'Program for OLS reduction
'by Freddy Rojas 
'Universidad de Chile
'e-mail: frojasca@gmail.com
'last up date 09/25/2011

subroutine ols_reduction

MODE VER4
'---------------------------------------------------------------------------------
'dependent serie 
'%0="d(ltcr_m)"
'%0="serie1"

'Series in the right side
'%x1="resids_hat"
'%x2="serie1"

'lags
'!nr=10   'number of lags of variables in the right side
'!nc=2     'number of variables in the right side
'!ndum=0 'number of dummies, it must be less than !nr

'!nt=0 'put 1 if you want to include contemporaneous serie 

'dummies
'%xd1="dum0101"
'%xd2="dum0190"
'%xd3="dum0499"
'%xd4="dum8903"
'%xd5="dum9301"
'%xd6="dum9901"
'%xd7="resid_arch1"

'significance level
'!nsig=0.045
'------------------------------------------------------------------------------------

matrix(!nr+!nt,!nc+1) bv=NA 
for !c=1 to @columns(bv)-1
for !b=1 to @rows(bv)
bv(!b,!c)=!b-!nt
next
next

matrix(!nr+!nt,!nc+1) bv
for !b=1 to !ndum
bv(!b,!nc+1)=!b
next

!pc=0
!pr=0
!j=0
!q=0

for !rep=1 to (!nr+!nt)*!nc+!ndum
%xreg=" "
matrix df=bv
for !x=1 to !nc
	for !s=1-!nt to !nr

	!bv_aux=df(!s+!nt,!x)
	
	if  !bv_aux <> NA and !x<=9 then
		%xreg=%xreg+" %x"+@str(!x)+"(-"+@str(!s)+")"
		endif
	if  !bv_aux <> NA and !x>9 then
		%xreg=%xreg+" %xx"+@str(!x)+"(-"+@str(!s)+")"
		endif
	next
next

for !b=1 to !nr+!nt
if bv(!b,!nc+1) <> NA then
%xreg=%xreg+" %xd"+@str(!b)
endif
next

equation ols_aux.ls(n) %0 c {%xreg}
show ols_aux

!i=2
matrix(!nr+!nt,!nc+1) pvalue_ols
for !x=1 to !nc+1
	for !s=1 to !nr+!nt
	if 	df(!s,!x) <> NA then
	pvalue_ols(!s,!x)=2*(1-@ctdist(@abs(ols_aux.@coefs(!i)/ols_aux.@stderrs(!i)),@regobs-((!nr+!nt)*!nc+1+!ndum-!j)))
	!i=!i+1	
	else
	df(!s,!x)=NA
     pvalue_ols(!s,!x)=NA
	endif
	next 
next

!max_p=@max(pvalue_ols)

for !x=1 to !nc+1
		for !s=1 to !nr+!nt
		if pvalue_ols(!s,!x)=!max_p and  !max_p>!nsig then
		bv(!s,!x)=NA
			if !x=!nc+!ndum then
			!ndum=!ndum
			endif
		!pr=!s
		!pc=!x
		endif
		next
next

!j=!j+1

if !max_p<!nsig then 
delete bv df
freeze(Table_results_pvalue) pvalue_ols
stop
endif

next

endsub