
Ox Professional version 7.04 (Windows/U/MT) (C) J.A. Doornik, 1994-2014
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:        Lasso  termination:               SC
replications, M=         1000  time                     5.73

*** JEDC_EJ(rho=0.2)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                     11.2750
Potency (%)                   85.7800
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              4.2890
Insignificant (avg no)         6.0930
Insign. irrelevant (avg no)    1.8040
Signif. irrelevant (avg no)    0.0000
ESE final model                0.9762
ESE DGP                        0.9963
Final equals DGP (% reps)      7.3000
Final contains DGP (% reps)   46.1000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%       10.7000
F+DGP dominates DGP at 5%     40.9000
Both dominated at 5%           2.0000


         x1     x2     x3     x4     x5
Hits  100.0   99.7   95.4   78.2   55.6

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    2   20   79  152  212  171  121   96   60   41   22   13    6    2    1    0    0    2    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.40   4.50   1.10
ARCH(1)     9.10   4.40   1.10
Normality   9.30   3.70   1.10
Hetero      9.80   5.10   1.40
Chow(70%)  10.30   4.90   0.70
Joint      40.10  20.60   5.30

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       8.50   3.70   0.60
ARCH(1)     8.80   4.20   0.80
Normality   8.00   4.30   1.10
Hetero      9.80   5.50   1.40
Chow(70%)  11.10   5.70   1.00
Joint      38.50  21.10   4.70

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.60   5.40   0.80
ARCH(1)     7.60   4.00   0.90
Normality   8.30   4.40   1.00
Hetero      9.30   4.90   0.90
Chow(70%)  10.70   5.30   1.10
Joint      39.30  21.80   4.50

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:        Lasso  termination:               SC
replications, M=         1000  time                     5.84

*** JEDC_EJ(rho=0.8)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                     16.5313
Potency (%)                   76.9200
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              3.8460
Insignificant (avg no)         6.4910
Insign. irrelevant (avg no)    2.6450
Signif. irrelevant (avg no)    0.0000
ESE final model                0.9841
ESE DGP                        0.9958
Final equals DGP (% reps)      0.9000
Final contains DGP (% reps)   27.7000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%       13.2000
F+DGP dominates DGP at 5%     25.5000
Both dominated at 5%           1.2000


         x1     x2     x3     x4     x5
Hits   99.9   96.9   82.7   63.2   41.9

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0   11   30   65  120  160  152  134  124   85   51   31   13   15    3    3    2    1    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.00   5.90   1.30
ARCH(1)     9.30   4.50   1.10
Normality   8.80   4.50   1.00
Hetero      9.30   5.00   1.40
Chow(70%)  10.50   5.40   0.70
Joint      41.20  22.20   5.00

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      15.80   8.10   2.10
ARCH(1)     9.20   5.30   1.00
Normality   7.60   4.20   1.90
Hetero     10.40   5.90   2.20
Chow(70%)  10.10   5.10   1.20
Joint      42.60  24.20   7.50

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      19.30  12.70   3.20
ARCH(1)     8.40   3.80   0.90
Normality  10.10   5.10   1.50
Hetero     10.90   6.20   1.40
Chow(70%)  12.10   6.50   1.30
Joint      47.00  29.60   7.60

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:     Stepwise  termination:               SC
replications, M=         1000  time                     5.54

*** JEDC_EJ(rho=0.2)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                      4.4688
Potency (%)                   82.4600
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              4.1230
Insignificant (avg no)         4.8380
Insign. irrelevant (avg no)    0.7150
Signif. irrelevant (avg no)    0.0000
ESE final model                0.9835
ESE DGP                        0.9963
Final equals DGP (% reps)     16.4000
Final contains DGP (% reps)   31.5000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%        8.6000
F+DGP dominates DGP at 5%     37.5000
Both dominated at 5%           3.3000


         x1     x2     x3     x4     x5
Hits  100.0  100.0   94.7   73.5   44.1

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    6   92  299  364  157   66   14    2    0    0    0    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.40   4.50   1.10
ARCH(1)     9.10   4.40   1.10
Normality   9.30   3.70   1.10
Hetero      9.80   5.10   1.40
Chow(70%)  10.30   4.90   0.70
Joint      40.10  20.60   5.30

