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|
C Last change: BCM 1 Dec 2004 10:00 am
SUBROUTINE iddiff(Idr,Ids,Trnsrs,Nefobs,Frstry,A,Na,Imu,Lmu,
& Svldif,Lsumm)
IMPLICIT NONE
c ------------------------------------------------------------------
c Unit root identification procedure outlined in the paper by Gomez
c and Maravall (1998) and implemented in TRAMO modeling package
c ------------------------------------------------------------------
DOUBLE PRECISION ONE,ZERO,PONE,PTWO,PT9
INTEGER TWOHND
LOGICAL T,F
PARAMETER(T=.true.,F=.FALSE.,ONE=1D0,ZERO=0D0,PONE=1.D-1,
& PTWO=2.D-1,PT9=9.D-1,TWOHND=200)
c-----------------------------------------------------------------------
INCLUDE 'stdio.i'
INCLUDE 'prior.prm'
INCLUDE 'notset.prm'
INCLUDE 'srslen.prm'
INCLUDE 'model.prm'
INCLUDE 'model.cmn'
INCLUDE 'mdldat.cmn'
INCLUDE 'arima.cmn'
INCLUDE 'units.cmn'
INCLUDE 'prior.cmn'
INCLUDE 'extend.cmn'
INCLUDE 'error.cmn'
INCLUDE 'tbllog.prm'
INCLUDE 'tbllog.cmn'
INCLUDE 'mdltbl.i'
c ------------------------------------------------------------------
DOUBLE PRECISION Trnsrs,A,rmaxr,rmaxs,tval,vct,din,rmse,
& xpxinv,tmp,seb,xmu,txy
LOGICAL inptok,Svldif,linv,lxar,Lmu,lchks,lchks2
INTEGER i,i2,ardsp,Frstry,Idr,Ids,idrf,idsf,Na,ar1r,nparma,
& ar1s,ma1r,ma1s,icon,irm1,Nefobs,iround,Id,i3,nelt,info,
& nelta,Imu,limrd,limsd,mxitbk,Lsumm
DIMENSION Trnsrs(PLEN),xpxinv(PB*(PB+1)/2),tmp(2),txy(PLEN),a(*)
DOUBLE PRECISION tolbak,PTOL,nltbak
PARAMETER(PTOL=1.0D-3)
c ------------------------------------------------------------------
DOUBLE PRECISION dpmpar,totals,sdev,wd,wm
LOGICAL dpeq
EXTERNAL strinx,dpmpar,totals,sdev,dpeq
c ------------------------------------------------------------------
irm1=0
inptok=T
mxitbk=Mxiter
c ------------------------------------------------------------------
iround=1
Id=0
idrf=0
idsf=0
limrd=Idr
limsd=Ids
rmaxr=ZERO
rmaxs=ZERO
c ------------------------------------------------------------------
c Set up first model for unit root identification
c ------------------------------------------------------------------
DO WHILE(T)
IF(Prttab(LAUURM))WRITE(Mt1,1070)'(H-R)','Unit Root',iround
CALL mdlint()
IF(Id.gt.0.or.iround.GT.1)THEN
IF(Lseff.or.Sp.eq.1)THEN
CALL mdlset(1,idrf,1,0,0,0,inptok)
ELSE
CALL mdlset(1,idrf,1,1,idsf,1,inptok)
END IF
IF(Lfatal)RETURN
ardsp=Nnsedf+Nseadf
Nefobs=Nspobs-Nintvl
i3=3
IF (Sp.eq.1) i3=2
ar1r=ardsp+1
ma1r=ardsp+i3
ar1s=0
ma1s=0
IF (Sp.gt.1) THEN
ar1s=ar1r+1
ma1s=ma1r+1
END IF
ELSE
IF(Lseff.or.Sp.eq.1)THEN
ar1r=Frstar
ar1s=0
ELSE IF (Sp.eq.2) THEN
ar1r=1
ar1s=1
ELSE IF (Sp.eq.3.and.Frstar.ge.3) THEN
ar1r=2
ar1s=1
ELSE IF (Sp.eq.4.and.Frstar.eq.4) THEN
ar1r=3
ar1s=1
ELSE
ar1r=Frstar
ar1s=1
END IF
CALL mdlset(ar1r,0,0,ar1s,0,0,inptok)
IF(Lfatal)RETURN
ardsp=0
Nefobs=Nspobs-Nintvl
END IF
c ------------------------------------------------------------------
IF((.not.inptok).or.Lfatal)THEN
WRITE(STDERR,1010)
WRITE(Mt2,1010)
IF (.not.Lfatal) CALL abend()
RETURN
END IF
c ------------------------------------------------------------------
c Difference data, if necessary
c ------------------------------------------------------------------
nelta=Nspobs
CALL copy(Trnsrs,nelta,1,txy)
IF(id.gt.0)CALL arflt(nelta,Arimap,Arimal,Opr,Mdl(DIFF-1),
& Mdl(DIFF)-1,txy,nelta)
CALL smeadl(txy,1,nelta,nelta,xmu)
c-----------------------------------------------------------------------
c Estimate the regression and ARMA parameters
c-----------------------------------------------------------------------
CALL amdest(txy,nelta,Nefobs,ardsp,T,Prttab(LAUURT),info)
IF(Lfatal)RETURN
IF(Prttab(LAUURM).and.info.eq.0)CALL amdprt(ardsp,T,F)
c-----------------------------------------------------------------------
c If an estimation error is found, discontinue the routine.
