX This option is equivalent to specifying the LIST, RECUR, ACF, RECEST, RECRESID, BACKWARD, CHOWTEST, RESET and HET options. RECEST/ Used with the RECUR option if you want to print the NORECEST recursive estimated residuals. RECRESID/ Used with the RECUR option if you want to print the NORECRESID recursive residuals. RECUR Performs Recursive Estimation by running a series of regressions adding one observation per regression. Recursive residuals and CUSUM tests are printed. RESET Used to compute the Ramsey RESET specification tests. WIDE/NOWIDE NOWIDE reduces the width of output to 80 columns from 120 columns. BOOTSAMP= Bootstraps the previous OLS regression. BOOTUNIT= Writes out the generated coefficients for each sample in a Bootstrap experiment on the unit specified. CHOWONE= Specifies the breakpoint for the Chow test. GQOBS= Used with the CHOWTEST option to specify the number of observations to be omitted for the Goldfeld-Quandt test. MHET= Used with CHOWTEST or RECUR options to specify M, the number of residuals to use in Harvey's Recursive Residual Exact Heteroskedasticity test. RECUNIT= Used with the RECUR option if you want to write the recursive estimates and residuals on the Fortran Unit number specified. SIGLEVEL= Used with RECUR option to specify the significance level desired for the CUSUM and CUMSUMSQ tests.

PC Command

TheCOR Analysis is done on the correlation matrix. LIST Lists the matrix of Principal Components. MAX Equivalent to specifying the PEVEC,PRM,PFM,LIST and NCODE=1 options. PCOLLIN Prints the proportion of the variance of the estimate accounted for by each principal component. PEVEC Print the matrix of EigenVECtors. PFM Prints the Factor Loading Matrix for the retained factors. PRM Computes and prints the Rotated Factor Matrix by a Varimax rotation. RAW Indicates that analysis is to be done on the original RAW cross-product matrix instead of the deviations from the means cross-product matrix. SCALE Indicates that analysis is to be done on a scaled cross-product matrix. EVAL= Specifies the vector in which to save the EigenVALues. EVEC= Specifies the matrix in which to save the EigenVECtors. MAXFACT= Specifies the Maximum number of FACTors to be retained. MINEIG= Specifies the minimum eigenvalue allowed to retain a component. NC= The normalization code which must be specified if a listing of the actual retained components is desired. The codes are: 1. No normalization, variance is lambda/(n-1) 2. Variance is 1/(n-1) 3. Variance is lambda 4. Variance is 1 where lambda is the eigenvalue corresponding to the component and n is the number of observations. PCINFO= Saves PC information needed for regressions on Principal Components in the matrix specified. PCOMP= Specifies a matrix into which the principal components will be put.

POOL Command

TheCORCOEF Estimates rho using the correlation coefficient form to confine the estimate of rho to [-1 , +1]. DN Uses a divisor of T instead of T-K for the PHI matrix. FULL Estimates the full cross-sectionally correlated and and time wise autoregressive model. HETCOV Pooled OLS estimation with "Panel Corrected Standard Errors" (PCSE). MULSIGSQ Multiplies Covariance Matrix by Sigma**2. Use NOMULSIGSQ to turn this off. SAME Forces all values of rho to be equal for each of the cross-sections. CONV= Convergence criteria when ITER= is used. ITER= Maximum number of iterations. NCROSS= Specifies the number of cross-sections in the data. NTIME= Specifies the number of time periods in the data. RHO= Specifies a value of rho to use instead of the estimated values.Other available options are:

ANOVA, DLAG, DUMP, GF, LINLOG, LIST, LM, LOGLIN, LOGLOG, MAX, NOCONSTANT, PCOR, PCOV, RESTRICT, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, and TRATIO=as defined for

$ANF, $DF, $ERR, $DW, $K, $LLF, $N, $R2, $R2OP, $RAW, $RHO, $SIG2, $SSE, $SSR, $SST, $ZANF, $ZDF, $ZSSR, and $ZSST.

