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|
C Last Change: Sep, 2021, change the Print out the roots of the AR
C and MA polynomials condition to be the same as html version
C previous change: SRD 25 Jan 100 1:30 pm
SUBROUTINE arima(Hvmdl,Extok,Lx11,Lseats,Lgraf)
IMPLICIT NONE
c-----------------------------------------------------------------------
c Estimates regression models with ARIMA errors
c-----------------------------------------------------------------------
c Name Type Description
c-----------------------------------------------------------------------
c a d Pa/na long of innovation errors
c-----------------------------------------------------------------------
c Variable typing and initialization
c-----------------------------------------------------------------------
LOGICAL T,F
DOUBLE PRECISION ZERO,ONE
INTEGER BADITR
PARAMETER(T=.true.,F=.false.,ZERO=0D0,ONE=1D0,BADITR=500)
c-----------------------------------------------------------------------
INCLUDE 'stdio.i'
INCLUDE 'srslen.prm'
INCLUDE 'tbllog.prm'
c-----------------------------------------------------------------------
INTEGER PR
PARAMETER (PR=PLEN/4)
c-----------------------------------------------------------------------
INCLUDE 'filext.prm'
INCLUDE 'model.prm'
INCLUDE 'notset.prm'
INCLUDE 'prior.prm'
INCLUDE 'rev.prm'
INCLUDE 'svllog.prm'
c-----------------------------------------------------------------------
INCLUDE 'adj.cmn'
INCLUDE 'arima.cmn'
INCLUDE 'autoq.cmn'
INCLUDE 'error.cmn'
INCLUDE 'extend.cmn'
INCLUDE 'fxreg.cmn'
INCLUDE 'hiddn.cmn'
INCLUDE 'inpt.cmn'
INCLUDE 'lkhd.cmn'
INCLUDE 'lzero.cmn'
INCLUDE 'mdldat.cmn'
INCLUDE 'missng.cmn'
INCLUDE 'model.cmn'
INCLUDE 'mq3.cmn'
INCLUDE 'orisrs.cmn'
INCLUDE 'picktd.cmn'
INCLUDE 'priadj.cmn'
INCLUDE 'prior.cmn'
INCLUDE 'prittl.cmn'
INCLUDE 'priusr.cmn'
INCLUDE 'rev.cmn'
INCLUDE 'rho.cmn'
INCLUDE 'seatad.cmn'
INCLUDE 'svllog.cmn'
INCLUDE 'tbllog.cmn'
INCLUDE 'tdtyp.cmn'
INCLUDE 'title.cmn'
INCLUDE 'tukey.cmn'
INCLUDE 'units.cmn'
INCLUDE 'usrreg.cmn'
INCLUDE 'x11adj.cmn'
INCLUDE 'x11fac.cmn'
INCLUDE 'x11log.cmn'
INCLUDE 'x11opt.cmn'
INCLUDE 'x11ptr.cmn'
c ------------------------------------------------------------------
INCLUDE 'mdlsvl.i'
INCLUDE 'mdltbl.i'
INCLUDE 'spcsvl.i'
INCLUDE 'spctbl.i'
INCLUDE 'tbllog.i'
c ------------------------------------------------------------------
INTEGER PA
PARAMETER(PA=PLEN+2*PORDER)
c ------------------------------------------------------------------
REAL ticks
CHARACTER begstr*(10),cfcst*(3),tmpttl*(PCOLCR),tmpstr*(20)
DOUBLE PRECISION a,trnsrs,orix,orixmv,ftd,fao,fls,ftc,fusr,fmv,
& fhol,fsea,fcyc,mape,dvec,cv,Temp,fcstx,bcstx,
& untfct,untbct,cvbak,fso,tval,rvar,dw,ken
LOGICAL lester,Extok,Lx11,Lseats,litr,Hvmdl,lidotl,fctok,lfm,
& Lgraf,gudrun,ldiag,ltmp,lauto,lsadj,ltdlom,lautid
INTEGER i,frstry,idate,na,nefobs,n,nbeg,nf2,tdreg,iaic,
