UCM Procedure

RANDOMREG Statement

RANDOMREG regressors </ options > ;

The RANDOMREG statement is used to specify regressors with time-varying regression coefficients. Each regression coefficient—for example, —is assumed to evolve as a random walk:

beta Subscript t Baseline equals beta Subscript t minus 1 Baseline plus eta Subscript t Baseline comma eta Subscript t Baseline tilde normal i normal i normal d upper N left parenthesis 0 comma sigma squared right parenthesis

Of course, if the random walk disturbance variance is 0, then the regression coefficient is not time-varying, and it reduces to the standard regression setting. There can be multiple RANDOMREG statements, and each statement can contain one or more regressors. The regressors in a given RANDOMREG statement form a group that is assumed to share the same disturbance variance parameter. The random walks associated with different regressors are assumed to be independent. For an example of using this statement, see Example 30.4. For additional information about how estimates are reported for this type of regressors, see the section Reporting Parameter Estimates for Random Regressors.

You can specify the following options:

NOEST: fixes the value of to the value specified in the VARIANCE= option.
PLOT=FILTER PLOT=SMOOTH PLOT=( <FILTER> <SMOOTH> ): plots the filtered or smoothed estimate of the time-varying regression coefficient.
PRINT=FILTER PRINT=SMOOTH PRINT=( <FILTER> <SMOOTH> ): prints the filtered or smoothed estimate of the time-varying regression coefficient.
VARIANCE=value: specifies an initial value for during the parameter estimation process. Any nonnegative value, including 0, is an acceptable starting value.

Last updated: November 24, 2025