ROBUST Command

TheFIVEQUAN Uses the five quantile values in computing regression quantiles. GASTWIRT Uses the Gastwirth weighting scheme in computing regression quantiles. LAE Default method that specifies the Least Absolute Error model. TUKEY Uses the Tukey Trimean weighting scheme in computing regression quantiles. UNCOR Used with the MULTIT= option and it specifies that the uncorrelated error model is requested. CONV= Used with the MULTIT= option and it specifies a convergence criterion to stop the iterative procedure. DIFF= Used with the MULTIT= option and it specifies the maximum number of iterations allowed in the iterative procedure. ITER= Used with MULTIT to specify the maximum number of iterations allowed in the iterative procedure used to obtain the estimates. MULTIT= Specifies that the Multivariate-t method should be used. THETA= Specifies a value of THETA to use for the Regression Quantile method. THETAB= These options specify the beginning, ending and THETAE= increments to be used for a grid search over THETA THETAI= values for the Regression Quantile method. TRIM= Specifies that Trimmed Least Squares is desired.Other options available are:

GNU, LINLOG, LIST, LOGLIN, LOGLOG, MAX, PCOR, PCOV, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, and TRATIO=as defined for

HET Command

ThePRESAMP Sets the initial value for the presample data in all iterations. ARCH= Specifies the order q of the ARCH process. ARCHM= Specifies the functional form for the ARCH-in-Mean term. Set ARCHM=0 for the log of the variance function and set ARCHM=0.5 for the square root of the variance function. GARCH= Specifies the order p of the lagged conditional variances in the GARCH process. GMATRIX= Specifies an NxK matrix to use to store the derivatives of the log-likelihood function at each observation. This option is not available with the NUMERIC option. MACH= Specifies the order of the moving average process in models with ARCH errors. MODEL= Specifies the form of heteroskedasticity. Available options are: ARCH - for ARCH models DEPVAR - Dependent Variable Heteroskedasticity MULT - Multiplicative Heteroskedasticity STDLIN - Standard Deviation is a linear function of exogenous variables VARLIN - Variance is a linear function of exogenous variables START= Specifies a vector of starting values for the estimation. STDRESID= Saves the standardized residuals in the variable specified.Other available options are:

DUMP, LINLOG, LIST, LOGLIN, LOGLOG, MAX, NOCONSTANT, PCOR, PCOV, RSTAT, BEG=, END=, COEF=, COV=, PREDICT=, RESID=, STDERR=, and TRATIO=as defined for the

NUMCOV, NUMERIC, OPGCOV, CONV=, ITER=, METHOD=, PITER=, and STEPSIZE=as defined for the

$ERR, $K, $LLF, $N, and $R2OP.

LP Command

TheUMP Prints information for SHAZAM consultants. MIN Indicates that the problem is a MINimization problem. ITER= Maximum number of iterations. DUAL= Saves the dual solution in the vector specified. DSLACK= Saves the dual slack variables in the vector specified. PRIMAL= Saves the primal solution in the vector specified. PSLACK= Saves the primal slack variables in the vector specified.

EXEC Command

ThePROC Command

ThePROCEND Command

TheCHECKOUT Command

ThePAR Command

ThePAR 50

FILE Command

TheFILE 11 MYDATAFILE

FILE CLOSE filename - Closes the specified filename. FILE DELETE filename - Delete the specified filename. FILE HELPDEMO pathname - Specifies a directory path for the SHAZAM HELP and DEMO files. FILE INPUT filename - If all the commands are in a file, this command is used. FILE KEYBOARD filename - Places a copy of all commands typed on a keyboard into a file. Not available on all computers. FILE LIST filename - Lists the specified file on the screen. FILE OUTPUT filename - Puts the output in the assigned filename. This should be the first FILE command. FILE PATH pathname - Specifies a directory path to use to search for files. FILE PLOTPATH pathname - Specifies a directory path for the GNUPLOT program. FILE PRINT filename - Prints the file specified on a printer. (Available for Macintosh only) FILE PROC filename - Load the PROC from filename. FILE PROCPATH pathname - Searches the directory path for PROCS. FILE SCREEN filename - Displays the output on the screen and puts the output in a file simultaneously. FILE TEMP pathname - Specifies a directory path for temporary scratch files.

