４つの頑健推定の結果の比較

OPTIONS DOUBLE;
FREQ M;
SMPL 1950:2 1990:12;
READ(FILE='mishkin.asc')YEAR MONTH PAI1 PAI3 TB1 TB3 CPI;
SMPL 1950:3 1990:12;
PAI=((CPI/CPI(-1))**12-1)*100;
R=TB1-PAI;
SMPL 1953:1 1971:7;
? 誤差項の不均一分散に頑健な、推定量の分散の推定量
?  S=1/nΣe_t^2 x_tx_t'
OLSQ(HCTYPE=0,ROBUSTSE) PAI C TB1;
?  S=1/(n-K)Σe_t^2 x_tx_t'
OLSQ(HCTYPE=1,ROBUSTSE) PAI C TB1;
?  S=1/n Σe_t^2/(1-h_{tt}) x_tx_t'
OLSQ(HCTYPE=2,ROBUSTSE) PAI C TB1;
?  S=1/n Σe_t^2/(1-h_{tt})^2 x_tx_t'
OLSQ(HCTYPE=3,ROBUSTSE) PAI C TB1;