& nend,nlagbl,i1,i2,hvstar,begopr,endopr,itmp,nobtst,iao,
& ils,itc,iramp,itls,iauto,iuser,iso,outdec,ilom,lastpr,
& iseq,nchr,rtype,ntmpcr,ipos
DIMENSION a(PA),idate(2),trnsrs(PLEN),orix(PLEN),orixmv(PLEN),
& ftd(PLEN),fao(PLEN),fls(PLEN),ftc(PLEN),fusr(PLEN),
& fmv(PLEN),fhol(PLEN),mape(4),dvec(1),
& fsea(PLEN),Temp(PLEN),fcstx(PFCST),bcstx(PFCST),
& cvbak(POTLR),untfct(PFCST),untbct(PLEN),tval(PB),
& fcyc(PLEN),fso(PLEN)
c-----------------------------------------------------------------------
c INTEGER iticks
LOGICAL istrue,dpeq
INTEGER strinx,nblank
DOUBLE PRECISION setcv,setcvl,calcqs,chisq,kendalls
EXTERNAL strinx,istrue,dpeq,setcv,nblank,setcvl,calcqs,chisq,
& kendalls
c ------------------------------------------------------------------
COMMON /work / Temp
c-----------------------------------------------------------------------
CHARACTER num*(2),cdef*(1)
DIMENSION num(4)
c-----------------------------------------------------------------------
DATA num/'st','nd','rd','th'/
c-----------------------------------------------------------------------
c Input series, regression variables, model, options
c-----------------------------------------------------------------------
itmp=0
na=0
lester=F
fctok=T
lidotl=Ltstao.or.Ltstls.or.Ltsttc
Natotl=0
lauto=Lautom.or.Lautox
lsadj=Lx11.or.Lseats
gudrun=Issap.LT.2.AND.Irev.lt.4
ldiag=Lsumm.gt.0.and.gudrun
lautid=lauto.and.gudrun
ltdlom=Kfulsm.eq.2
CALL setdp(ZERO,PXPX,Chlxpx)
ilom=Priadj
ltmp=F
QsRsd=DNOTST
QsRsd2=DNOTST
c-----------------------------------------------------------------------
c Change Begspn and Endspn to match the model span, if necessary.
c-----------------------------------------------------------------------
nbeg=0
nend=0
IF(Ldestm)THEN
CALL dfdate(Begmdl,Begspn,Sp,nbeg)
CALL dfdate(Endspn,Endmdl,Sp,nend)
IF(nbeg.gt.0)CALL cpyint(Begmdl,2,1,Begspn)
IF(nend.gt.0)CALL cpyint(Endmdl,2,1,Endspn)
END IF
c-----------------------------------------------------------------------
c Process the series
c-----------------------------------------------------------------------
CALL dfdate(Endspn,Begspn,Sp,Nspobs)
Nspobs=Nspobs+1
IF(nbeg.gt.0.or.nend.gt.0.or.Issap.eq.2)THEN
CALL dfdate(Begspn,Begsrs,Sp,Frstsy)
Frstsy=Frstsy+1
Nomnfy=Nobs-Frstsy+1
Nobspf=min(Nspobs+Nfdrp,Nomnfy)
CALL dfdate(Begspn,Begadj,Sp,Adj1st)
Adj1st=Adj1st+1
END IF
CALL setdp(ZERO,PLEN,trnsrs)
* write(Mtprof,*) ' Sto(Pos1ob+nbeg) = ',Sto(Pos1ob+nbeg)
CALL copy(Sto(Pos1ob+nbeg),Nobspf,-1,trnsrs)
* write(Mtprof,*) ' trnsrs(1) = ',trnsrs(1)
c----------------------------------------------------------------------
c IF critical value not set, replace with value based on length of
c series
c----------------------------------------------------------------------
cv=DNOTST
IF((Ltstao.and.dpeq(Critvl(AO),DNOTST)).or.
& (Ltstls.and.dpeq(Critvl(LS),DNOTST)).or.