FLS Command

TheGNU Plot the time paths of the coefficients with GNUPLOT. PCOEF Print the sequence of coefficient estimates. COEF= Saves the FLS estimates in a N x K matrix. DELTA= Specifies the smoothing weight in the range (0,1). The default value is DELTA=.5.Other available options:

MAX, NOCONSTANT, BEG=, END=, PREDICT=, and RESID=.

LAMBDA Command

TheBOX MONEY INCOME INTRST / RESTRICT ALL LAMBDA INCOME=0 END

Continuation Lines

Commands may be up to 4096 characters long including any continuation lines. To continue a command to the next line you type a & character at the end of the line, for example:OLS CONSUME INCOME PRICE / RSTAT PCOV & PCOR LIST

OLS CONSUME INCOME PRICE / RSTAT PCOV PCOR LIST

Temporary Variables

Temporary Variables are statistics available for use in$ADR2, $ANF, $CDF, $CHI, $CRIT, $CT11, $CT12, $CT22, $DF, $DF1, $DF2, $DO, $DO2-$DO8, $DW, $ERR, $F, $K, $LLF, $N, $PDF, $PI, $R2, $R2OP, $RAW, $RHO, $SIG2, $SSE, $SSR, $SST, $STES, $T, $VAL, $VAL1, $VAL2, $ZANF, $ZDF, and $ZSSR.Definitions of these Temporary Variables can be found in the manual.

