Grocer Function

NAME

auto_stage0 - elimination of non significative variables

CALLING SEQUENCE

[done,r0,indxf]=auto_stage0(y,x,indcte,r00,rmod,alpha,f0_sig,eta)

PARAMETERS

Input

Output

DESCRIPTION

In a model Y=X*b+U, eliminates variables whose joint significance is lower than f0_sig under the condition that no specification test fails. The function (used in automatic) assumes that an empty result tlist exists and that the model Y==X*b+U with tlist results called r00 in the function. The user must give the index, if any, of the constant, the global significance level, the significance level under which elimination is done and the significance level for the specifications tests performed by function test_func.

EXAMPLES

1) [done,r0,indxf]=auto_stage0(y,x,5,r00,rmod,0.05,0.9,0.01*ones(5,1)) 2) [done,r0,indxf]=auto_stage0(grocer_y,grocer_x,indcte,r1_00,lrmod(1),grocer_alpha, grocer_f0_sig,grocer_eta)

In example 1, function auto_stage0 is called with a 0.05 general significance level, a 0.9 elimination level and a 0.01 significance level for 5 specification tests. Example 2 is the call to function auto_satge0 in automatic (the most natural use). 

AUTHOR

Eric Dubois 2002