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/*
* gretl -- Gnu Regression, Econometrics and Time-series Library
* Copyright (C) 2001 Allin Cottrell and Riccardo "Jack" Lucchetti
*
* This program is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program. If not, see <http://www.gnu.org/licenses/>.
*
*/
#ifndef ARMA_PRIV_H
#define ARMA_PRIV_H
typedef enum {
ARMA_SEAS = 1 << 0, /* includes seasonal component */
ARMA_DSPEC = 1 << 1, /* input list includes differences */
ARMA_XDIFF = 1 << 2, /* ARIMA: exogenous regressors are differenced */
ARMA_LBFGS = 1 << 3, /* using L-BFGS-B with native exact ML */
ARMA_VECH = 1 << 4, /* using vech representation when computing
variance matrix of state for Kalman filter */
ARMA_NAOK = 1 << 5, /* allow missing observations */
ARMA_NAS = 1 << 6, /* sample contains NAs */
ARMA_LEV = 1 << 7, /* doing ARIMA via levels formulation */
ARMA_YDIFF = 1 << 8, /* ainfo->y contains differenced y */
ARMA_AVGLL = 1 << 9, /* passing average likelihood option to Kalman */
ARMA_CML0 = 1 << 10, /* initialize exact ML via CML? */
ARMA_STDX = 1 << 11 /* exogenous regressors standardized */
} PrivFlags;
typedef enum {
INI_USER = 1,
INI_HR,
INI_SMALL,
INI_NLS,
INI_OLS
} IniMethod;
typedef struct arma_info_ arma_info;
struct arma_info_ {
int yno; /* ID of dependent variable */
ArmaFlags flags; /* specification flags */
PrivFlags pflags; /* "private" flags for estimation */
int *alist; /* copy of incoming list */
const int *pqspec; /* auxiliary list with specific AR, MA lags */
char *pmask; /* specific AR lags included */
char *qmask; /* specific MA lags included */
double ll; /* log-likelihood */
IniMethod init; /* initialization method */
int ifc; /* specification includes a constant? */
int p; /* max non-seasonal AR order */
int d; /* non-seasonal difference */
int q; /* max non-seasonal MA order */
int P; /* seasonal AR order */
int D; /* seasonal difference */
int Q; /* seasonal MA order */
int np; /* total non-seasonal AR lags */
int nq; /* total non-seasonal MA lags */
int maxlag; /* longest lag in model */
int nexo; /* number of other regressors (ARMAX) */
int nc; /* total number of coefficients */
int t1; /* starting observation */
int t2; /* ending observation */
int pd; /* periodicity of data */
int T; /* number of valid observations in sample */
int fullT; /* total obs (possibly including interior NAs) */
int r0; /* size of ARMA state vector */
int fncount; /* count of function evaluations */
int grcount; /* count of gradient evaluations */
double *y; /* dependent variable (possibly differenced) */
double *e; /* forecast errors */
const double **Z; /* virtual dataset */
double yscale; /* scale factor for y */
double yshift; /* shift factor for y */
int *xlist; /* list of regressors (ARMAX) */
int *misslist; /* list of missing observations */
gretl_matrix *xstats; /* mean and std dev of regressors */
gretl_matrix *dX; /* differenced regressors (ARIMAX) */
gretl_matrix *G; /* score matrix */
gretl_matrix *V; /* covariance matrix */
int n_aux; /* number of auxiliary arrays */
double **aux; /* auxiliary arrays */
PRN *prn; /* verbose printer */
};
#define arma_by_x12a(a) ((a)->flags & ARMA_X12A)
#define arma_exact_ml(a) ((a)->flags & ARMA_EXACT)
#define arma_least_squares(a) ((a)->flags & ARMA_LS)
#define set_arma_least_squares(a) ((a)->flags |= ARMA_LS)
#define arma_has_seasonal(a) ((a)->pflags & ARMA_SEAS)
#define arma_is_arima(a) ((a)->pflags & ARMA_DSPEC)
#define arma_xdiff(a) ((a)->pflags & ARMA_XDIFF)
#define arma_lbfgs(a) ((a)->pflags & ARMA_LBFGS)
#define arma_using_vech(a) ((a)->pflags & ARMA_VECH)
#define arma_na_ok(a) ((a)->pflags & ARMA_NAOK)
#define arma_missvals(a) ((a)->pflags & ARMA_NAS)
#define arima_levels(a) ((a)->pflags & ARMA_LEV)
#define arima_ydiff(a) ((a)->pflags & ARMA_YDIFF)
#define arma_avg_ll(a) ((a)->pflags & ARMA_AVGLL)
#define arma_cml_init(a) ((a)->pflags & ARMA_CML0)
#define arma_stdx(a) ((a)->pflags & ARMA_STDX)
#define set_arma_has_seasonal(a) ((a)->pflags |= ARMA_SEAS)
#define set_arma_is_arima(a) ((a)->pflags |= ARMA_DSPEC)
#define unset_arma_is_arima(a) ((a)->pflags &= ~ARMA_DSPEC)
#define set_arma_use_vech(a) ((a)->pflags |= ARMA_VECH)
#define set_arma_na_ok(a) ((a)->pflags |= ARMA_NAOK)
#define set_arma_missvals(a) ((a)->pflags |= ARMA_NAS)
#define set_arima_levels(a) ((a)->pflags |= ARMA_LEV)
#define set_arma_avg_ll(a) ((a)->pflags |= ARMA_AVGLL)
#define set_arima_ydiff(a) ((a)->pflags |= ARMA_YDIFF)
#define unset_arima_ydiff(a) ((a)->pflags &= ~ARMA_YDIFF)
#define set_arma_cml_init(a) ((a)->pflags |= ARMA_CML0)
#define set_arma_stdx(a) ((a)->pflags |= ARMA_STDX)
#define AR_included(a,i) (a->pmask == NULL || a->pmask[i] == '1')
#define MA_included(a,i) (a->qmask == NULL || a->qmask[i] == '1')
int flip_poly (double *theta, arma_info *ainfo,
int ar, int seasonal);
int maybe_correct_MA (arma_info *ainfo,
double *theta,
double *Theta);
void maybe_set_yscale (arma_info *ainfo);
int hr_arma_init (double *coeff, const DATASET *dset,
arma_info *ainfo);
int ar_arma_init (double *coeff, const DATASET *dset,
arma_info *ainfo, MODEL *pmod,
gretlopt opt);
int arma_by_ls (const double *coeff, const DATASET *dset,
arma_info *ainfo, MODEL *pmod);
int bhhh_arma (double *theta, const DATASET *dset,
arma_info *ainfo, MODEL *pmod,
gretlopt opt);
int cml_arma_init (double *theta, const DATASET *dset,
arma_info *ainfo, gretlopt opt);
void transform_arma_const (double *b, arma_info *ainfo);
int arma_list_y_position (arma_info *ainfo);
int arma_model_add_roots (MODEL *pmod, arma_info *ainfo,
const double *coeff);
void write_arma_model_stats (MODEL *pmod, arma_info *ainfo,
const DATASET *dset);
int arima_difference (arma_info *ainfo, const DATASET *dset,
int fullX);
void arima_difference_undo (arma_info *ainfo, const DATASET *dset);
#endif /* ARMA_PRIV_H */
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