& (Ltsttc.and.dpeq(Critvl(TC),DNOTST)))THEN
CALL dfdate(Endtst,Begtst,Sp,nobtst)
nobtst=nobtst+1
IF(Cvtype)THEN
cv=setcvl(nobtst,Cvalfa)
ELSE
cv=setcv(nobtst,Cvalfa)
END IF
IF(dpeq(cv,DNOTST))THEN
CALL abend()
RETURN
END IF
IF(Ltstao.and.dpeq(Critvl(AO),DNOTST))Critvl(AO)=cv
IF(Ltstls.and.dpeq(Critvl(LS),DNOTST))Critvl(LS)=cv
IF(Ltsttc.and.dpeq(Critvl(TC),DNOTST))Critvl(TC)=cv
END IF
c-----------------------------------------------------------------------
c Write out model span and outlier testing span into diagnostics
c summary file, if requested
c-----------------------------------------------------------------------
IF(Lsumm.gt.0.and.gudrun)THEN
i1=Begmdl(MO)
IF(i1.gt.4)i1=4
i2=Endmdl(MO)
IF(i2.gt.4)i2=4
IF(Sp.eq.12.or.Sp.eq.4)THEN
WRITE(Nform,1000)'modelspan: ',Begmdl(MO),num(i1),
& Moqu(1:nblank(Moqu)),Begmdl(YR),Endmdl(MO),
& num(i2),Moqu(1:nblank(Moqu)),Endmdl(YR)
ELSE IF(Sp.eq.1)THEN
WRITE(Nform,1001)'modelspan: ',Begmdl(YR),Endmdl(YR)
ELSE
WRITE(Nform,1000)'modelspan: ',Begmdl(MO),num(i1),
& 'period',Begmdl(YR),Endmdl(MO),num(i2),
& 'period',Endmdl(YR)
END IF
WRITE(Nform,1061)'nobsmodelspan: ',Nspobs
IF(lidotl)THEN
i1=Begtst(MO)
IF(i1.gt.4)i1=4
i2=Endtst(MO)
IF(i2.gt.4)i2=4
IF(Sp.eq.12.or.Sp.eq.4)THEN
WRITE(Nform,1000)'outlierspan: ',Begtst(MO),num(i1),
& Moqu(1:nblank(Moqu)),Begtst(YR),Endtst(MO),
& num(i2),Moqu(1:nblank(Moqu)),Endtst(YR)
ELSE IF(Sp.eq.1)THEN
WRITE(Nform,1001)'outlierspan: ',Begtst(YR),Endtst(YR)
ELSE
WRITE(Nform,1000)'outlierspan: ',Begtst(MO),num(i1),
& 'period',Begtst(YR),Endtst(MO),num(i2),
& 'period',Endtst(YR)
END IF
WRITE(Nform,1061)'nobsoutlierspan: ',nobtst
END IF
IF(Itdtst.gt.0.or.Lomtst.gt.0.or.Leastr.or.Luser)THEN
tmpstr = ' '
ipos=2
IF(Itdtst.gt.0)THEN
tmpstr(ipos:(ipos+1))='td'
ipos=5
END IF
IF(Lomtst.eq.1)THEN
tmpstr(ipos:(ipos+2))='lom'
ipos=ipos+4
ELSE IF(Lomtst.eq.2)THEN
tmpstr(ipos:(ipos+2))='loq'
ipos=ipos+4
ELSE IF(Lomtst.eq.3)THEN
tmpstr(ipos:(ipos+5))='lpyear'
ipos=ipos+7
END IF
IF(Leastr)THEN
tmpstr(ipos:(ipos+5))='easter'
ipos=ipos+7
END IF
IF(Luser)THEN
tmpstr(ipos:(ipos+3))='user'
ipos=ipos+5
END IF
WRITE(Nform,1060)'aictest:',tmpstr(1:ipos)
ELSE
WRITE(Nform,1060)'aictest:',' none'
END IF
END IF
c-----------------------------------------------------------------------
c BoxCox transform the (prior adjusted, if requested) data.
