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 void x12_pdq_string (arma_info *ainfo, FILE *fp)
{
fputc('(', fp);
if (ainfo->pmask == NULL) {
fprintf(fp, "%d", ainfo->p);
} else {
int i;
fputc('[', fp);
for (i=0; i<ainfo->p; i++) {
if (AR_included(ainfo, i)) {
fprintf(fp, "%d", i+1);
if (i < ainfo->p - 1) {
fputc(' ', fp);
}
}
}
fputc(']', fp);
}
fprintf(fp, " %d ", ainfo->d);
if (ainfo->qmask == NULL) {
fprintf(fp, "%d", ainfo->q);
} else {
int i;
fputc('[', fp);
for (i=0; i<ainfo->q; i++) {
if (MA_included(ainfo, i)) {
fprintf(fp, "%d", i+1);
if (i < ainfo->q - 1) {
fputc(' ', fp);
}
}
}
fputc(']', fp);
}
fputc(')', fp);
}
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;
}
