static void arma_init_transcribe_coeffs (arma_info *ainfo,
MODEL *pmod, double *b)
{
int q0 = ainfo->ifc + ainfo->np + ainfo->P;
int totq = ainfo->nq + ainfo->Q;
int i, j = 0;
for (i=0; i<pmod->ncoeff; i++) {
if (i == q0 && totq > 0) {
/* reserve space for MA terms */
j += totq;
}
if (j < ainfo->nc) {
b[j++] = pmod->coeff[i];
}
}
if (arma_xdiff(ainfo) && ainfo->ifc) {
/* is this a good idea? */
b[0] /= ainfo->T;
}
/* insert near-zeros for MA terms */
for (i=0; i<totq; i++) {
b[q0 + i] = 0.0001;
}
}
static int hr_transcribe_coeffs (arma_info *ainfo,
MODEL *pmod, double *b)
{
const double *theta = NULL;
const double *Theta = NULL;
int j = ainfo->nexo + ainfo->ifc;
int i, k = 0;
int err = 0;
if (ainfo->ifc) {
b[0] = pmod->coeff[0];
if (arma_xdiff(ainfo)) {
b[0] /= ainfo->T;
}
k = 1;
}
for (i=0; i<ainfo->p; i++) {
if (AR_included(ainfo, i)) {
b[k++] = pmod->coeff[j++];
}
}
for (i=0; i<ainfo->P; i++) {
b[k++] = pmod->coeff[j];
j += ainfo->np + 1; /* assumes ainfo->p < pd */
}
theta = pmod->coeff + j;
for (i=0; i<ainfo->q; i++) {
if (MA_included(ainfo, i)) {
b[k++] = pmod->coeff[j++];
}
}
Theta = pmod->coeff + j;
for (i=0; i<ainfo->Q; i++) {
b[k++] = pmod->coeff[j];
j += ainfo->nq + 1; /* assumes ainfo->q < pd */
}
j = ainfo->ifc;
for (i=0; i<ainfo->nexo; i++) {
b[k++] = pmod->coeff[j++];
}
/* check MA values? */
if (ainfo->q > 0 || ainfo->Q > 0) {
err = ma_out_of_bounds(ainfo, theta, Theta);
bounds_checker_cleanup();
}
return err;
}
static int arma_init_build_dataset (arma_info *ainfo,
int ptotal, int narmax,
const int *list,
const DATASET *dset,
DATASET *aset,
int nonlin)
{
double **aZ = aset->Z;
const double *y;
const gretl_matrix *X = NULL;
int i, j, k, kx, ky;
int t, s, k0 = 2;
int undo_diff = 0;
int xstart;
int err = 0;
if (arima_levels(ainfo)) {
/* we'll need differences for initialization */
err = arima_difference(ainfo, dset, 1);
if (err) {
return err;
}
undo_diff = 1;
y = ainfo->y;
X = ainfo->dX;
} else if (arma_xdiff(ainfo)) {
/* run init in levels (FIXME?) */
y = dset->Z[ainfo->yno];
} else {
y = ainfo->y;
}
/* add variable names to auxiliary dataset */
arma_init_add_varnames(ainfo, ptotal, narmax, aset);
/* starting position for reading exogeneous vars */
if (ainfo->d > 0 || ainfo->D > 0) {
xstart = (arma_has_seasonal(ainfo))? 10 : 6;
} else {
xstart = (arma_has_seasonal(ainfo))? 8 : 5;
}
/* set "local" globals */
xlist = list + xstart;
for (t=0; t<aset->n; t++) {
int realt = t + ainfo->t1;
int miss = 0;
if (ainfo->yscale != 1.0 && !na(y[realt])) {
aZ[1][t] = y[realt] * ainfo->yscale;
} else {
aZ[1][t] = y[realt];
}
k = k0;
kx = ptotal + ainfo->nexo + k0;
for (i=0; i<ainfo->p; i++) {
if (!AR_included(ainfo, i)) {
continue;
}
s = realt - (i + 1);
if (s < 0) {
miss = 1;
aZ[k++][t] = NADBL;
for (j=0; j<narmax; j++) {
aZ[kx++][t] = NADBL;
}
} else {
aZ[k][t] = y[s];
if (ainfo->yscale != 1.0 && !na(y[s])) {
aZ[k][t] *= ainfo->yscale;
}
k++;
for (j=0; j<narmax; j++) {
aZ[kx++][t] = get_xti(dset, j, s, X);
}
}
}
ky = ainfo->np + ainfo->P + k0;
