Recursive Least Squares Wizard

Choosing Recursive Least Squares on the Statistics menu provides an interface to the RLS instruction for doing recursive least squares estimation. Selecting this brings up the following dialog box:

The fields are described below:

Dependent Variable

Use this drop-down list to select the dependent variable for the regression.

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.

Recursive Residuals

Recursive Std Err

Cusums

Cusum Squared

You can use these fields to save, respectively, the estimated recursive residuals, recursive standard errors, cumulated sums (cusums) of the recursive residuals, and the squared cusums into series. You can type in new names, or select existing series from the drop-down lists.

Explanatory Variables

Use this field 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 with a Select Regressors dialog box.

Show Standard Output

Clear this if you want to suppress the output from the regression (clearing it adds a NOPRINT option to the estimation instruction).

Show VCV of Coefficients

Select this to displays the estimated variance/covariance matrix (adds a VCV option).