static void arma_depvar_stats (MODEL *pmod, arma_info *ainfo,
const DATASET *dset)
{
if (arma_is_arima(ainfo) && !arima_ydiff(ainfo)) {
/* calculate differenced y for stats */
int d = ainfo->d, D = ainfo->D;
int T = pmod->t2 - pmod->t1 + 1;
double *dy = malloc(T * sizeof *dy);
int *delta = arima_delta_coeffs(d, D, ainfo->pd);
if (dy != NULL && delta != NULL) {
int k = d + ainfo->pd * D;
real_arima_difference_series(dy, dset->Z[ainfo->yno],
pmod->t1, pmod->t2, delta, k);
pmod->ybar = gretl_mean(0, T - 1, dy);
pmod->sdy = gretl_stddev(0, T - 1, dy);
}
free(dy);
free(delta);
} else {
pmod->ybar = gretl_mean(pmod->t1, pmod->t2, ainfo->y);
pmod->sdy = gretl_stddev(pmod->t1, pmod->t2, ainfo->y);
}
}
static void maybe_set_yscale (arma_info *ainfo)
{
double ybar = gretl_mean(ainfo->t1, ainfo->t2, ainfo->y);
if (fabs(ybar) > 250) {
if (arima_levels(ainfo)) {
set_arma_avg_ll(ainfo); /* is this a good idea? */
} else {
ainfo->yscale = 10 / ybar;
}
}
}
static int arma_get_nls_model (MODEL *amod, arma_info *ainfo,
int narmax, const double *coeff,
DATASET *dset, PRN *prn)
{
gretlopt nlsopt = OPT_A;
char fnstr[MAXLINE];
char term[32];
nlspec *spec;
double *parms = NULL;
char **pnames = NULL;
double *b0 = NULL, *by1 = NULL;
int nparam, lag;
int i, j, k, err = 0;
spec = nlspec_new(NLS, dset);
if (spec == NULL) {
return E_ALLOC;
}
if (arma_least_squares(ainfo)) {
/* respect verbose option */
if (prn != NULL) {
nlsopt |= OPT_V;
}
} else {
#if AINIT_DEBUG
nlsopt |= OPT_V;
#else
/* don't bother with standard errors */
nlsopt |= OPT_C;
#endif
}
nlspec_set_t1_t2(spec, 0, ainfo->T - 1);
nparam = ainfo->ifc + ainfo->np + ainfo->P + ainfo->nexo;
if (ainfo->misslist != NULL) {
nparam += ainfo->misslist[0];
}
parms = malloc(nparam * sizeof *parms);
if (parms == NULL) {
err = E_ALLOC;
goto bailout;
}
pnames = strings_array_new_with_length(nparam, VNAMELEN);
if (pnames == NULL) {
err = E_ALLOC;
goto bailout;
}
/* make names for the parameters; construct the param list;
and do some rudimentary fall-back initialization */
for (i=0; i<nparam; i++) {
parms[i] = 0.0;
}
k = 0;
if (ainfo->ifc) {
if (coeff != NULL) {
parms[k] = coeff[k];
} else {
parms[k] = gretl_mean(0, dset->n - 1, dset->Z[1]);
}
b0 = &parms[k];
strcpy(pnames[k++], "_b0");
}
for (i=0; i<ainfo->p; i++) {
if (AR_included(ainfo, i)) {
if (by1 == NULL) {
by1 = &parms[k];
if (coeff == NULL) {
parms[k] = 0.1;
}
}
if (coeff != NULL) {
parms[k] = coeff[k];
}
sprintf(pnames[k++], "_phi%d", i+1);
}
}
for (i=0; i<ainfo->P; i++) {
if (by1 == NULL) {
by1 = &parms[k];
if (coeff == NULL) {
parms[k] = 0.1;
}
}
if (coeff != NULL) {
parms[k] = coeff[k];
}
sprintf(pnames[k++], "_Phi%d", i+1);
}
for (i=0; i<ainfo->nexo; i++) {
if (coeff != NULL) {
parms[k] = coeff[k];
}
sprintf(pnames[k++], "_b%d", i+1);
}
if (ainfo->misslist != NULL) {
for (i=1; i<=ainfo->misslist[0]; i++) {
j = ainfo->misslist[i];
parms[k] = dset->Z[1][j];
sprintf(pnames[k++], "_c%d", i);
}
}
/* construct NLS specification string */
strcpy(fnstr, "y=");
if (ainfo->ifc) {
strcat(fnstr, "_b0");
} else {
strcat(fnstr, "0");
}
for (i=0; i<ainfo->p && !err; i++) {
if (AR_included(ainfo, i)) {
lag = i + 1;
sprintf(term, "+_phi%d*", lag);
err = add_to_spec(fnstr, term);
if (!err) {
err = y_Xb_at_lag(fnstr, ainfo, narmax, lag);
}
}
}
for (j=0; j<ainfo->P && !err; j++) {
sprintf(term, "+_Phi%d*", j+1);
strcat(fnstr, term);
lag = (j + 1) * ainfo->pd;
y_Xb_at_lag(fnstr, ainfo, narmax, lag);
for (i=0; i<ainfo->p; i++) {
if (AR_included(ainfo, i)) {
sprintf(term, "-_phi%d*_Phi%d*", i+1, j+1);
err = add_to_spec(fnstr, term);
if (!err) {
lag = (j+1) * ainfo->pd + (i+1);
y_Xb_at_lag(fnstr, ainfo, narmax, lag);
}
}
}
}
for (i=0; i<ainfo->nexo && !err; i++) {
sprintf(term, "+_b%d*x%d", i+1, i+1);
err = add_to_spec(fnstr, term);
}
if (!err && ainfo->misslist != NULL) {
for (i=1; i<=ainfo->misslist[0]; i++) {
sprintf(term, "+_c%d*d%d", i, i);
err = add_to_spec(fnstr, term);
}
}
if (!err) {
if (coeff == NULL) {
nls_kickstart(amod, dset, b0, by1);
}
#if AINIT_DEBUG
fprintf(stderr, "initting using NLS spec:\n %s\n", fnstr);
for (i=0; i<nparam; i++) {
fprintf(stderr, "initial NLS b[%d] = %g (%s)\n",
i, parms[i], pnames[i]);
}
#endif
err = nlspec_set_regression_function(spec, fnstr, dset);
}
if (!err) {
set_auxiliary_scalars();
err = aux_nlspec_add_param_list(spec, nparam, parms, pnames);
if (!err) {
*amod = model_from_nlspec(spec, dset, nlsopt, prn);
err = amod->errcode;
#if AINIT_DEBUG
if (!err) {
printmodel(amod, dset, OPT_NONE, prn);
}
#endif
}
unset_auxiliary_scalars();
}
bailout:
nlspec_destroy(spec);
free(parms);
strings_array_free(pnames, nparam);
return err;
}
