Batch file run: D:\Documents\Books_other\Lund\code\19_06_dataz.fl
Batch file run: D:\Documents\Books_other\Lund\code\19_06_dataz.fl

Autometrics identification block search over regressors
no. initial regressors    504  no. of observations       139
significance level      0.001  block method         standard
extension effort     standard  reduction effort     standard
backtesting              GUM0  backtesting in      A,B,C1,D1

Free variables in the GUM:
 CONS         CONS         CONS         CONS         CONS         CONS         CONS        
 CONS         CONS         CONS         CONS         CONS         CONS         CONS        
 CONS         CONS         CONS         CONS         CONS         CONS         Constant    
 INC          INC          INC          INC          INC          INC          INC         
 INC          INC          INC          INC          INC          INC          INC         
 INC          INC          INC          INC          INC          INC          INC         
 INFLAT       INFLAT       INFLAT       INFLAT       INFLAT       INFLAT       INFLAT      
 INFLAT       INFLAT       INFLAT       INFLAT       INFLAT       INFLAT       INFLAT      
 INFLAT       INFLAT       INFLAT       INFLAT       INFLAT       INFLAT       INFLAT      
 OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT      
 OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT      
 OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT       OUTPUT      
 z0           z0           z0           z0           z0           z0           z0          
 z0           z0           z0           z0           z0           z0           z0          
 z0           z0           z0           z0           z0           z0           z0          
 z1           z1           z1           z1           z1           z1           z1          
 z1           z1           z1           z1           z1           z1           z1          
 z1           z1           z1           z1           z1           z1           z1          
 z2           z2           z2           z2           z2           z2           z2          
 z2           z2           z2           z2           z2           z2           z2          
 z2           z2           z2           z2           z2           z2           z2          
 z3           z3           z3           z3           z3           z3           z3          
 z3           z3           z3           z3           z3           z3           z3          
 z3           z3           z3           z3           z3           z3           z3          
 z4           z4           z4           z4           z4           z4           z4          
 z4           z4           z4           z4           z4           z4           z4          
 z4           z4           z4           z4           z4           z4           z4          
 z5           z5           z5           z5           z5           z5           z5          
 z5           z5           z5           z5           z5           z5           z5          
 z5           z5           z5           z5           z5           z5           z5          
 z6           z6           z6           z6           z6           z6           z6          
 z6           z6           z6           z6           z6           z6           z6          
 z6           z6           z6           z6           z6           z6           z6          
 z7           z7           z7           z7           z7           z7           z7          
 z7           z7           z7           z7           z7           z7           z7          
 z7           z7           z7           z7           z7           z7           z7          
 z8           z8           z8           z8           z8           z8           z8          
 z8           z8           z8           z8           z8           z8           z8          
 z8           z8           z8           z8           z8           z8           z8          
 z9           z9           z9           z9           z9           z9           z9          
 z9           z9           z9           z9           z9           z9           z9          
 z9           z9           z9           z9           z9           z9           z9          
 z10          z10          z10          z10          z10          z10          z10         
 z10          z10          z10          z10          z10          z10          z10         
 z10          z10          z10          z10          z10          z10          z10         
 z11          z11          z11          z11          z11          z11          z11         
 z11          z11          z11          z11          z11          z11          z11         
 z11          z11          z11          z11          z11          z11          z11         
 z12          z12          z12          z12          z12          z12          z12         
 z12          z12          z12          z12          z12          z12          z12         
 z12          z12          z12          z12          z12          z12          z12         
 z13          z13          z13          z13          z13          z13          z13         
 z13          z13          z13          z13          z13          z13          z13         
 z13          z13          z13          z13          z13          z13          z13         
 z14          z14          z14          z14          z14          z14          z14         
 z14          z14          z14          z14          z14          z14          z14         
 z14          z14          z14          z14          z14          z14          z14         
 z15          z15          z15          z15          z15          z15          z15         
 z15          z15          z15          z15          z15          z15          z15         
 z15          z15          z15          z15          z15          z15          z15         
 z16          z16          z16          z16          z16          z16          z16         
 z16          z16          z16          z16          z16          z16          z16         
 z16          z16          z16          z16          z16          z16          z16         
 z17          z17          z17          z17          z17          z17          z17         
 z17          z17          z17          z17          z17          z17          z17         
 z17          z17          z17          z17          z17          z17          z17         
 z18          z18          z18          z18          z18          z18          z18         
 z18          z18          z18          z18          z18          z18          z18         
 z18          z18          z18          z18          z18          z18          z18         
 z19          z19          z19          z19          z19          z19          z19         
 z19          z19          z19          z19          z19          z19          z19         
 z19          z19          z19          z19          z19          z19          z19         

