REGACTFIT Procedure

@REGACTFIT is a post-processor for a linear regression which graphs actual/fitted and residuals in separate vertical zones on the same box. To use it, do a LINREG (or any other univariate least squares estimator) then do @REGACTFIT immediately after.

@REGACTFIT( options ) (no parameters)

Options

HEADER="string for header" ["Actual/Fitted and Residuals" if neither HEADER nor FOOTER]

FOOTER="string for footer"

Example

* Diebold, Elements of Forecasting, 3rd edition

* Retail sales examples from pp 90-98

cal(m) 1954:1

open data rsales.dat

data(format=prn,org=columns) 1954:1 1994:12

graph(footer="Figure 4.14 Retail Sales")

# rsales

set time = t

set time2 = t^2

linreg rsales 1955:1 1993:12

# constant time

@regcrits

@regactfit(footer="Figure 4.15 Retail Sales: Linear Trend Residual Plot")

linreg rsales 1955:1 1993:12

# constant time time2

@regcrits

@regactfit(footer="Figure 4.16 Retail Sales: Quadratic Trend Residual Plot")

Sample Graph

The top section of the graph is the actual/fitted graph (blue is actual), while the bottom has the residuals.

This shows rather clearly modeling the data as a quadratic trend on the levels doesn't work well as the residuals have a much greater absolute value late in the data set when the values of the data are high. A regression on a log transformation would likely work much better.