Error Codes

* Error Codes for all commands. 1010 ...INSUFFICIENT MEMORY-AT LEAST ??? MORE WORDS NEEDED THIS REQUIRES AT LEAST PAR=??? CURRENT PAR=??? 1011 ...ERROR..DATA ON VARIABLE ??? DOES NOT EXIST 1012 ...INVALID OPTION 1013 ...ERROR.. ??? EXCEEDS MAXCOL=??? USE SET MAXCOL= 1014 ...ERROR..VARIABLE ??? DOES NOT EXIST 1015 ...ERROR.. ??? EXCEEDS MAXCOL= ??? USE SET MAXCOL= 1016 ...SYNTAX ERROR IN LINE ABOVE NEAR $ 1017 ...ERROR ... COMMAND TOO LONG * Error Codes for the OLS command. 6010 ...ERROR..VARIABLE ??? IS ON BOTH SIDES OF EQUATION 6011 ...ERROR..IN RIGHT HAND SIDE OF OPTION ??? 6012 ...ERROR..INCOMPATIBLE OPTIONS 6013 ...INSUFFICIENT NUMBER OF VARIABLES SPECIFIED 6014 ...ERROR ??? OBSERVATIONS IS NOT ENOUGH FOR ESTIMATION 6015 ...ERROR..RESTRICT AND RIDGE OPTIONS NOT ALLOWED 6016 ...ERROR..VARIABLE ??? IS NOT VALID 6017 ...INSUFFICIENT MEMORY TO CORRECT COVARIANCE MATRIX * Error Codes for the TEST, RESTRICT, and LAMBDA commands. 15008 ...INSUFFICIENT MEMORY FOR THIS CALCULATION 15009 ...SYNTAX ERROR IN LINE ABOVE 15010 15011 ...ERROR..??? DOES NOT EXIST 15012 ...ERROR.. ??? IS NOT IN EQUATION 15013 ...ERROR..MORE EQUATIONS THAN PARAMETERS 15014 ...ERROR..THIS COMMAND MUST FOLLOW AN ESTIMATION COMMAND 15015 ...TEST COULD NOT BE DONE 15016 ...RESTRICTIONS COULD NOT BE DONE 15017 ...ABOVE COMMAND IS INVALID FOR THIS PROBLEM 15018 ...ERROR.COMMAND IS NOT A RESTRICT, TEST, OR END COMMAND * Error Codes for the PLOT and CONFID commands. 28010 ...ERROR IN RIGHT HAND SIDE OF OPTION ??? 28011 ...ERROR..INVALID COEFFICIENTS OR OPTIONS 28012 ...AXIS ERROR: TRY NOPRETTY OPTION ??? ??? ??? ??? * Error Codes for the POOL command. 29010 ...ERROR..MISSING RIGHT HAND SIDE OF OPTION ??? 29011 ...ERROR..INCOMPATIBLE OPTIONS 29012 ...ERROR..NCROSS= OR NTIME= NOT SPECIFIED 29013 ...ERROR..INVALID LIST OF EXOGENOUS VARIABLES 29014 ...ERROR..TIME-PERIODS NOT OF EQUAL LENGTH 29015 ...ESTIMATION FAILED DUE TO UNSTABLE RHO = ??? 29016 ...ERROR..FOUND IN ROW ??? 29017 ...MATRIX IS NOT POSITIVE DEFINITE 29018 ...ITERATION LIMIT EXCEEDED * Error Codes for the SYSTEM and 2SLS command. 50010 ...ERROR..MISSING RIGHT HAND SIDE OF OPTION ??? 50011 ...ERROR..NO. OF EQUATIONS NOT GIVEN ON SYSTEM COMMAND 50012 ...ABOVE COMMAND IGNORED, IS NOT ALLOWED AT THIS TIME 50013 ...ERROR..UNIT ??? IS RESERVED FOR INTERNAL USE 50014 ...PROBLEM TOO LARGE.TOO MANY VARIABLES OR RESTRICTIONS 50015 ...ERROR...EQUATION ??? IS UNDERIDENTIFIED 50016 ...SIGMA.MATRIX IS NOT POSITIVE DEFINITE 50017 ...MATRIX IS NOT POSITIVE DEFINITE 50018 ...ERROR..EXOG VAR ?? IS A CONSTANT..A CONSTANT IS AUTOMATICALLY INCLUDED 50019 ...MATRIX OF EXOGENOUS VARIABLES IS NOT POSITIVE DEFINITE * Error Codes for the NL, MLE, and HET commands. 52010 ...ERROR..SAME OPTION NEEDS PREVIOUS NL OR MLE COMMAND 52011 ...ERROR.. START= VARIABLE DOES NOT EXIST 52012 ...ERROR..LOGLOG, LOGLIN, LINLOG OPTIONS NOT AVAILABLE 52013 ...ERROR..CONVERGENCE SET TO ZERO 52014 ...ERROR..IN RIGHT HAND SIDE OF OPTION ?? 