c-----------------------------------------------------------------------
IF(Armaer.eq.PSNGER)THEN
WRITE(STDERR,1020)
WRITE(Mt2,1020)
CALL abend()
RETURN
c-----------------------------------------------------------------------
c If only a warning message would be printed out, reset the error
c indicator variable to zero.
c-----------------------------------------------------------------------
ELSE IF(Armaer.ne.0)THEN
Armaer=0
END IF
c-----------------------------------------------------------------------
c If first round, check to see if roots are inside the unit circle
c-----------------------------------------------------------------------
IF(iround.eq.1.and.info.eq.0)THEN
linv=T
CALL chkrt1(Idr,Ids,rmaxr,rmaxs,linv,Ub1lim)
IF(Lfatal)RETURN
IF(.not.linv)THEN
IF(ar1r.EQ.1.AND.DABS(Arimap(1)).GT.1.02D0)THEN
info=1
ELSE IF(ar1r.GT.1)THEN
info=1
END IF
IF (ar1s.EQ.1.AND.DABS(Arimap(ar1r+1)).GT.1.02D0) info=1
END IF
IF(info.gt.0)THEN
DO i=1,ar1r+ar1s
Arimap(i)=PONE
END DO
END IF
ELSE IF (info.ne.0) THEN
IF(iround.eq.1)ma1r=ar1r+ar1s+1
DO i=ar1r,ma1r-1
Arimap(i)=PONE
END DO
IF(iround.gt.1)THEN
DO i=ma1r,ma1s
Arimap(i)=PTWO
END DO
END IF
END IF
IF (irm1.EQ.1) THEN
info=1
DO i=ar1r,ma1s
Arimap(i)=PONE
END DO
END IF
IF (idrf.EQ.0.AND.idsf.EQ.0.AND.iround.GT.2) info=1
IF (info.ne.0) THEN
lxar=Lextar
Lextar=Exdiff.gt.0
Lar=Lextar.and.Mxarlg.gt.0
c ------------------------------------------------------------------
IF(Lextar)THEN
Nintvl=Mxdflg
Nextvl=Mxarlg+Mxmalg
IF(Exdiff.eq.2)Mxiter=TWOHND
c ------------------------------------------------------------------
ELSE
Nintvl=Mxdflg+Mxarlg
Nextvl=0
END IF
c ------------------------------------------------------------------
IF(Prttab(LAUURM))THEN
IF(Exdiff.gt.0)THEN
WRITE(Mt1,1070)'(exact mle)','Unit Root',iround
ELSE
WRITE(Mt1,1070)'(conditional)','Unit Root',iround
END IF
END IF
c ------------------------------------------------------------------
c Loosen tolerance for Exact likelihood model estimation
c ------------------------------------------------------------------
* IF(Exdiff)THEN
IF(Tol.lt.PTOL)THEN
nltbak=Nltol
tolbak=Tol
Tol=PTOL
Nltol=PTOL
Nltol0=100D0*Tol
END IF
* END IF
c ------------------------------------------------------------------
CALL regvar(Trnsrs,Nspobs,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,Frstry,T,Elong)
* CALL rgarma(Lestim,Mxiter,Mxnlit,T,a,na,nefobs,inptok)
CALL rgarma(Lestim,Mxiter,Mxnlit,F,a,na,nefobs,inptok)
IF(.not.Lfatal)THEN
IF((.not.Convrg).and.Exdiff.eq.2)THEN
Nintvl=Mxdflg+Mxarlg
Nextvl=0
Lextar=F
Lar=F
Mxiter=mxitbk
IF(Prttab(LAUURM))
& WRITE(Mt1,1070)'(conditional)','Unit Root',iround
CALL regvar(Trnsrs,Nspobs,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,Frstry,T,Elong)
