The trading-day regression results (tables B15 and C15) are written to the OUTTDR= data set, which contains the following variables:
VARNAME
, a character variable containing the name of the VAR variable being processed
TABLE
, a character variable containing the name of the table. It can have only the value B15 (Preliminary Trading-Day Regression)
or C15 (Final Trading-Day Regression).
_TYPE_
, a character variable whose value distinguishes the three distinct table format types. These types are (a) the regression,
(b) the listing of the standard error associated with length-of-month, and (c) the analysis of variance. The first seven observations
in the OUTTDR data set correspond to the regression on days of the week; thus the _TYPE_ variable is given the value “REGRESS” (day-of-week regression coefficient). The next four observations correspond to 31-, 30-, 29-, and 28-day months and are given
the value _TYPE_=LOM_STD (length-of-month standard errors). Finally, the last three observations correspond to the analysis
of variance table, and _TYPE_=ANOVA.
PARM
, a character variable, further identifying the nature of the observation. PARM is set to blank for the three _TYPE_=ANOVA
observations.
SOURCE
, a character variable containing the source in the regression. This variable is missing for all _TYPE_=REGRESS and LOM_STD.
CWGT
, a numeric variable containing the combined trading-day weight (prior weight + weight found from regression). The variable
is missing for all _TYPE_=LOM_STD and _TYPE_=ANOVA.
PRWGT
, a numeric variable containing the prior weight. The prior weight is 1.0 if PDWEIGHTS are not specified. This variable is
missing for all _TYPE_=LOM_STD and _TYPE_=ANOVA.
COEFF
, a numeric variable containing the calculated regression coefficient for the given day. This variable is missing for all
_TYPE_=LOM_STD and _TYPE_=ANOVA.
STDERR
, a numeric variable containing the standard errors. For observations with _TYPE_=REGRESS, this is the standard error corresponding
to the regression coefficient. For observations with _TYPE_=LOM_STD, this is standard error for the corresponding length-of-month.
This variable is missing for all _TYPE_=ANOVA.
T1
, a numeric variable containing the t statistic corresponding to the test that the combined weight is different from the prior weight. This variable is missing
for all _TYPE_=LOM_STD and _TYPE_=ANOVA.
T2
, a numeric variable containing the t statistic corresponding to the test that the combined weight is different from 1.0. This variable is missing for all _TYPE_=LOM_STD
and _TYPE_=ANOVA.
PROBT1
, a numeric variable containing the significance level for t statistic T1. The variable is missing for all _TYPE_=LOM_STD and _TYPE_=ANOVA.
PROBT2
, a numeric variable containing the significance level for t statistic T2. The variable is missing for all _TYPE_=LOM_STD and _TYPE_=ANOVA.
SS
, a numeric variable containing the sum of squares associated with the corresponding source term. This variable is missing
for all _TYPE_=REGRESS and LOM_STD.
DF
, a numeric variable containing the degrees of freedom associated with the corresponding source term. This variable is missing
for all _TYPE_=REGRESS and LOM_STD.
MS
, a numeric variable containing the mean square associated with the corresponding source term. This variable is missing for
the source term 'Total' and for all _TYPE_=REGRESS and LOM_STD.
F
, a numeric variable containing the F statistic for the 'Regression' source term. The variable is missing for the source terms 'Total' and 'Error', and for all
_TYPE_=REGRESS and LOM_STD.
PROBF
, a numeric variable containing the significance level for the F statistic. This variable is missing for the source term 'Total' and 'Error' and for all _TYPE_=REGRESS and LOM_STD.