c Lam=1 means no transformation, Lam=0 is the log transform,
c this is all part of the Box-Cox transformation.
c-----------------------------------------------------------------------
IF(Lmvaft.or.Ln0aft)THEN
CALL trnfcn(trnsrs,Nspobs,Fcntyp,Lam,trnsrs)
ELSE
CALL trnfcn(trnsrs,Nobspf,Fcntyp,Lam,trnsrs)
END IF
IF(Lfatal)RETURN
c ------------------------------------------------------------------
IF(Prttab(LTRNDT))THEN
CALL prtshd(
& 'Transformed (prior-adjusted) data for regARIMA modeling',
& Begspn,Sp,Nspobs,T)
IF(Lfatal)RETURN
outdec=Kdec
IF((.not.dpeq(Lam,ONE)).and.outdec.lt.3)outdec=3
CALL prttbl(Begspn,Sp,trnsrs,Nspobs,'Data',outdec)
END IF
c-----------------------------------------------------------------------
IF(Savtab(LTRNDT))THEN
CALL savtbl(LTRNDT,Begspn,1,Nspobs,Sp,trnsrs,Serno,Nser,F)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c Set up the regression matrix
c-----------------------------------------------------------------------
CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
IF((.not.Lfatal).and.Iregfx.ge.2)THEN
CALL rmfix(trnsrs,Nbcst,Nrxy,1)
IF(.not.Lfatal)
& CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
END IF
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Identify the differencing in the model
c-----------------------------------------------------------------------
IF(Niddf.gt.0.or.Nidsdf.gt.0)THEN
CALL prprad(Adjttl,Nadjcr,Nustad,Nuspad,Priadj,Reglom)
IF(Priadj.gt.0.or.Nustad.gt.0.or.Nuspad.gt.0)WRITE(Mt1,'()')
IF(.not.Lhiddn)CALL prtnfn(Fcntyp,Lam,0)
c-----------------------------------------------------------------------
IF(.not.Lhiddn)THEN
IF(.not.Lcmpaq)WRITE(Mt1,'()')
IF(Nb.gt.0)THEN
IF(.not.Lhiddn)WRITE(Mt1,1030)
ELSE
IF(.not.Lhiddn)WRITE(Mt1,1040)
END IF
END IF
c-----------------------------------------------------------------------
IF(Ngrp.gt.0)
& CALL desreg('Regression Model',Ngrp,Grpttl,Grpptr,Ngrptl)
IF(Ngrpfx.gt.0)
& CALL desreg('Regression Model (fixed)',Ngrpfx,Gfxttl,Gfxptr,
& Ngfxtl)
IF(.not.Lfatal)CALL idmdl(Dflist,Niddf,Nidsdf,mxidlg,Lgraf)
IF(Lfatal)RETURN
IF(Niddf.gt.0)Niddf=0
IF(Nidsdf.gt.0)Nidsdf=0
END IF
c-----------------------------------------------------------------------
c Everything beyond, outlier identification, model checking, and
c forecasting all require estimation so the program does not continue
c unless estimation/evaluation is done.
c-----------------------------------------------------------------------
IF(Ldestm)THEN
c-----------------------------------------------------------------------
c If automatic modelling option selected, select a model.