* CALL rgarma(Lestim,Mxiter,Mxnlit,T,a,na,nefobs,inptok)
CALL rgarma(Lestim,Mxiter,Mxnlit,F,a,na,nefobs,inptok)
IF(Lfatal)RETURN
END IF
CALL prterr(nefobs,T)
IF(.not.Convrg)THEN
WRITE(STDERR,1090)
WRITE(Mt1,1090)
WRITE(Mt2,1090)
CALL abend()
ELSE IF(.not.inptok)THEN
CALL abend()
END IF
* IF(Exdiff)THEN
IF(dpeq(Tol,PTOL))THEN
Tol=tolbak
Nltol=nltbak
Nltol0=Tol*100D0
END IF
* END IF
END IF
IF(Lfatal)RETURN
IF(Prttab(LAUURM))CALL amdprt(ardsp,inptok,F)
c ------------------------------------------------------------------
c Reset estimation variables to what they were before
c ------------------------------------------------------------------
Lextar=lxar
Lar=Lextar.and.Mxarlg.gt.0
IF(Lextar)THEN
Nintvl=Mxdflg
Nextvl=Mxarlg+Mxmalg
ELSE
Nintvl=Mxdflg+Mxarlg
Nextvl=0
END IF
c-----------------------------------------------------------------------
if(iround.eq.1)THEN
linv=T
CALL chkrt1(Idr,Ids,rmaxr,rmaxs,linv,Ub1lim)
IF(Lfatal)RETURN
* IF(.not.linv)THEN
* WRITE(STDERR,1020)
* WRITE(Mt2,1020)
* CALL abend()
* RETURN
* END IF
END IF
END IF
c-----------------------------------------------------------------------
c Check roots and update difference counters
c-----------------------------------------------------------------------
icon=0
irm1=0
IF(iround.eq.1)THEN
idrf=idrf+Idr
idsf=idsf+Ids
c-----------------------------------------------------------------------
ELSE
din=1.005D0-Ub2lim
Cancel=Cancel-0.002D0
IF (Armaer.EQ.0.AND.Ub2lim.GE.0.869D0) din=din+Ub2lim-0.869D0
IF (DABS(ONE-Arimap(ar1r)).LE.DIN) THEN
IF (Arimap(ar1r).GT.1.02D0) THEN
irm1=1
icon=1
ELSE IF (DABS(Arimap(ar1r)-Arimap(ma1r)).GT.Cancel) THEN
icon=icon+1
idrf=idrf+1
Id=idrf+idsf*Sp
END IF
ELSE IF (DABS(Arimap(ar1r)).GT.1.12D0) THEN
irm1=1
icon=1
END IF
IF (Sp.GT.1) THEN
IF (DABS(ONE-Arimap(ar1s)).LE.0.19D0) THEN
IF (Arimap(ar1s).GT.1.02D0) THEN
irm1=1
icon=1
ELSE IF ((DABS(Arimap(ar1s)-Arimap(ma1s)).GT.Cancel).AND.
& (idsf.EQ.0)) THEN
icon=icon+1
idsf=idsf+1
Id=idrf+idsf*Sp
IF (irm1.EQ.1) THEN
irm1=0
icon=icon-1
END IF
END IF
ELSE IF (DABS(Arimap(ar1s)).GT.1.12D0) THEN
irm1=1
icon=1
END IF
END IF
lchks=ar1s.gt.0
IF(lchks)lchks=DABS(Arimap(ar1s)-Arimap(ma1s)).LE.Cancel
IF (((DABS(Arimap(ar1r)-Arimap(ma1r)).LE.Cancel).OR.lchks)
& .AND.iround.EQ.2) THEN
IF (idrf.EQ.0.AND.idsf.EQ.0.AND.
& (rmaxr.GE.PT9.OR.rmaxs.GE.PT9))THEN
IF (irm1.EQ.1.AND.icon.EQ.1) THEN
irm1=0
icon=0
END IF
icon=icon+1
IF (rmaxr.GT.rmaxs) THEN
idrf=idrf+1
ELSE
idsf=idsf+1
END IF
END IF
END IF
lchks=ar1s.gt.0
IF(lchks)lchks=DABS(ONE-Arimap(ar1s)).LE.0.16D0
lchks2=ar1s.gt.0
IF(lchks)lchks2=DABS(ONE-Arimap(ar1s)).LE.0.17D0
IF ((iround.EQ.2.AND.idrf.EQ.0.AND.idsf.EQ.0.AND.
& (DABS(ONE-Arimap(ar1r)).LE.0.15D0.OR.lchks).AND.