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       7.90   4.00   0.70
ARCH(1)     8.20   4.00   0.70
Normality   9.00   4.10   1.20
Hetero      9.60   6.40   2.00
Chow(70%)  10.20   5.70   0.70
Joint      37.30  21.30   5.10

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.60   5.40   0.80
ARCH(1)     7.60   4.00   0.90
Normality   8.30   4.40   1.00
Hetero      9.30   4.90   0.90
Chow(70%)  10.70   5.30   1.10
Joint      39.30  21.80   4.50

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:     Stepwise  termination:               SC
replications, M=         1000  time                     5.41

*** JEDC_EJ(rho=0.8)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                      5.6875
Potency (%)                   70.6200
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              3.5310
Insignificant (avg no)         4.4410
Insign. irrelevant (avg no)    0.9100
Signif. irrelevant (avg no)    0.0000
ESE final model                0.9833
ESE DGP                        0.9958
Final equals DGP (% reps)      7.0000
Final contains DGP (% reps)   11.5000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%        7.4000
F+DGP dominates DGP at 5%     33.9000
Both dominated at 5%           1.7000


         x1     x2     x3     x4     x5
Hits   99.4   95.1   77.7   51.2   29.7

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    1   17  149  409  276  105   34    6    3    0    0    0    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.00   5.90   1.30
ARCH(1)     9.30   4.50   1.10
Normality   8.80   4.50   1.00
Hetero      9.30   5.00   1.40
Chow(70%)  10.50   5.40   0.70
Joint      41.20  22.20   5.00

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.50   5.50   0.90
ARCH(1)     8.50   4.20   1.30
Normality   9.30   4.20   1.30
Hetero     10.80   5.70   1.70
Chow(70%)   8.90   4.90   1.20
Joint      39.60  21.90   5.90

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      19.30  12.70   3.20
ARCH(1)     8.40   3.80   0.90
Normality  10.10   5.10   1.50
Hetero     10.90   6.20   1.40
Chow(70%)  12.10   6.50   1.30
Joint      47.00  29.60   7.60

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:        Lasso  termination:           size=5
replications, M=         1000  time                     4.62

*** JEDC_EJ(rho=0.2)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                      5.4813
Potency (%)                   82.4600
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              4.1230
Insignificant (avg no)         5.0000
Insign. irrelevant (avg no)    0.8770
Signif. irrelevant (avg no)    0.0000
ESE final model                0.9898
ESE DGP                        0.9963
Final equals DGP (% reps)     26.3000
Final contains DGP (% reps)   26.3000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%       21.4000
F+DGP dominates DGP at 5%     29.0000
Both dominated at 5%           9.6000


         x1     x2     x3     x4     x5
Hits  100.0   99.6   93.9   75.5   43.3

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    0    0    0 1000    0    0    0    0    0    0    0    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.40   4.50   1.10
ARCH(1)     9.10   4.40   1.10
Normality   9.30   3.70   1.10
Hetero      9.80   5.10   1.40
Chow(70%)  10.30   4.90   0.70
Joint      40.10  20.60   5.30

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       9.20   4.50   0.90
ARCH(1)     8.20   4.00   0.60
Normality   9.20   4.10   1.20
Hetero     10.40   5.60   1.90
Chow(70%)  11.00   5.80   0.70
Joint      38.60  21.60   5.20

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.60   5.40   0.80
ARCH(1)     7.60   4.00   0.90
Normality   8.30   4.40   1.00
Hetero      9.30   4.90   0.90
Chow(70%)  10.70   5.30   1.10
Joint      39.30  21.80   4.50

