Linear Regressions Wizard

The Linear Regressions Wizard performs a variety of linear regressions. Selecting Linear Regressions from the Statistics menu brings up the following dialog box:

For a simple least squares regression, simply select a dependent variable from the drop down list at the top, and use the "Add" or "Add Lags" buttons to add regressors from the Available list, and then click on OK. RATS will generate the appropriate LINREG command. It will automatically execute the command if the "Paste AND Execute" switch is turned on.

The other fields in the dialog box allow you to choose a different estimation method, add instruments, and set other options, as described below.

Dependent Variable

Select the desired dependent variable from this drop down list. Here, we've chosen PRICE.

Method

Choose the estimation method from this drop down list. The choices are:

Least Squares	generates a LINREG instruction
Two Stage Least Squares	generates a LINREG instruction with an INSTRUMENTS option
GMM (IV with Optimal Weights)	generates a LINREG instruction with INSTRUMENTS and OPTIMALWEIGHT options
AR(1) Regression	generates an AR1 instruction
AR(1)-Instrumental variables	generates an AR1 instruction with the INSTRUMENTS option
Robust Regression	generates an RREG instruction
Stepwise	generates an STWISE instruction

Sample Start and End

Use these fields to set a specific starting and/or ending date for the estimation.

SMPL Series

Use this option to select a series to be used for the SMPL Option.

Spread Series

If you want to do weighted least squares, select the "spread" series from the drop-down list. See SPREAD option for details.

Explanatory Variables, Instruments

Use these fields to select the explanatory variables and (where applicable) the instrumental variables. You can either type in a list of explanatory variables in Regression Format, separating variables with at least one blank space, or click on the series list button to select from a list of the series available in memory using a Select Regressors dialog box. Here we have a list of 11 variables plus the CONSTANT. (Case doesn't matter).

Robust (HAC) Standard Errors

Lags/Bandwidth

Lag Window Type

These generate ROBUSTERRORS, LAGS, and LWINDOW options. See Robust Error Calculations for details.

Residuals to

You can use this field to save the estimated residuals to a series.

Show Standard Output

Turn this off if you want to suppress the output from the regression (this adds a NOPRINT option to the estimation instruction).

Show VCV of Coefficients

Displays the estimated variance/covariance matrix (adds a VCV option).

Define Equation

This field allows you to save the estimated EQUATION. Just type in a new name for the equation.

AR1 Method, Input Value

These fields are only available when you select one of the AR(1) methods. You can select from several methods (see AR1 for details). If you choose to input the value for rho, enter the value in the Input Value field.

Estimator, Quantile

These are only available when you select the "Robust Regression" method. You can choose the estimator (see RREG for details) and, if necessary, enter the quantile value.

Selection Method, Sig Level to Enter, Sig Level to Stay

These are only available when you select the "Stepwise Regression" method. Use these to choose the selection method and set the threshold values (see STWISE for details).

Clear Settings

Click this button to clear out all selections and reset the dialog box to the default state. Note that if you have already executed a regression, RATS will "pre-load" the Regressions Wizard with the dependent variable, regressors, and other settings of the most recent regression, making it easy to repeat an earlier estimation with slight modifications. If you instead want an entirely new regression, you can use Clear Settings to clear out the old information.