52015 ...ERROR.. YOU FORGOT TO SPECIFY NCOEF= 52016 ...ERROR.. EXOGENOUS VARIABLES NOT ALLOWED 52017 ...ERROR..ARCH ERRORS NOT ALLOWED 52018 ...ERROR.. INVALID MODEL= OPTION 52019 ...ERROR.. TYPE= OPTION NOT ALLOWED 52020 ...SYNTAX ERROR IN LINE ABOVE 52021 ...ERROR..ATTEMPT TO USE ??? PARAMETERS FROM UNIT ??? FAILED 52022 ...ERROR..SET SAMPLE COMMAND TO USE ONLY ONE OBSERVATION 52023 *** FAILURE TO COMPLETE A LINE SEARCH IN 20 FUNCTION EVALUATIONS. THIS IS PROBABLY BECAUSE THE LIKELIHOOD FUNCTION HAS NO GLOBAL MAXIMUM 52024 No Message: Too Many Parameters required, XXIT(10) 52025 ...COVARIANCE MATRIX AND STD ERRORS ARE INCORRECT 52026 ...ERROR..DEP VAR IN OB. NO. ??? IS NOT POSITIVE 52027 ...MAXIMUM NUMBER OF ITERATIONS 52028 ...ERROR..GMM=??? IS INVALID OR WRONG DIMENSION 52029 ...HESSIAN IS NOT POSITIVE DEFINITE 52030 ...GRAD TRANSPOSE TIMES X GREATER THAN OR EQUAL ZERO CONV SET TOO SMALL? * Error Codes for the PROBIT, LOGIT and TOBIT commands. 55010 ...ERROR IN RIGHT HAND SIDE OF OPTION ??? 55011 ...ERROR ??? OBSERVATIONS IS NOT ENOUGH FOR ESTIMATION 55012 ...MAXIMUM ITERATIONS REACHED 55013 ...MODEL HAS BLOWN UP WITH -XB= ??? 55014 ...ERROR..DEPENDENT VARIABLE IS A CONSTANT 55015 ...OBSERVATION ??? HAS ILLEGAL DEP VAR ?? * Error Codes for the TOBIT command. 57012 ...THERE ARE NO OBSERVATIONS AT THE LIMIT 57013 ...ALL OBSERVATIONS ARE AT THE LIMIT * Error Codes for the PC command. 65010 ...MISSING RIGHT HAND SIDE OF OPTION ??? 65011 ...DISASTER..IN EIGENVALUE OF ROW ??? * Error Codes for the ARIMA command. 72010 ...ERROR..MISSING RIGHT HAND SIDE OF OPTION ??? 72011 ...ERROR..INVALID TYPE= OPTION 72012 ...ERROR..INVALID NLAG OR NLAGP 72013 ...ERROR..SPAN OF SEASONAL CYCLE NOT SET 72014 ...ERROR..THE FORECAST LIMIT IS 200 72015 ...ERROR..REQUIRE FEND>FBEG 72016 ...ERROR..FBEG IS OUTSIDE SAMPLE RANGE 72017 ...ERROR..START= VARIABLE DOES NOT EXIST 72018 ...ERROR..NO VARIABLE SPECIFIED FOR ANALYSIS 72019 ...ERROR..PRE-SAMPLE VALUES EXCEEDS 104 72020 ...ERROR..TOO FEW OBSERVATIONS 72021 ...ERROR..TOO FEW COEFFICIENTS OR INVALID COEFFICIENTS 72022 ...ERROR..ORIGIN DATE IS LESS THAN MAXIMUM AR LAG 72023 ...ERROR..INVALID PARAMETER LIST 72024 *** SPECIFICATION ERROR, PLEASE CHANGE *** 72028 ...NO CONVERGENCE AFTER ??? ITERATIONS INITIAL SUM OF SQS= ??? FINAL SUM OF SQS =??? 72029 ...FAILED TO REDUCE SSE FURTHER AFTER ??? ITERATIONS INITIAL SSE = ??? FINAL SSE = ??? * Error Codes for the COINT command. 72025 ...ERROR..COINTEGRATION TESTS NEED MORE VARIABLES 72026 ...ERROR..NDIFF= OPTION NOT AVAILABLE 72027 ...ERROR..TOO FEW OBSERVATIONS * Error Codes for the ROBUST command. 77010 ...ERROR..MISSING RIGHT HAND SIDE OF OPTION ??? 77011 ...ILLEGAL THETA VALUES ??? ??? ??? 77012 ...SOLUTION NONUNIQUE 77013 ...PREMATURE END 7014 ...EXIT CODE=??? DEGREES OF FREEDOM PROBLEM 77015 ...TRIM PROPORTION OF ??? TOO LOW OR TOO HIGH WITH ONLY ??? OBSERVATIONS 77016 ...ESTIMATION FAILED WITH DIFF=??? USE DIFF= OPTION 77017 ...MATRIX IS NOT POSITIVE DEFINITE * Error Codes for the HET command. 79001 ...THE STARTING VALUES GIVE NEGATIVE VARIANCE OR OVERFLOWS * Error Codes for the NONPAR command. 96010 ...ERROR... CONSTANT OPTION NOT ALLOWED 96011 ...ERROR... SMOOTH= OPTION INVALID 96012 ...ERROR... A REGRESSOR IS REQUIRED 96013 ...ERROR... ONLY ONE REGRESSOR ALLOWED 96014 ...ERROR.. xxxx VARIABLE NOT VALID 96015 ...ERROR... SKIPPED OBSERVATIONS NOT ALLOWED 96016 ...ERROR.. xxxx OPTION NOT VALID 96017 ...ERROR.. INCOVAR= ARRAY HAS TOO FEW ELEMENTS 96020 ...INVALID METHOD= OPTION 96021 ...ERROR .. DIVIDE BY ZERO