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:        Lasso  termination:           size=5
replications, M=         1000  time                     4.60

*** JEDC_EJ(rho=0.8)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                     10.0500
Potency (%)                   67.8400
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              3.3920
Insignificant (avg no)         5.0000
Insign. irrelevant (avg no)    1.6080
Signif. irrelevant (avg no)    0.0000
ESE final model                1.0093
ESE DGP                        0.9958
Final equals DGP (% reps)      3.8000
Final contains DGP (% reps)    3.8000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%       40.6000
F+DGP dominates DGP at 5%     14.7000
Both dominated at 5%           5.9000


         x1     x2     x3     x4     x5
Hits   99.5   95.4   73.9   46.5   23.9

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    0    0    0 1000    0    0    0    0    0    0    0    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.00   5.90   1.30
ARCH(1)     9.30   4.50   1.10
Normality   8.80   4.50   1.00
Hetero      9.30   5.00   1.40
Chow(70%)  10.50   5.40   0.70
Joint      41.20  22.20   5.00

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.20   5.40   1.20
ARCH(1)     8.40   4.60   1.00
Normality   8.50   4.60   1.40
Hetero     11.60   5.50   1.80
Chow(70%)  10.30   5.50   1.00
Joint      40.30  21.80   5.70

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      19.30  12.70   3.20
ARCH(1)     8.40   3.80   0.90
Normality  10.10   5.10   1.50
Hetero     10.90   6.20   1.40
Chow(70%)  12.10   6.50   1.30
Joint      47.00  29.60   7.60

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:     Stepwise  termination:           size=5
replications, M=         1000  time                     5.32

*** JEDC_EJ(rho=0.2)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                      4.8000
Potency (%)                   84.6400
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              4.2320
Insignificant (avg no)         5.0000
Insign. irrelevant (avg no)    0.7680
Signif. irrelevant (avg no)    0.0000
ESE final model                0.9852
ESE DGP                        0.9963
Final equals DGP (% reps)     33.9000
Final contains DGP (% reps)   33.9000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%       10.1000
F+DGP dominates DGP at 5%     32.3000
Both dominated at 5%           8.5000


         x1     x2     x3     x4     x5
Hits  100.0  100.0   95.8   78.5   48.9

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    0    0    0 1000    0    0    0    0    0    0    0    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.40   4.50   1.10
ARCH(1)     9.10   4.40   1.10
Normality   9.30   3.70   1.10
Hetero      9.80   5.10   1.40
Chow(70%)  10.30   4.90   0.70
Joint      40.10  20.60   5.30

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       9.20   5.00   1.10
ARCH(1)     9.00   4.20   0.70
Normality   8.80   4.20   1.40
Hetero     10.00   5.80   1.30
Chow(70%)  10.40   6.20   0.60
Joint      38.30  23.00   4.90

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.60   5.40   0.80
ARCH(1)     7.60   4.00   0.90
Normality   8.30   4.40   1.00
Hetero      9.30   4.90   0.90
Chow(70%)  10.70   5.30   1.10
Joint      39.30  21.80   4.50

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:     Stepwise  termination:           size=5
replications, M=         1000  time                     5.28

*** JEDC_EJ(rho=0.8)
 M=1000 T=100 pvalue=0 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                      8.1250
Potency (%)                   74.0000
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              3.7000
Insignificant (avg no)         5.0000
Insign. irrelevant (avg no)    1.3000
Signif. irrelevant (avg no)    0.0000
ESE final model                0.9815
ESE DGP                        0.9958
Final equals DGP (% reps)     12.3000
Final contains DGP (% reps)   12.3000
Gauge (significant only)       0.0000
F+DGP dominates F at 5%        8.5000
F+DGP dominates DGP at 5%     32.6000
Both dominated at 5%           4.7000


         x1     x2     x3     x4     x5
Hits   99.7   96.0   82.1   57.8   34.4

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    0    0    0 1000    0    0    0    0    0    0    0    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.00   5.90   1.30
ARCH(1)     9.30   4.50   1.10
Normality   8.80   4.50   1.00
Hetero      9.30   5.00   1.40
Chow(70%)  10.50   5.40   0.70
Joint      41.20  22.20   5.00