for (j=0; j<ainfo->P; j++) {
s = realt - (j + 1) * ainfo->pd;
k = ainfo->np + k0 + j;
if (s < 0) {
miss = 1;
aZ[k][t] = NADBL;
for (k=0; k<narmax; k++) {
aZ[kx++][t] = NADBL;
}
} else {
aZ[k][t] = y[s];
if (ainfo->yscale != 1.0 && !na(y[s])) {
aZ[k][t] *= ainfo->yscale;
}
for (k=0; k<narmax; k++) {
aZ[kx++][t] = get_xti(dset, k, s, X);
}
}
for (i=0; i<ainfo->p; i++) {
if (!AR_included(ainfo, i)) {
continue;
}
s = realt - ((j + 1) * ainfo->pd + (i + 1));
if (s < 0) {
miss = 1;
aZ[ky++][t] = NADBL;
for (k=0; k<narmax; k++) {
aZ[kx++][t] = NADBL;
}
} else {
aZ[ky][t] = y[s];
if (ainfo->yscale != 1.0 && !na(y[s])) {
aZ[ky][t] *= ainfo->yscale;
}
ky++;
for (k=0; k<narmax; k++) {
aZ[kx++][t] = get_xti(dset, k, s, X);
}
}
}
}
kx = ptotal + k0;
for (i=0; i<ainfo->nexo; i++) {
aZ[kx++][t] = get_xti(dset, i, realt, X);
}
if (miss) {
aset->t1 = t + 1;
}
}
if (nonlin && arma_missvals(ainfo)) {
err = arma_init_add_dummies(ainfo, aset);
}
if (undo_diff) {
arima_difference_undo(ainfo, dset);
}
#if AINIT_DEBUG
fprintf(stderr, "arma init dataset:\n");
for (i=0; i<aset->v; i++) {
fprintf(stderr, "var %d '%s', obs[0] = %g\n", i, aset->varname[i],
aset->Z[i][0]);
}
#endif
return err;
}
static int real_hr_arma_init (double *coeff, const DATASET *dset,
arma_info *ainfo, PRN *prn)
{
const int *list = ainfo->alist;
int np = ainfo->p, nq = ainfo->q;
int nP = ainfo->P, nQ = ainfo->Q;
int ptotal = np + nP + np * nP;
int qtotal = nq + nQ + nq * nQ;
int nexo = ainfo->nexo;
int pass1lags, pass1v;
const double *y;
DATASET *aset = NULL;
int *pass1list = NULL;
int *pass2list = NULL;
int *arlags = NULL;
int *malags = NULL;
MODEL armod;
int xstart;
int m, pos, s;
int i, j, t;
int err = 0;
pass1lags = (ainfo->Q + ainfo->P) * dset->pd;
if (pass1lags < HR_MINLAGS) {
pass1lags = HR_MINLAGS;
}
pass1v = pass1lags + nexo + 2;
/* dependent variable */
if (arma_xdiff(ainfo)) {
/* for initialization, use the level of y */
y = dset->Z[ainfo->yno];
} else {
y = ainfo->y;
}
aset = create_auxiliary_dataset(pass1v + qtotal, ainfo->T, 0);
if (aset == NULL) {
return E_ALLOC;
}
#if AINIT_DEBUG
fprintf(stderr, "hr_arma_init: dataset allocated: %d vars, %d obs\n",
pass1v + qtotal, ainfo->T);
#endif
/* in case we bomb before estimating a model */
gretl_model_init(&armod, dset);
/* Start building stuff for pass 1 */
pass1list = gretl_list_new(pass1v);
if (pass1list == NULL) {
err = E_ALLOC;
goto bailout;
}
pass1list[1] = 1;
pass1list[2] = 0;
for (i=2; i<pass1v; i++) {
pass1list[i+1] = i;
}
/* variable names */
strcpy(aset->varname[1], "y");
for (i=0; i<nexo; i++) {
/* exogenous vars */
sprintf(aset->varname[i+1], "x%d", i);
}
for (i=1; i<=pass1lags; i++) {
/* lags */
sprintf(aset->varname[i+1+nexo], "y_%d", i);
}
/* Fill the dataset with the data for pass 1 */
/* starting position for reading exogeneous vars */
if (ainfo->d > 0 || ainfo->D > 0) {
xstart = (arma_has_seasonal(ainfo))? 10 : 6;
} else {
xstart = (arma_has_seasonal(ainfo))? 8 : 5;
}
for (t=0; t<ainfo->T; t++) {
s = t + ainfo->t1;
aset->Z[1][t] = y[s];
