RUNTEST Procedure

@RUNTEST does a "run test" for an input series which shows two states (0 and 1). It tests whether the series appears to be sequentially independent versus the alternative that there are longer than expected runs of single states.

@RunTest( options ) series start end

Parameters

series	series to analyze
start, end	range of series to use. By default, the defined range of series.

Options

[ESTIMATE]/NOESTIMATE

Indicates whether the prob(success) should be estimated or input

PI=input probability of 1 [.5]

Used if NOESTIMATE.

[PRINT]/NOPRINT

TITLE="title for output" ["Run Test for Series ...."]

Variables Defined

%CDSTAT	test statistic for independence (REAL)
%SIGNIF	significance level of independence test (REAL)

Example

* Gujarati, Basic Econometrics, 4th edition

* Examples from section 12.6, pages 462-474

open data table12-4.prn

cal 1959

data(format=prn,org=columns) 1959:1 1998:1

linreg y / resids

# constant x

set sres = resids/sqrt(%seesq)

graph(overlay=line) 2

# resids

# sres

set logy = log(y)

set logx = log(x)

linreg logy / lresids

# constant logx

set plus = (resids>=0.0)

set minus = (resids<0.0)

@RunTest plus

Sample Output

This is the output from the example. 52.5% of the observations are "plus". However, there are only 3 runs, so the signs are very persistent, leading to the strong rejection of independence.

Run Test for Series PLUS

Observations 40

Runs 3

Prob(success) 0.525

Z-score -5.189

P-value 0.0000