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      11.50   6.20   1.20
ARCH(1)     9.10   4.30   1.20
Normality   8.60   3.80   1.10
Hetero     10.60   5.20   1.50
Chow(70%)   9.10   4.60   0.70
Joint      40.20  21.20   5.40

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      19.30  12.70   3.20
ARCH(1)     8.40   3.80   0.90
Normality  10.10   5.10   1.50
Hetero     10.90   6.20   1.40
Chow(70%)  12.10   6.50   1.30
Joint      47.00  29.60   7.60

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:  Autometrics
replications, M=         1000  time                    25.63
Autometrics settings
test form                LR-F  target size     Standard:0.05
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
lag presearch            lags  variable presearch         no
minimal p-value      0.111803  presearch p-value    0.333654
reduction    prune&chop&bunch  tree search          iterated
pruning p-value          0.05  squeeze p-value          0.01
chopping p-value     0.111803  bunching p-value     0.111803
Autometrics version      1.5g  block effort                1

*** JEDC_EJ(rho=0.2)
 M=1000 T=100 pvalue=0.05 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                      5.2813
Potency (%)                   85.2000
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              4.2600
Insignificant (avg no)         0.0420
Insign. irrelevant (avg no)    0.0370
Signif. irrelevant (avg no)    0.8080
ESE final model                0.9808
ESE DGP                        0.9963
Final equals DGP (% reps)     20.9000
Final contains DGP (% reps)   38.1000
Gauge (significant only)       5.0500
F+DGP dominates F at 5%        1.9000
F+DGP dominates DGP at 5%     35.7000
Both dominated at 5%           1.0000


         x1     x2     x3     x4     x5
Hits  100.0  100.0   96.2   79.5   50.3

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    3   60  279  368  151   86   30   17    5    0    1    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.40   4.50   1.10
ARCH(1)     9.10   4.40   1.10
Normality   9.30   3.70   1.10
Hetero      9.80   5.10   1.40
Chow(70%)  10.30   4.90   0.70
Joint      40.10  20.60   5.30

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       6.90   3.20   0.20
ARCH(1)     8.50   4.20   0.20
Normality   9.90   4.50   0.60
Hetero      9.70   5.80   0.00
Chow(70%)  10.20   5.40   0.30
Joint      37.40  20.50   1.30

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       7.90   4.30   0.40
ARCH(1)     8.00   4.00   0.60
Normality   9.00   4.10   0.70
Hetero     10.50   4.60   0.40
Chow(70%)  10.40   5.80   0.70
Joint      38.30  20.90   2.70

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:  Autometrics
replications, M=         1000  time                    31.26
Autometrics settings
test form                LR-F  target size     Standard:0.05
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
lag presearch            lags  variable presearch         no
minimal p-value      0.111803  presearch p-value    0.333654
reduction    prune&chop&bunch  tree search          iterated
pruning p-value          0.05  squeeze p-value          0.01
chopping p-value     0.111803  bunching p-value     0.111803
Autometrics version      1.5g  block effort                1

*** JEDC_EJ(rho=0.8)
 M=1000 T=100 pvalue=0.05 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                      6.3250
Potency (%)                   76.5400
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              3.8270
Insignificant (avg no)         0.0360
Insign. irrelevant (avg no)    0.0240
Signif. irrelevant (avg no)    0.9880
ESE final model                0.9790
ESE DGP                        0.9958
Final equals DGP (% reps)     13.1000
Final contains DGP (% reps)   21.4000
Gauge (significant only)       6.1750
F+DGP dominates F at 5%        3.6000
F+DGP dominates DGP at 5%     36.3000
Both dominated at 5%           1.2000


         x1     x2     x3     x4     x5
Hits   99.5   97.0   84.1   62.1   40.0

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    6  117  329  291  156   60   25   12    3    1    0    0    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.00   5.90   1.30
ARCH(1)     9.30   4.50   1.10
Normality   8.80   4.50   1.00
Hetero      9.30   5.00   1.40
Chow(70%)  10.50   5.40   0.70
Joint      41.20  22.20   5.00