for (i=0, pos=2; i<nexo; i++) {
m = list[xstart + i];
aset->Z[pos++][t] = dset->Z[m][s];
}
for (i=1; i<=pass1lags; i++) {
s = t + ainfo->t1 - i;
aset->Z[pos++][t] = (s >= 0)? y[s] : NADBL;
}
}
/* pass 1 proper */
armod = lsq(pass1list, aset, OLS, OPT_A);
if (armod.errcode) {
err = armod.errcode;
goto bailout;
}
#if AINIT_DEBUG
fprintf(stderr, "pass1 model: t1=%d, t2=%d, nobs=%d, ncoeff=%d, dfd = %d\n",
armod.t1, armod.t2, armod.nobs, armod.ncoeff, armod.dfd);
#endif
/* allocations for pass 2 */
if (qtotal > 0) {
malags = malloc(qtotal * sizeof *malags);
if (malags == NULL) {
err = E_ALLOC;
} else {
for (i=0, pos=0; i<nq; i++) {
malags[pos++] = i+1;
}
for (i=0; i<ainfo->Q; i++) {
for (j=0; j<=nq; j++) {
malags[pos++] = (i+1) * dset->pd + j;
}
}
}
}
if (ptotal > 0 && !err) {
arlags = malloc(ptotal * sizeof *arlags);
if (arlags == NULL) {
err = E_ALLOC;
} else {
for (i=0, pos=0; i<np; i++) {
arlags[pos++] = i+1;
}
for (i=0; i<ainfo->P; i++) {
for (j=0; j<=np; j++) {
arlags[pos++] = (i+1) * dset->pd + j;
}
}
}
}
if (!err) {
pass2list = gretl_list_new(2 + nexo + ptotal + qtotal);
if (pass2list == NULL) {
err = E_ALLOC;
}
}
/* handle error in pass2 allocations */
if (err) {
goto bailout;
}
/* stick lagged residuals into temp dataset */
pos = pass1v;
for (i=0; i<qtotal; i++) {
sprintf(aset->varname[pos], "e_%d", malags[i]);
for (t=0; t<ainfo->T; t++) {
s = t - malags[i];
aset->Z[pos][t] = (s >= 0)? armod.uhat[s] : NADBL;
}
pos++;
}
/* compose pass 2 regression list */
for (i=1, pos=1; i<=nexo+2; i++) {
pass2list[pos++] = pass1list[i];
}
for (i=0; i<ptotal; i++) {
/* FIXME? */
if (AR_included(ainfo,i)) {
pass2list[pos++] = arlags[i] + nexo + 1;
}
}
for (i=0; i<qtotal; i++) {
/* FIXME? */
if (MA_included(ainfo,i)) {
pass2list[pos++] = pass1v + i;
}
}
/* now do pass2 */
clear_model(&armod);
armod = lsq(pass2list, aset, OLS, OPT_A);
if (armod.errcode) {
err = armod.errcode;
} else {
#if AINIT_DEBUG
PRN *modprn = gretl_print_new(GRETL_PRINT_STDERR, NULL);
printmodel(&armod, aset, OPT_S, modprn);
gretl_print_destroy(modprn);
#endif
err = hr_transcribe_coeffs(ainfo, &armod, coeff);
if (!err && arma_exact_ml(ainfo) &&
ainfo->ifc && ainfo->nexo == 0) {
transform_arma_const(coeff, ainfo);
}
}
#if AINIT_DEBUG
if (!err) {
fprintf(stderr, "HR init:\n");
for (i=0; i<ainfo->nc; i++) {
fprintf(stderr, "coeff[%d] = %g\n", i, coeff[i]);
}
}
#endif
bailout:
free(pass1list);
free(pass2list);
free(arlags);
free(malags);
destroy_dataset(aset);
clear_model(&armod);
if (!err && prn != NULL) {
pprintf(prn, "\n%s: %s\n\n", _("ARMA initialization"),
_("Hannan-Rissanen method"));
}
return err;
}
int arima_difference (arma_info *ainfo, const DATASET *dset,
int fullX)
{
const double *y = dset->Z[ainfo->yno];
double *dy = NULL;
int *delta = NULL;
int s = ainfo->pd;
int k, t, t1 = 0;
int err = 0;
#if ARMA_DEBUG
fprintf(stderr, "doing arima_difference: d = %d, D = %d\n",
ainfo->d, ainfo->D);
fprintf(stderr, "ainfo->t1 = %d, ainfo->t2 = %d\n", ainfo->t1,
ainfo->t2);
#endif
