Command Language

Updated Object List

Alpha

Alpha Views

freq -way contingency table. (new)

Equation

Equation Methods

arch autoregressive conditional heteroskedasticity (ARCH and GARCH). (updated)

ardl least squares with autoregressive distributed lags. (updated)

enet elastic net regression (including Lasso and ridge regression). (updated)

varsel equation estimation using least squares with variable selection (uni-directional, stepwise, swapwise, combinatorial, Auto-GETS, Lasso). (updated)

Equation Views

coefpath display graphs of the paths of the coefficients plotted against lambda, fit measures, and estimation values in elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

cvgraph display a graph of the cross-validation objective against the lambda path for elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

fitoutliers detect outliers in the residuals or regressors of the equation. (new)

icgraph display a graph of the selection criterion for the top 20 models as determined by model selection during estimation. (updated)

ictable display a table of the log-likelihood and selection criteria for the top 20 models as determined by model selection during estimation.(updated)

lambdacoefs display the spreadsheet of the matrix of coefficient values along the lambda path in elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

lambdaest display the table showing various values associated with estimation along the lambda path in elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

lambdafit display the table showing various fit statistics associated with estimates along the lambda path in elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

lambdapath display graphs of lambda against various fit and estimation measures in elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

modselgraph display a graph of the selection criteria for the top 20 models for elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

modseltable display a table of the selection criteria and measures associated with the estimation and model selection of elastic net, ridge, Lasso, and variable selection using Lasso models. (new)

qrcrprocess displays a spool object producing a quantile process of the cointegrating relation. (new)

qrecprocess displays a spool object producing a quantile process for each of the conditional error correction and error correction coefficients. (new)

Equation Data Members

@cvconverge Elastic net path cross-validation convergence test values (lambda values in rows; lambda in first column, training-test sample results in remaining columns).

@cvisvalid Elastic net path cross-validation valid results indicators (lambda values in rows; lambda in first column, training-test sample results in remaining columns).

@cviters Elastic net path cross-validation iterations (lambda values in rows; lambda in first column, training-test sample results in columns).

@cvobjective Elastic net path cross-validation objective values (lambda values in rows; lambda in first column, training-test sample results in remaining columns).

@modselresults Elastic net path model selection summary (lambda values in rows; lambda in first column, followed by model selection objective, number of non-zero coefficients, and the fit statistics (sum-of-squared residuals, mean-square error, R-squared, and adjusted R-squared) associated with the estimated model.

@lambdacoefs Elastic net lambda path coefficients matrix (lambda values in rows; variables in columns). Full set of variables including those with zero coefficients along the path.

@lambdaest Elastic net lambda path estimation measures matrix (lambda values in rows; columns contain the lambda values, number of non-zero coefficients, estimation objective, sums-of-squares portion of the objective, portion of the objective, portion of the objective).

@lambdafit Elastic net lambda path fit measures matrix (lambda values in rows; columns contain the lambda values, number of non-zero coefficients, R-squared, adjusted R-squared, and sums-of-squared residuals).

@lambdapath Elastic net lambda path vector.

Group

Group Views

freq -way contingency table. (updated)

stats descriptive statistics for each series in the group. (updated)

testbtw tests of equality for mean, median, or variance between series in group. (new)

Group Procs

distdata save a matrix containing distribution plot data computed from the group. (new)

resample resample from series in the group. (new)

Matrix

Matrix Views

freq -way contingency table. (new)

stats descriptive statistics for each column of the matrix. (updated)

testbtw tests of equality for mean, median, or variance between series in group. (new)

Matrix Procs

distdata save a matrix containing distribution plot data computed from the matrix.

resample resample from rows of the matrix .

Matrix Data Members

@icol(arg) Returns the indices for the columns defined by arg where arg is a string or svector of strings. The strings correspond to column labels so that arg = "2" specifies the first column labeled “2”.

@irow(arg) Returns the indices for the rows defined by arg where arg is a string or svector of strings. The strings correspond to row labels so that arg = "2" specifies the first row labeled “2”.