& (rmaxr.GE.PT9.OR.rmaxs.GE.0.88D0)).OR.
& (iround.EQ.2.AND.idrf.EQ.0.AND.idsf.EQ.0.AND.
& (DABS(ONE-Arimap(ar1r)).LE.0.16D0.OR.lchks2).AND.
& (rmaxr.GE.0.91D0.OR.rmaxs.GE.0.89D0))) THEN
IF (irm1.EQ.1.AND.icon.EQ.1) THEN
irm1=0
icon=0
END IF
icon=icon+1
IF (rmaxr.GT.rmaxs) THEN
idrf=idrf+1
ELSE
idsf=idsf+1
END IF
END IF
lchks=ar1s.gt.0
IF(lchks)lchks=DABS(ONE-Arimap(ar1s)).LE.0.25D0
IF (iround.GE.2.AND.idrf.EQ.0.AND.idsf.EQ.0.AND.
& (DABS(ONE-Arimap(ar1r)).LE.0.15D0.OR.lchks)) THEN
IF (Sp.EQ.1) THEN
idrf=idrf+1
ELSE
rmaxr=Arimap(ar1r)
rmaxs=Arimap(ar1s)
IF (rmaxr.GT.rmaxs) THEN
idrf=idrf+1
ELSE
idsf=idsf+1
END IF
END IF
END IF
c-----------------------------------------------------------------------
C INCREASE ONE BY ONE ONLY. POSSIBLE OVERDIFFERENCING
c-----------------------------------------------------------------------
IF (icon.EQ.2) THEN
idrf=idrf-1
idsf=idsf-1
IF (iround.GE.2.AND.Armaer.gt.0) THEN
IF (DABS(Arimap(ar1r)).GT.DABS(Arimap(ar1s))) THEN
idrf=idrf+1
ELSE
idsf=idsf+1
END IF
ELSE IF (rmaxr.GT.rmaxs) THEN
IF (rmaxr.GT.-9999.D0) idrf=idrf+1
ELSE IF (rmaxs.GT.-9999.D0) THEN
idsf=idsf+1
END IF
END IF
END IF
IF (iround.GE.1) THEN
iround=iround+1
c-----------------------------------------------------------------------
c Check to see if too much differencing is allowed
c-----------------------------------------------------------------------
IF (idrf.EQ.3) THEN
idrf=2
icon=0
END IF
IF (idsf.EQ.2) THEN
idsf=1
icon=0
END IF
c-----------------------------------------------------------------------
c Update Id and see if we can leave
c-----------------------------------------------------------------------
Id=idrf+idsf*Sp
IF(idrf.gt.limrd)THEN
idrf=limrd
WRITE(Mt1,1080)'Regular',idrf
GO TO 30
END IF
IF(idsf.gt.limsd)THEN
idsf=limsd
WRITE(Mt1,1080)'Seasonal',idsf
GO TO 30
END IF
IF ((icon.GE.1.AND.iround.LE.7).OR.iround.EQ.2) GO TO 10
END IF
30 IF(Prttab(LAUURT))THEN
WRITE(Mt1,1030)
WRITE(Mt1,1040)'Regular',idrf
IF(Sp.gt.1)WRITE(Mt1,1040)'Seasonal',idsf
END IF
IF(Svldif)THEN
WRITE(Ng,1030)
WRITE(Ng,1040)'Regular',idrf
IF(Sp.gt.1)WRITE(Ng,1040)'Seasonal',idsf
END IF
IF(Lsumm.gt.0)THEN
WRITE(Nform,1050)'idnonseasonaldiff.first',idrf
IF(Sp.gt.1)WRITE(Nform,1050)'idseasonaldiff.first',idsf
END IF
c-----------------------------------------------------------------------
c Check to see if mean regressor is significant by creating
c t-value of residuals if no differencing found
c-----------------------------------------------------------------------
IF(Imu.eq.0.and.Lchkmu)THEN
Lmu=T
IF(id.eq.0)THEN
wm=totals(Trnsrs,1,Nspobs,1,1)
wd=sdev(Trnsrs,1,Nspobs,1,1)
tval=dsqrt(dble(Nspobs))*wm/wd
IF (Nspobs.LE.80) THEN
vct=1.96D0
ELSE IF (Nspobs.GT.80.AND.Nspobs.LE.200) THEN
vct=2.0D0
ELSE
vct=2.55D0
END IF
IF(DABS(tval).lt.vct)Lmu=F
ELSE
c-----------------------------------------------------------------------
c Else, check to see if mean regressor is significant by adding a
c constant regressor and generating a t statistic
c-----------------------------------------------------------------------
CALL adrgef(DNOTST,'Constant','Constant',PRGTCN,F,F)
IF(Lfatal)RETURN