/* note: dy is a full length series (dset->n) */
dy = malloc(dset->n * sizeof *dy);
if (dy == NULL) {
return E_ALLOC;
}
delta = arima_delta_coeffs(ainfo->d, ainfo->D, s);
if (delta == NULL) {
free(dy);
return E_ALLOC;
}
for (t=0; t<dset->n; t++) {
dy[t] = NADBL;
}
for (t=0; t<dset->n; t++) {
if (na(y[t])) {
t1++;
} else {
break;
}
}
t1 += ainfo->d + ainfo->D * s;
k = ainfo->d + s * ainfo->D;
real_arima_difference_series(dy + t1, y, t1, ainfo->t2, delta, k);
#if ARMA_DEBUG > 1
for (t=0; t<dset->n; t++) {
fprintf(stderr, "dy[%d] = % 12.7g\n", t, dy[t]);
}
#endif
ainfo->y = dy;
set_arima_ydiff(ainfo);
if (arma_xdiff(ainfo)) {
/* also difference the ARIMAX regressors */
int xt1 = ainfo->t1, xT = ainfo->T;
if (fullX) {
xt1 = 0;
xT = ainfo->t2 + 1;
}
ainfo->dX = gretl_matrix_alloc(xT, ainfo->nexo);
if (ainfo->dX == NULL) {
err = E_ALLOC;
} else {
double *val = ainfo->dX->val;
int i, vi;
for (i=0; i<ainfo->nexo; i++) {
vi = ainfo->xlist[i+1];
real_arima_difference_series(val, dset->Z[vi], xt1,
ainfo->t2, delta, k);
val += xT;
}
}
}
free(delta);
return err;
}
static int arma_adjust_sample (arma_info *ainfo,
const DATASET *dset,
int *missv, int *misst)
{
int *list = ainfo->alist;
int ypos = arma_list_y_position(ainfo);
int t0, t1 = dset->t1, t2 = dset->t2;
int i, vi, vlmax, k, t;
int missing;
int err = 0;
#if ARMA_DEBUG
fprintf(stderr, "arma_adjust_sample: at start, t1=%d, t2=%d, maxlag = %d\n",
t1, t2, ainfo->maxlag);
#endif
t0 = t1 - ainfo->maxlag;
if (t0 < 0) {
t1 -= t0;
}
/* list position of last var to check for lags */
if (arma_xdiff(ainfo)) {
vlmax = list[0];
} else {
vlmax = ypos;
}
/* advance the starting point if need be */
for (t=t1; t<=t2; t++) {
missing = 0;
for (i=ypos; i<=list[0] && !missing; i++) {
vi = list[i];
if (na(dset->Z[vi][t])) {
/* current value missing */
missing = 1;
}
if (i <= vlmax) {
for (k=1; k<=ainfo->maxlag && !missing; k++) {
if (na(dset->Z[vi][t-k])) {
/* lagged value missing */
missing = 1;
}
}
}
}
if (missing) {
t1++;
} else {
break;
}
}
/* retard the ending point if need be */
for (t=t2; t>=t1; t--) {
missing = 0;
for (i=ypos; i<=list[0] && !missing; i++) {
vi = list[i];
if (na(dset->Z[vi][t])) {
missing = 1;
}
}
if (missing) {
t2--;
} else {
break;
}
}
if (t2 < t1) {
gretl_errmsg_set(_("No usable data were found"));
return E_MISSDATA;
}
missing = 0;
/* check for missing obs within the adjusted sample range */
for (t=t1; t<t2; t++) {
int tmiss = 0;
for (i=ypos; i<=list[0]; i++) {
vi = list[i];
if (na(dset->Z[vi][t])) {
if (missv != NULL && misst != NULL && *missv == 0) {
/* record info on first missing obs */
*missv = vi;
*misst = t + 1;
}
tmiss = 1;
}
}
if (tmiss) {
missing++;
}
}
if (missing > 0 && !arma_na_ok(ainfo)) {
err = E_MISSDATA;
}
if (!err) {
ainfo->fullT = t2 - t1 + 1;
ainfo->T = ainfo->fullT - missing;
if (ainfo->T <= ainfo->nc) {
/* insufficient observations */
err = E_DF;
}
}
if (!err) {
#if ARMA_DEBUG
fprintf(stderr, "arma_adjust_sample: at end, t1=%d, t2=%d\n",
t1, t2);
#endif
ainfo->t1 = t1;
ainfo->t2 = t2;
}
return err;
}