A. Step 1: block search for omitted regressors
  significance          0.001  diagnostics             off
  no of blocks             12  blocked by         variable
- block  11 size= 41 total=  10  10 added
- block  10 size= 42 total=  28  18 added
- block   9 size= 42 total=  28
- block   8 size= 42 total=  28
- block   7 size= 42 total=  28
- block   6 size= 42 total=  28
- block   5 size= 42 total=  28
- block   4 size= 42 total=  49  21 added
- block   3 size= 42 total=  49
- block   2 size= 42 total=  68  19 added
- block   1 size= 42 total=  68
- block   0 size= 43 total=  69   1 added
A. Step 1 (continued): 
  significance         0.0005  diagnostics             off
  no of blocks             12  blocked by         variable
- block  11 size= 41 total=   6   6 added
- block  10 size= 42 total=  23  17 added
- block   9 size= 42 total=  23
- block   8 size= 42 total=  23
- block   7 size= 42 total=  23
- block   6 size= 42 total=  23
- block   5 size= 42 total=  23
- block   4 size= 42 total=  43  20 added
- block   3 size= 42 total=  43
- block   2 size= 42 total=  62  19 added
- block   1 size= 42 total=  62
- block   0 size= 43 total=  63   1 added
A. Step 1 (continued): 
  significance        0.00025  diagnostics             off
- block   0 size= 63 total=   8   8 added

A. Step 2: determination of new candidate set
  significance          0.001  diagnostics              on
- block   0 size=  8 total=   4 loglik=    -211.018 SC=     3.17822

              lag  sel count    sel run     in GUM
CONS            1          1          1          1
INC             0          1          1          1
INC             1          1          1          1
INFLAT          0          1          1          1


B. Step 1: block search for omitted regressors
  significance          0.001  diagnostics         delayed
  no of blocks             12  blocked by         variable
- block  11 size= 42 total=   4
- block  10 size= 45 total=   4
- block   9 size= 46 total=   4
- block   8 size= 46 total=   4
- block   7 size= 46 total=   4
- block   6 size= 46 total=   4
- block   5 size= 46 total=   4
- block   4 size= 46 total=   4
- block   3 size= 46 total=   4
- block   2 size= 46 total=   4
- block   1 size= 46 total=   4
- block   0 size= 47 total=   4

              lag  sel count    sel run     in GUM
CONS            1          2          2          1
INC             0          2          2          1
INC             1          2          2          1
INFLAT          0          2          2          1


C. Step 1: extended block search for omitted regressors
  significance          0.002  diagnostics         delayed
  no of blocks             12  blocked by         variable
- block  11 size= 42 total=   4
- block  10 size= 45 total=   4
- block   9 size= 46 total=   4
- block   8 size= 46 total=   4
- block   7 size= 46 total=   4
- block   6 size= 46 total=   4
- block   5 size= 46 total=   4
- block   4 size= 46 total=   4
- block   3 size= 46 total=   4
- block   2 size= 46 total=   4
- block   1 size= 46 total=   4
- block   0 size= 47 total=   4

C. Step 2: determination of new candidate set
  significance          0.001  diagnostics              on
- block   0 size=  4 total=   4 loglik=    -211.018 SC=     3.17822

              lag  sel count    sel run     in GUM
CONS            1          2          3          1
INC             0          2          3          1
INC             1          2          3          1
INFLAT          0          2          3          1


D. Step 1: extended block search for omitted regressors
  significance          0.004  diagnostics         delayed
  no of blocks             12  blocked by         variable
- block  11 size= 42 total=   4
- block  10 size= 45 total=   4
- block   9 size= 46 total=   4
- block   8 size= 46 total=   4
- block   7 size= 46 total=   4
- block   6 size= 46 total=   4
- block   5 size= 46 total=   4
- block   4 size= 46 total=   4
- block   3 size= 46 total=   4
- block   2 size= 46 total=   4
- block   1 size= 46 total=   4
- block   0 size= 47 total=   4

              lag  sel count    sel run     in GUM
CONS            1          3          4          1
INC             0          3          4          1
INC             1          3          4          1
INFLAT          0          3          4          1


Block search complete, estimated 4385 models in  2.04
- final block size=  4 regs=  4 total=   4 loglik=    -211.018

