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Extra resources for Applied Econometrics using MATLAB

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The marginal probabilities are calculated using a function tdis prb from the distributions library discussed in Chapter 9. This function returns the marginal probabilities given a vector of t−distributed random variates along with a degrees of freedom parameter. The code to print coefficient estimates, t-statistics and marginal probabilities is common to all regression printing procedures, so it makes sense to move it to the end of the ‘switchcase’ code and execute it once as shown below. We rely on the function mprint discussed in Chapter 3 to do the actual printing of the matrix of regression results with row and column labels specified as fields of a structure variable ‘in’.

These computations require use of the incomplete beta function which in turn draws on the log gamma function, both of which are computationally intensive routines. Most of the time (45%) was spent actually printing the output to the MATLAB command window which is done in the ‘for-loop’ at line #367. (Note that we replaced the call to the CHAPTER 2. ) One conclusion we should draw from these profiling results is that the design decision to place computation of the marginal probabilities for the tstatistics in the prt reg function instead of in the ols function makes sense.

Read in the sample data 2. perform any transformations or calculations necessary to form the set of explanatory variables and the dependent variable. 3. send the dependent and independent variables to the regression function for processing. 4. send the structure returned by the regression function to the prt or plt function to print or plot results. For specific examples of this canned format you can examine the demonstration files in the regression function library. In this section, we wish to go beyond simple demonstrations of the various estimation procedures to illustrate how the results structures can be useful in computing various econometric statistics and performing hypothesis tests based on regression results.

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