L-1.2 is a program designed to deal with the specification of the functional form in the generalized single-equation regression model when the functional form of heteroskedasticity of the residuals, which may also be auto-correlated, is fully analysed. Fixed or estimated parameters in the Box-Cox transformations can be associated with the dependent and groups of independent variables, which may be simultaneously modified by a chosen autocorrelation structure in which the autoregressive parameters are estimated, and by a selected functional form of heteroskedasticity in which the different parameters can be either fixed or estimated. The asymptotic covariance matrix of all parameter estimates of the system is computed. A number of useful outputs, including elaborate statistics associated with forecasts and plots of the likelihood functions, can also be obtained. (Author/publisher)
Samenvatting