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while simultaneously including others in the maintained hypothesis.
NOTE: This option is not available for linear regressions. Use Wald tests
to test restrictions in this context.
SUPPLYING AN EDF FILE FOR P-VALUES
30.
Check the box "Use EDF from File for p-Values" if tabulations of test
distributions has been created by Monte Carlo simulation of the null
hypothesis. The currently loaded EDF file is used to supply p-values
for each test for which a tabulation exists in the file. In the case of
significance tests (t-tests) the parameter's name must match a name in
the file.
Notes:
1)
P-values taken from the EDF are marked with a '$' in the output.
2)
See Setup / Monte Carlo Experiments for details of the EDF file
format.
3)
EDF files can be read and plotted in Setup / Look Up Tail
Probability and Setup / Look Up Critical Value. To read off a
p-value, type the test statistic into the first 'Tail Probability'
dialog.
4)
EDF files are spreadsheet files, recommended format is '.xls'. They
can be loaded as data files, inspected and merged in TSM.
31.
If tabulations for several sample sizes are created, these can be merged into
a single EDF file. Use the command File / Data / Tabulations / Merge EDF
File to merge a file on disk with the one resident in memory. These
tabulations will be used to calculate p-values by interpolation.
For example, suppose tabulations for T = 50, 100, 200 and 500
observations have been created and merged. If the actual T is 150, a
weighted average of the tabulated p-values is returned, with weight
w = ((200 - 150)/(200 - 100))^2 = 0.25
on the case T = 100, and 1 - w = 0.64 on the case T = 200
(i.e., greater weight on the larger sample size than with a linear
interpolation). If T exceeds the largest tabulated sample size or is less
than the smallest, then the nearest values are used with weight 1.
8.3 Options / Forecasting ...
FORECASTS
1.
The levels forecasts include 2-standard error bands. These are asymptotic
and do not allow for parameter uncertainty. For conditional
heteroscedasticity models, they are computed dynamically using the
volatility forecasts.
2.
The scroll bar label shows the number of forecast steps selected.
The date or observation number of the final step, which depends on the
sample selection (see Setup / Set Sample) is shown above the scroll
bar.
3.
There is no limit to the number of ex-ante forecasts. To increase the
maximum, select it, then close and re-open the dialog. However, in models
containing exogenous variables (other than the trend and GARCH_M terms)
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© James Davidson 2008