A General Computer for Econometric Models--Shazam
计量经济模型的通用计算程序：SHAZAMAI 解读 ↓
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计量经济模型的通用计算程序：SHAZAM
- 研究问题
- 如何将多种计量模型的估计、检验与预测整合到可扩展的计算程序中，并支持不同规模问题及批处理、交互式运行？
- 方法与思路
- 作者介绍支持批处理和交互运行的 SHAZAM，采用动态内存分配，提供多类回归、联立方程估计及自相关处理。
- 材料陈述的贡献
- 摘要称该程序便于加入新算法，并提供线性约束、假设检验及多种输出；自相关部分还包含多种估计、检验和预测选项。
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原文摘要
to prepare and allow a large number of options. The program can be run in batch mode or interactively at a computer terminal. Computer core storage is dynamically allocated so that large problems are only limited by the size of the machine. SHAZAM is designed to grow so that new algorithms and procedures can easily be added by any programmer familiar with the internal structure of the program. Features of SHAZAM include ordinary least squares, two-stage least squares, seemingly unrelated regressions and iterative estimation of seemingly unrelated regressions, threestage least squares and iterative three-stage least squares, models with first and second order autocorrelated disturbances, estimation of Box-Cox [1] type nonlinear functional forms, principal components and factor analysis, regression on principal components, ridge regression, regressions by matrix decompositions, random number generatign for Monte Carlo samples, forecasting, and plotting. Any set of linear restrictions or hypothesis tests can be used in the estimation. A wide variety of output statistics are available with each procedure. The autocorrelation section of SHAZAM is rather extensive and includes maximum likelihood or least squares estimation by a grid search or iterative Cochrane-Orcutt [2] procedure and inclusion or deletion of initial observations, exact and higher-order DurbinWatson [4] type tests, tests based on Golub's [6] uncorrelated residuals, Dhrymes [3, p. 199] corrections for lagged dependent variables, Savin-White [7] corrections for missing observations in a time series, Savin-White [8] type simultaneous testing for functional form and autocorrelation, and forecasting using Goldberger's [5] best linear unbiased predictor. A SHAZAM user's manual [9], which is also machine readable, is available from the author on request.