c-----------------------------------------------------------------------
IF(lauto)THEN
IF(Lautom)THEN
IF(Lsumm.gt.0.and.gudrun)
& WRITE(Nform,1060)'automodeltype: ','automdl'
IF(lidotl)THEN
DO i=1,POTLR
cvbak(i)=Critvl(i)
END DO
END IF
C-----------------------------------------------------------------------
IF(Ltimer)THEN
CALL cpu_time(ticks)
IF(Issap.lt.2.and.Irev.lt.4)THEN
WRITE(Nform,9000) 'bautomd:',ticks
ELSE
WRITE(Nform,9000) 'bautomd.diag:',ticks
END IF
END IF
C-----------------------------------------------------------------------
CALL automd(trnsrs,frstry,nefobs,a,na,Lsumm,lidotl,
& Svltab(LSLADF),lsadj,Ltdlom,fctok,Lhiddn,
& Lnoprt)
IF((.not.Lautom).or.Lfatal)RETURN
Hvmdl=T
C-----------------------------------------------------------------------
IF(Ltimer)THEN
CALL cpu_time(ticks)
IF(Issap.lt.2.and.Irev.lt.4)THEN
WRITE(Nform,9000) 'eautomd:',ticks
ELSE
WRITE(Nform,9000) 'eautomd.diag:',ticks
END IF
END IF
C-----------------------------------------------------------------------
c If rejectfcst = yes, test forecast error to see if forecast
c extension should be rejected (BCM July 2007)
C-----------------------------------------------------------------------
IF(Lrejfc)THEN
cfcst='no '
CALL amdfct(trnsrs,mape,Nobspf,Nfcst,F,fctok,F)
IF(Lfatal)RETURN
IF(mape(4).gt.Fctlm2)THEN
CALL nofcst(trnsrs,frstry,Lx11)
IF(Lfatal)RETURN
* IF(Laccss)CALL insacd(Mt1,'p',T)
WRITE(Mt1,1160)mape(4),Fctlm2
* IF(Laccss)CALL insacd(Mt1,'p',F)
cfcst='yes'
END IF
IF(Lsumm.gt.0.and.gudrun)THEN
WRITE(Nform,1060)'rejectfcst: ','yes'
WRITE(Nform,1200)'fcstlim: ',fctlm2
WRITE(Nform,1200)'mape3yr: ',mape(4)
WRITE(Nform,1060)'fcstrejected: ',cfcst
END IF
END IF
C-----------------------------------------------------------------------
IF(Lsumm.gt.0.and.gudrun)THEN
IF(lidotl)THEN
IF(Ltstao)THEN
cdef=' '
IF(dpeq(Critvl(AO),cv))cdef='*'
IF(.not.dpeq(Critvl(AO),cvbak(AO)))cdef='-'
WRITE(Nform,1010)'aocrit: ',Critvl(AO),cdef
END IF
IF(Ltstls)THEN
cdef=' '
IF(dpeq(Critvl(LS),cv))cdef='*'
IF(.not.dpeq(Critvl(LS),cvbak(LS)))cdef='-'
WRITE(Nform,1010)'lscrit: ',Critvl(LS),cdef
END IF
IF(Ltsttc)THEN
cdef=' '
IF(dpeq(Critvl(TC),cv))cdef='*'
IF(.not.dpeq(Critvl(TC),cvbak(TC)))cdef='-'
WRITE(Nform,1010)'tccrit: ',Critvl(TC),cdef
END IF
WRITE(Nform,1020)'reducecv: ',Predcv
END IF
WRITE(Nform,1060)'automdl: ',Bstdsn(1:Nbstds)
WRITE(Nform,1050)Bstdsn(1:Nbstds)
WRITE(Nform,1061)'maxiter: ',Mxiter
WRITE(Nform,1021)'tol: ',Tol
END IF
IF(Svltab(LSLAMD))WRITE(Ng,1080)Bstdsn(1:Nbstds)
ELSE
hvstar=0
IF(Lsumm.gt.0.and.gudrun)
& WRITE(Nform,1060)'automodeltype: ','pickmdl'
CALL automx(trnsrs,frstry,nefobs,a,na,Hvmdl,hvstar,lsadj,
& lidotl,ltdlom,fctok,Lhiddn,Lsumm)
IF(Lfatal)RETURN
IF(Lsumm.gt.0.and.gudrun)THEN
IF(lidotl)THEN
IF(Ltstao)THEN
cdef=' '
IF(dpeq(Critvl(AO),cv))cdef='*'
WRITE(Nform,1010)'aocrit: ',Critvl(AO),cdef
END IF
IF(Ltstls)THEN
cdef=' '
IF(dpeq(Critvl(LS),cv))cdef='*'
WRITE(Nform,1010)'lscrit: ',Critvl(LS),cdef
END IF
IF(Ltsttc)THEN
cdef=' '
IF(dpeq(Critvl(TC),cv))cdef='*'
WRITE(Nform,1010)'tccrit: ',Critvl(TC),cdef
END IF
END IF
IF(hvstar.eq.2)THEN
WRITE(Nform,1060)'automdl(default): ',Bstdsn(1:Nbstds)
ELSE
WRITE(Nform,1060)'automdl: ',Bstdsn(1:Nbstds)
END IF
WRITE(Nform,1050)Bstdsn(1:Nbstds)
WRITE(Nform,1061)'maxiter: ',Mxiter
WRITE(Nform,1021)'tol: ',Tol
END IF
IF(Svltab(LSLAMX))THEN
IF(hvstar.eq.2)THEN
WRITE(Ng,1070)Bstdsn(1:Nbstds)
ELSE
WRITE(Ng,1080)Bstdsn(1:Nbstds)
END IF
END IF
END IF
c-----------------------------------------------------------------------
c Save aictest information in log file, if AIC tests performed.