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.30   5.00   0.40
ARCH(1)     7.70   3.50   0.40
Normality   9.20   5.30   0.60
Hetero     11.10   5.60   0.00
Chow(70%)   9.30   4.60   0.10
Joint      39.40  21.40   1.50

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      15.70   9.20   1.60
ARCH(1)     8.80   4.20   0.60
Normality   9.30   4.50   1.20
Hetero     10.40   4.90   0.60
Chow(70%)  11.10   6.00   0.80
Joint      43.60  25.10   4.50

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:  Autometrics
replications, M=         1000  time                    37.68
Autometrics settings
test form                LR-F  target size         User:0.11
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
lag presearch            lags  variable presearch         no
minimal p-value      0.191005  presearch p-value    0.507802
reduction    prune&chop&bunch  tree search          iterated
pruning p-value          0.11  squeeze p-value     0.0241228
chopping p-value     0.191005  bunching p-value     0.191005
Autometrics version      1.5g  block effort                1

*** JEDC_EJ(rho=0.2)
 M=1000 T=100 pvalue=0.11 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                     11.1062
Potency (%)                   89.5000
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              4.4750
Insignificant (avg no)         0.0300
Insign. irrelevant (avg no)    0.0280
Signif. irrelevant (avg no)    1.7490
ESE final model                0.9669
ESE DGP                        0.9963
Final equals DGP (% reps)     14.5000
Final contains DGP (% reps)   53.4000
Gauge (significant only)      10.9313
F+DGP dominates F at 5%        0.2000
F+DGP dominates DGP at 5%     50.0000
Both dominated at 5%           0.2000


         x1     x2     x3     x4     x5
Hits  100.0  100.0   97.7   86.0   63.8

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    0   16  114  241  242  176  102   66   29   11    2    0    1    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.40   4.50   1.10
ARCH(1)     9.10   4.40   1.10
Normality   9.30   3.70   1.10
Hetero      9.80   5.10   1.40
Chow(70%)  10.30   4.90   0.70
Joint      40.10  20.60   5.30

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       6.70   2.20   0.10
ARCH(1)     7.50   3.70   0.30
Normality   8.90   4.40   0.50
Hetero      9.30   5.40   0.00
Chow(70%)   9.90   5.00   0.40
Joint      36.30  18.80   1.30

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)       8.30   4.60   0.60
ARCH(1)     7.90   3.90   0.70
Normality   8.70   4.10   0.90
Hetero     10.20   4.90   0.60
Chow(70%)  10.00   5.20   0.70
Joint      38.30  20.90   3.40

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:  Autometrics
replications, M=         1000  time                    47.34
Autometrics settings
test form                LR-F  target size         User:0.15
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
lag presearch            lags  variable presearch         no
minimal p-value      0.241029  presearch p-value    0.583996
reduction    prune&chop&bunch  tree search          iterated
pruning p-value          0.15  squeeze p-value     0.0340909
chopping p-value     0.241029  bunching p-value     0.241029
Autometrics version      1.5g  block effort                1