c ------------------------------------------------------------------
c Generate regression matrix
c ------------------------------------------------------------------
* CALL mdlint()
* CALL mdlset(0,idrf,0,0,idsf,0,inptok)
* IF(Lfatal)RETURN
nelta=Nspobs
CALL copy(Trnsrs,nelta,1,txy)
CALL regvar(txy,nelta,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,Frstry,T,Elong)
IF(Lfatal)RETURN
c ------------------------------------------------------------------
** CALL setdp(ZERO,PARIMA,Arimap)
c ------------------------------------------------------------------
c Initialize ARIMA parameters to 0.1 rather than 0 -
c BCM January 2007, Revised July 2008
c ------------------------------------------------------------------
i=1
nparma=Mdl(MA)
DO WHILE (i.le.nparma)
IF(.not.Arimaf(i))Arimap(i)=0.1D0
i=i+1
END DO
IF(Tol.lt.PTOL)THEN
nltbak=Nltol
tolbak=Tol
Tol=PTOL
Nltol=PTOL
Nltol0=100D0*Tol
END IF
* CALL rgarma(Lestim,Mxiter,Mxnlit,T,a,na,nefobs,inptok)
CALL rgarma(Lestim,Mxiter,Mxnlit,F,a,na,nefobs,inptok)
IF(.not.Lfatal)THEN
CALL prterr(nefobs,T)
IF(.not.Convrg)THEN
WRITE(STDERR,1090)
WRITE(Mt1,1090)
WRITE(Mt2,1090)
CALL abend()
ELSE IF(.not.inptok)THEN
CALL abend()
END IF
END IF
IF(Lfatal)RETURN
IF(dpeq(Tol,PTOL))THEN
Tol=tolbak
Nltol=nltbak
Nltol0=Tol*100D0
END IF
nelt=Ncxy*(Ncxy+1)/2
IF(Var.gt.2D0*dpmpar(1))THEN
rmse=sqrt(Var)
CALL copy(Chlxpx,nelt,1,xpxinv)
CALL dppdi(xpxinv,Nb,tmp,1)
ELSE
rmse=ZERO
END IF
c-----------------------------------------------------------------------
c compute standard error and t-value
c-----------------------------------------------------------------------
seb=sqrt(xpxinv(1))*rmse
tval=ZERO
IF(seb.gt.ZERO)tval=B(1)/seb
IF (Nspobs.LE.80) THEN
vct=1.96D0
ELSE IF (Nspobs.GT.80.AND.Nspobs.LE.155) THEN
vct=1.98D0
ELSE IF (Nspobs.GT.155.AND.Nspobs.LE.230) THEN
vct=2.1D0
ELSE IF (Nspobs.GT.230.AND.Nspobs.LE.350) THEN
vct=2.3D0
ELSE
vct=2.5D0
END IF
IF (DABS(tval).LT.vct) THEN
IF(Prttab(LAUURT))WRITE(Mt1,1060)'is not'
Lmu=F
ELSE IF(Prttab(LAUURT)) THEN
WRITE(Mt1,1060)'is'
END IF
i2=1
CALL dlrgef(i2,Nrxy,1)
IF(Lfatal)RETURN
END IF
END IF
GO TO 20
10 CONTINUE
END DO
20 Idr=idrf
Ids=idsf
Mxiter=mxitbk
c-----------------------------------------------------------------------
1010 FORMAT(/,' ERROR: Unable to set up ARIMA model for unit root ',
& 'testing procedure',/,
& ' for the reason(s) given above.')
1020 FORMAT(/,' Estimation error found during unit root testing ',
& /,' procedure while fitting inital regARIMA model to the',
& ' series.')
1030 FORMAT(/,' Results of Unit Root Test for identifying orders',
& ' of differencing:')
1040 FORMAT( ' ',a,' difference order : ',i3)
1050 FORMAT(a,': ',i3)
1060 FORMAT(/,' Mean ',a,' significant.')
1070 FORMAT(/,' ARIMA Estimates ',a,' for ',a,' Identification : ',
& 'Model No. ',i2,/)
c Change format of warning message (BCM 10-14-2008)
1080 FORMAT(/,' ',a,' difference order reset to ',i1,', the limit ',
& 'specified in the',/,' maxdiff argument.')
1090 FORMAT(/,' ERROR: Estimation failed to converge during the ',
& 'automatic model',/
& ' identification procedure.')
c-----------------------------------------------------------------------
END
|