c-----------------------------------------------------------------------
IF(Svltab(LSLTST).or.(Lsumm.gt.0.and.gudrun))THEN
IF((Itdtst.gt.0.or.Lomtst.gt.0.or.Leastr.or.Luser).and.
& (Lsumm.gt.0.and.gudrun))THEN
IF(.not.dpeq(Pvaic,DNOTST))
& WRITE(Nform,1021)'aictest.pv: ',ONE-Pvaic
END IF
CALL svaict(Itdtst.gt.0,Lomtst.gt.0,Leastr,Luser,
& Svltab(LSLTST),Hvmdl,Lsumm,'selected ',8)
IF(Lfatal)RETURN
END IF
IF(Itdtst.gt.0)Itdtst=0
IF(Leastr)Leastr=F
IF(Luser)Luser=F
c-----------------------------------------------------------------------
c If a model is not selected, turn off prior adjustment by regARIMA
c factors.
c-----------------------------------------------------------------------
IF(Hvmdl)THEN
CALL ssprep(T,F,F)
ELSE
IF(Adjtd.eq.1)Adjtd=0
IF(Adjhol.eq.1)Adjhol=0
IF(Adjao.eq.1)Adjao=0
IF(Adjls.eq.1)Adjls=0
IF(Adjtc.eq.1)Adjtc=0
IF(Adjso.eq.1)Adjso=0
IF(Adjcyc.eq.1)Adjcyc=0
IF(Adjusr.eq.1)Adjusr=0
IF(Adjsea.eq.1)Adjsea=0
IF((.NOT.(Axrghl.or.Axruhl.or.Khol.ge.1)).and.Finhol)Finhol=F
IF(Finao)Finao=F
IF(Finls)Finls=F
IF(Fintc)Fintc=F
IF(Finusr)Finusr=F
IF(Nfcst.gt.0)THEN
Posffc=Posfob
IF(Nfdrp.gt.0)Nfdrp=0
END IF
IF(nbeg.gt.0.or.nend.gt.0)
& CALL setspn(Sp,nend,nbeg,Begspn,Endspn,Begmdl,Endmdl,Nspobs,
& Frstsy,Nobspf,Begsrs,Nobs,Nfcst,Fctdrp,Nomnfy,
& Begadj,Adj1st)
IF(Itdtst.gt.0)Itdtst=0
IF(Leastr)Leastr=F
IF(Luser)Luser=F
IF(Irev.gt.0)THEN
IF(Lrvfct)Lrvfct=F
IF(Lrvaic)Lrvaic=F
IF(Lrvarma)Lrvarma=F
IF(Lrvtdrg)Lrvtdrg=F
IF(lsadj)THEN
IF(.not.(Lrvsa.or.Lrvsf.or.Lrvch.or.Lrvtrn.or.Lrvtch))Irev=0
ELSE
Irev=0
END IF
END IF
IF(Missng.and.lsadj)THEN
IF(Lx11)Lx11=F
IF(Lseats)Lseats=F
CALL writln('ERROR: Cannot perform seasonal adjustment if '//
& 'the automatic model',STDERR,Mt2,T)
CALL writln(' selection procedure cannot select an '//
& 'ARIMA model and missing',STDERR,Mt2,F)
CALL writln(' value regressors are part of the model.',
& STDERR,Mt2,T)
END IF
IF(.not.Convrg)CALL abend()
RETURN
END IF
ELSE
IF(Lsumm.gt.0.and.gudrun)
& WRITE(Nform,1060)'automodeltype: ','none'
c-----------------------------------------------------------------------
c Print the BoxCox transformation parameter
c-----------------------------------------------------------------------
IF(Prttab(LESTMD))THEN
