int arma_list_y_position (arma_info *ainfo)
{
int ypos;
if (arma_is_arima(ainfo)) {
ypos = arma_has_seasonal(ainfo) ? 9 : 5;
} else {
ypos = arma_has_seasonal(ainfo) ? 7 : 4;
}
return ypos;
}
static int arma_remove_const (arma_info *ainfo,
const DATASET *dset)
{
int *list = ainfo->alist;
int seasonal = arma_has_seasonal(ainfo);
int diffs = arma_is_arima(ainfo);
int xstart, ret = 0;
int i, j;
if (diffs) {
xstart = (seasonal)? 10 : 6;
} else {
xstart = (seasonal)? 8 : 5;
}
for (i=xstart; i<=list[0]; i++) {
if (list[i] == 0 || true_const(list[i], dset)) {
for (j=i; j<list[0]; j++) {
list[j] = list[j+1];
}
list[0] -= 1;
ret = 1;
break;
}
}
return ret;
}
static void ainfo_data_to_model (arma_info *ainfo, MODEL *pmod)
{
pmod->ifc = ainfo->ifc;
pmod->dfn = ainfo->nc - pmod->ifc;
pmod->dfd = pmod->nobs - pmod->dfn;
pmod->ncoeff = ainfo->nc;
if (arma_has_seasonal(ainfo)) {
gretl_model_set_int(pmod, "arma_P", ainfo->P);
gretl_model_set_int(pmod, "arma_Q", ainfo->Q);
gretl_model_set_int(pmod, "arma_pd", ainfo->pd);
}
if (ainfo->d > 0 || ainfo->D > 0) {
gretl_model_set_int(pmod, "arima_d", ainfo->d);
gretl_model_set_int(pmod, "arima_D", ainfo->D);
}
if (ainfo->nexo > 0) {
gretl_model_set_int(pmod, "armax", 1);
}
if (ainfo->pmask != NULL) {
gretl_model_set_string_as_data(pmod, "pmask",
gretl_strdup(ainfo->pmask));
}
if (ainfo->qmask != NULL) {
gretl_model_set_string_as_data(pmod, "qmask",
gretl_strdup(ainfo->qmask));
}
}
static int check_arma_sep (arma_info *ainfo, int sep1)
{
int *list = ainfo->alist;
int sep2 = (sep1 == 3)? 6 : 8;
int i, err = 0;
for (i=sep1+1; i<=list[0]; i++) {
if (list[i] == LISTSEP) {
if (i == sep2) {
/* there's a second list separator in the right place:
we've got a seasonal specification */
set_arma_has_seasonal(ainfo);
} else {
err = 1;
}
}
}
if (!err && sep1 == 4) {
/* check for apparent but not "real" arima spec */
if (arma_has_seasonal(ainfo)) {
if (list[2] == 0 && list[6] == 0) {
gretl_list_delete_at_pos(list, 2);
gretl_list_delete_at_pos(list, 5);
unset_arma_is_arima(ainfo);
}
} else {
if (list[2] == 0) {
gretl_list_delete_at_pos(list, 2);
unset_arma_is_arima(ainfo);
}
}
}
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;
}
static int check_arima_list (arma_info *ainfo,
const DATASET *dset,
gretlopt opt)
{
int *list = ainfo->alist;
int ypos = arma_has_seasonal(ainfo) ? 9 : 5;
int armax = (list[0] > ypos);
int hadconst = 0;
int err = 0;
if (list[1] < 0 || list[1] > MAX_ARMA_ORDER) {
err = 1;
} else if (list[2] < 0 || list[2] > MAX_ARIMA_DIFF) {
err = 1;
} else if (list[3] < 0 || list[3] > MAX_ARMA_ORDER) {
err = 1;
}
if (!err) {
ainfo->p = list[1];
ainfo->d = list[2];
ainfo->q = list[3];
}
if (!err && arma_has_seasonal(ainfo)) {
if (list[0] < 9) {
err = 1;
} else if (list[5] < 0 || list[5] > MAX_ARMA_ORDER) {
err = 1;
} else if (list[6] < 0 || list[6] > MAX_ARIMA_DIFF) {
err = 1;
} else if (list[7] < 0 || list[7] > MAX_ARMA_ORDER) {
err = 1;
}
}
if (!err && arma_has_seasonal(ainfo)) {
ainfo->P = list[5];
ainfo->D = list[6];
ainfo->Q = list[7];
}
/* now that we have p and q we can check for masked lags */
if (!err) {
err = arma_make_masks(ainfo);
}
/* If there's an explicit constant in the list here, we'll remove
it, since it is added implicitly later. But if we're supplied
with OPT_N (meaning: no intercept) we'll flag this by
setting ifc = 0. Also, if the user gave an armax list
(specifying regressors) we'll respect the absence of a constant
from that list by setting ifc = 0.
*/
if (!err) {
if (armax) {
hadconst = arma_remove_const(ainfo, dset);
}
if ((opt & OPT_N) || (armax && !hadconst)) {
;
} else {
ainfo->ifc = 1;
}
}
if (err) {
gretl_errmsg_set(_("Error in arma command"));
} else {
ainfo->nexo = list[0] - ypos;
ainfo->nc = count_arma_coeffs(ainfo);
ainfo->yno = list[ypos];
if (ainfo->nexo > 0) {
err = arma_add_xlist(ainfo, ypos);
}
}
return err;
}