Model

Model Procs

Rowvector

Rowvector Views

edftest empirical distribution function tests. (new)

freq one-way tabulation. (new)

hist descriptive statistics and histogram. (new)

stats descriptive statistics of the elements of the rowvector. (updated)

teststat simple hypothesis tests. (new)

Rowvector Procs

distdata save a matrix containing distribution plot data computed from the rowvector. (new)

Rowvector Data Members

@icol(arg) Returns the indices for the columns defined by arg where arg is a string or svector of strings. The strings correspond to column labels so that arg = "2" specifies the first column labeled “2”.

Series

Series View

bubbletest perform tests on the existence of a bubble in the series. (new)

changepoints perform tests on a change in the location parameter (mean) of the series. (new)

edftest empirical distribution function tests. (updated)

freq one-way tabulation. (updated)

hist descriptive statistics and histogram. (updated)

outliers detect outlying observations. (new)

statby statistics by classification. (updated)

stats descriptive statistics of the data in the series.(updated)

testby equality test by classification. (updated)

teststat simple hypothesis tests. (updated)

trendtests perform tests on the existence of a trend in the series. (new)

Series Procs

classify recode vector into classes defined by a grid, specified limits, or quantiles.(new)

distdata save a matrix containing distribution plot data computed from the series.(new)

hpf Hodrick-Prescott filter. (updated)

jdemetra executes the JDemetra+ seasonal adjustment routine on the series.(new)

prophet performs Facebook’s Prophet forecasting on the underlying series.(new)

Svector

Svector Views

freq one-way tabulation. (new)

Svector Values

@irow(arg) Returns the indices for the rows defined by arg where arg is a string or svector of strings. The strings correspond to row labels so that arg = "2" specifies the first row labeled “2”.

Sym

Sym Data Members

@icol(arg) Returns the indices for the columns defined by arg where arg is a string or svector of strings. The strings correspond to column labels so that arg = "2" specifies the first column labeled “2”.

@irow(arg) Returns the indices for the rows defined by arg where arg is a string or svector of strings. The strings correspond to row labels so that arg = "2" specifies the first row labeled “2”.

Var

Var Views

impulse impulse response functions. (updated)

vdecomp variance decomposition. (updated)

Vector

Vector Views

edftest empirical distribution function tests.(new)

freq one-way tabulation.(new)

hist descriptive statistics and histogram.(new)

statby statistics by classification.(new)

stats descriptive statistics of the elements of the vector.(new)

testby equality test by classification.(new)

teststat simple hypothesis tests.(new)

Vector Procs

classify recode vector into classes defined by a grid, specified limits, or quantiles.(new)

distdata save a matrix containing distribution plot data computed from the vector.(new)

Vector Data Members

Updated Function List

Mathematical and Statistical Functions

@gammainc Incomplete gamma function. (updated)

@imax Index of maximum value. (updated)

@imaxes Indices of maximum value (multiple). (new)

@imin Index of minimum value. (updated)

@imins Indices of minimum value (multiple). (new)

@logit Logistic transform. (updated)

@maxes Maximum values (multiple). (new)

@mins Minimum values (multiple). (new)

@mmedian Trailing moving median (ignore NAs). (new)

@movmedian Trailing moving median (propagate NAs). (new)

@valcount Number of matching values. (new)

String Functions

• Existing string functions have been enhanced to support vector arguments.

@winsert Insert string into string after word. (new)

Date Functions

• Existing string functions have been enhanced to support vector arguments.

Matrix Functions

@cvalcount Count of matching values in each column.

@ebtw Element by element test for whether values are between two other values. (new)

@implodeu Creates sym from upper triangle of square matrix. (new)

@incr Increment the columns or rows of a matrix using a vector or rowvector. (new)

@lower Lowercase representation of a string, or lower triangular matrix of a matrix. (updated)

@upper Uppercase representation of a string; or upper triangular matrix of a matrix. (updated)