*** JEDC_EJ(rho=0.8)
 M=1000 T=100 pvalue=0.15 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                     15.1875
Potency (%)                   80.9600
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              4.0480
Insignificant (avg no)         0.0320
Insign. irrelevant (avg no)    0.0280
Signif. irrelevant (avg no)    2.4020
ESE final model                0.9618
ESE DGP                        0.9958
Final equals DGP (% reps)      7.2000
Final contains DGP (% reps)   30.8000
Gauge (significant only)      15.0125
F+DGP dominates F at 5%        0.1000
F+DGP dominates DGP at 5%     52.3000
Both dominated at 5%           0.0000


         x1     x2     x3     x4     x5
Hits   99.8   97.3   88.0   69.0   50.7

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    1    5  109  219  219  198  113   66   49   14    3    4    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.00   5.90   1.30
ARCH(1)     9.30   4.50   1.10
Normality   8.80   4.50   1.00
Hetero      9.30   5.00   1.40
Chow(70%)  10.50   5.40   0.70
Joint      41.20  22.20   5.00

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.00   5.40   0.40
ARCH(1)     8.70   4.10   0.50
Normality  10.10   4.90   0.60
Hetero     10.30   5.20   0.00
Chow(70%)  10.20   5.00   0.20
Joint      40.60  21.60   1.70

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      17.10  10.60   2.00
ARCH(1)     8.70   4.40   0.80
Normality   9.70   5.10   1.40
Hetero      9.90   5.40   0.80
Chow(70%)  11.60   5.90   1.00
Joint      44.00  27.10   5.50

GUM for diagnostic testing is GUM0
PcFiml package version 1.02, object created on 22-07-2014

====================
Model selection:  Autometrics
replications, M=         1000  time                    46.24
Autometrics settings
test form                LR-F  target size          Huge:0.1
outlier detection          no  presearch reduction      lags
backtesting              GUM0  tie-breaker                SC
diagnostics p-value      0.01  search effort        standard
lag presearch            lags  variable presearch         no
minimal p-value      0.177828  presearch p-value    0.484986
reduction    prune&chop&bunch  tree search          iterated
pruning p-value           0.1  squeeze p-value     0.0217391
chopping p-value     0.177828  bunching p-value     0.177828
Autometrics version      1.5g  block effort                1

*** JEDC_EJ(rho=0.8)
 M=1000 T=100 pvalue=0.1 #insig=16 #sig=5 cp=22 cp_orig=22

Gauge (%)                     10.8938
Potency (%)                   79.2400
Replications, M=            1000.0000
GUM: relevant variables        5.0000
GUM: irrelevant variables     16.0000
GUM: no of variables          22.0000
Relevant (avg no)              3.9620
Insignificant (avg no)         0.0390
Insign. irrelevant (avg no)    0.0310
Signif. irrelevant (avg no)    1.7120
ESE final model                0.9682
ESE DGP                        0.9958
Final equals DGP (% reps)      9.7000
Final contains DGP (% reps)   26.9000
Gauge (significant only)      10.7000
F+DGP dominates F at 5%        0.5000
F+DGP dominates DGP at 5%     46.2000
Both dominated at 5%           0.4000


         x1     x2     x3     x4     x5
Hits   99.8   96.9   87.2   66.0   46.3

Model size
    0    1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20
    0    0    0    3   27  200  290  221  135   62   30   24    6    1    1    0    0    0    0    0    0


Diagnostic tests DGP rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      12.00   5.90   1.30
ARCH(1)     9.30   4.50   1.10
Normality   8.80   4.50   1.00
Hetero      9.30   5.00   1.40
Chow(70%)  10.50   5.40   0.70
Joint      41.20  22.20   5.00

Diagnostic tests Model rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      10.80   6.20   0.40
ARCH(1)     8.30   3.80   0.40
Normality   9.50   5.00   0.60
Hetero     10.70   5.40   0.00
Chow(70%)   9.10   4.80   0.20
Joint      39.60  22.20   1.50

Diagnostic tests GUM rejection(%)
          p=0.10 p=0.05 p=0.01
AR(2)      16.40   9.80   1.90
ARCH(1)     8.70   4.20   0.80
Normality   9.30   4.70   1.30
Hetero     10.00   5.20   0.70
Chow(70%)  11.00   5.60   0.90
Joint      43.10  25.80   5.20

GUM for diagnostic testing is GUM0