GUM( 9) Modelling CONS by OLS
        The dataset is: D:\Documents\Books_other\Lund\code\dataz.in7
        The estimation sample is: 1958(1) - 1992(3)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
CONS_1               0.833239    0.02358     35.3  0.0000   0.9024
INC                  0.493821    0.02885     17.1  0.0000   0.6846
INC_1               -0.328227    0.03303    -9.94  0.0000   0.4224
INFLAT              -0.971693    0.08996    -10.8  0.0000   0.4636

sigma                  1.1205  RSS                169.494648
log-likelihood       -211.018
no. of observations       139  no. of parameters           4
mean(CONS)            874.043  se(CONS)              13.3822

AR 1-5 test:      F(5,130)  =  0.89420 [0.4871]  
ARCH 1-4 test:    F(4,131)  =  0.84754 [0.4975]  
Normality test:   Chi^2(2)  =  0.50664 [0.7762]  
Hetero test:      F(8,130)  =  0.83646 [0.5722]  
Chow test:        F(41,94)  =   1.1999 [0.2332]   for break after 1982(2)


---------- Autometrics: dimensions of initial GUM ----------
no. of observations       139  no. of parameters           4
no. free regressors (k1)    4  no. free components (k2)    0
no. of equations            1  no. diagnostic tests        5

[0.2] Presearch reduction of initial GUM

Starting closed lag reduction at 0.01991
Removing lags(#regressors): none

Starting common lag reduction at 0.01991
Removing lags(#regressors): none

Starting common lag reduction at 0.01991 (excluding lagged y's)
Removing lags(#regressors): none

Presearch reduction in opposite order

Starting common lag reduction at 0.01991 (excluding lagged y's)
Removing lags(#regressors): none

Starting common lag reduction at 0.01991
Removing lags(#regressors): none

Starting closed lag reduction at 0.01991
Removing lags(#regressors): none

Encompassing test against initial GUM (iGUM) removes: none

Presearch reduction: none removed

[0.3] Testing GUM 0:  LRF( 4) [0.0000] kept

[1.0] Start of Autometrics tree search

[2.0] Selection of final model from terminal candidates: terminal 0

p-values in Final GUM and terminal model(s)
                 Final GUM
CONS_1          0.00000000
INC             0.00000000
INC_1           0.00000000
INFLAT          0.00000000
k                        4
parameters               4
loglik             -211.02
AIC                 3.0938
HQ                  3.1281
SC                  3.1782

coefficients and diagnostic p-values in Final GUM and terminal model(s)
                 Final GUM
CONS_1             0.83324
INC                0.49382
INC_1             -0.32823
INFLAT            -0.97169
k                        4
parameters               4
loglik             -211.02
sigma               1.1205
AR(5)              0.48712
ARCH(4)            0.49754
Normality          0.77622
Hetero             0.57217
Chow(70%)          0.23321

p-values of diagnostic checks for model validity
          Initial GUM     cut-off   Final GUM     cut-off Final model
AR(5)         0.48712     0.01000     0.48712     0.01000     0.48712
ARCH(4)       0.49754     0.01000     0.49754     0.01000     0.49754
Normality     0.77622     0.01000     0.77622     0.01000     0.77622
Hetero        0.57217     0.01000     0.57217     0.01000     0.57217
Chow(70%)     0.23321     0.01000     0.23321     0.01000     0.23321


Summary of Autometrics search
initial search space      2^4  final search space        2^4
no. estimated models        2  no. terminal models         0
test form                LR-F  target size        Tiny:0.001
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
time                     2.08  Autometrics version      1.5e

EQ(10) Modelling CONS by OLS
       The dataset is: D:\Documents\Books_other\Lund\code\dataz.in7
       The estimation sample is: 1958(1) - 1992(3)

                  Coefficient  Std.Error  t-value  t-prob Part.R^2
CONS_1               0.833239    0.02358     35.3  0.0000   0.9024
INC                  0.493821    0.02885     17.1  0.0000   0.6846
INC_1               -0.328227    0.03303    -9.94  0.0000   0.4224
INFLAT              -0.971693    0.08996    -10.8  0.0000   0.4636

sigma                  1.1205  RSS                169.494648
log-likelihood       -211.018
no. of observations       139  no. of parameters           4
mean(CONS)            874.043  se(CONS)              13.3822

AR 1-5 test:      F(5,130)  =  0.89420 [0.4871]  
ARCH 1-4 test:    F(4,131)  =  0.84754 [0.4975]  
Normality test:   Chi^2(2)  =  0.50664 [0.7762]  
Hetero test:      F(8,130)  =  0.83646 [0.5722]  
Hetero-X test:    F(14,124) =  0.93069 [0.5283]  
RESET23 test:     F(2,133)  =   3.3090 [0.0396]* 