IF(.not.Lcmpaq)WRITE(Mt1,'()')
WRITE(Mt1,1090)
CALL prprad(Adjttl,Nadjcr,Nustad,Nuspad,Priadj,Reglom)
IF(Priadj.gt.0)WRITE(Mt1,'()')
CALL prtnfn(Fcntyp,Lam,0)
c-----------------------------------------------------------------------
c Short description of the regression and ARIMA parts of the model
c-----------------------------------------------------------------------
IF(Ngrp.gt.0)
& CALL desreg('Regression Model',Ngrp,Grpttl,Grpptr,Ngrptl)
IF(Ngrpfx.gt.0)
& CALL desreg('Regression Model (fixed)',Ngrpfx,Gfxttl,Gfxptr,
& Ngfxtl)
IF(Lfatal)RETURN
CALL dsarma(Lcmpaq)
CALL prtmsp(Begmdl,Endmdl,Sp,F)
IF(Lfatal)RETURN
END IF
c ------------------------------------------------------------------
IF(Lsumm.gt.0.and.gudrun)THEN
IF(Nmdl.gt.0)THEN
WRITE(Nform,1050)Mdldsn(1:Nmddcr)
ELSE
WRITE(Nform,1050)'(0 0 0)'
END IF
WRITE(Nform,1061)'maxiter: ',Mxiter
WRITE(Nform,1021)'tol: ',Tol
END IF
c ------------------------------------------------------------------
IF(.not.Lhiddn.and.istrue(Prttab,LESTOP,LESTRS))WRITE(Mt1,1100)
IF(Prttab(LESTOP))CALL prtopt(Lestim,Mxiter,Mxnlit)
c-----------------------------------------------------------------------
c Estimate the regression and ARMA parameters and print the results.
c-----------------------------------------------------------------------
IF(Leastr.or.(Luser.and.Ncusrx.gt.0).or.Itdtst.gt.0.or.
& Lomtst.gt.0.or.(Ch2tst.and.Nguhl.gt.0))THEN
litr=Prttab(LESTIT).or.Savtab(LESTIT)
lfm=Prttab(LRGATS).and.Prttab(LESTFM)
IF((Itdtst.gt.0.or.Lomtst.gt.0.or.Leastr.or.Luser).and.
& (Lsumm.gt.0.and.gudrun))THEN
IF(.not.dpeq(Pvaic,DNOTST))
& WRITE(Nform,1021)'aictest.pv: ',ONE-Pvaic
END IF
IF(Itdtst.gt.0)THEN
CALL tdaic(trnsrs,a,nefobs,na,frstry,lester,iaic,ltdlom,litr,
& Prttab(LRGATS),lfm,Svltab(LSLTST),Lsumm,Lhiddn)
IF(Lfatal)RETURN
IF(Svltab(LSLTST).or.(Lsumm.gt.0.and.gudrun))THEN
CALL svaict(Itdtst.gt.0,F,F,F,Svltab(LSLTST),.not.lester,
& Lsumm,'estimated',9)
IF(Lfatal)RETURN
END IF
IF(lester)THEN
CALL writln('ERROR: An model estimation error has occurred du
&ring the AIC testing of',STDERR,Mt2,T)
CALL writln(' trading day regressor(s). The error mess
&age appears below.',STDERR,Mt2,F)
CALL prterr(nefobs,lauto)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c If different trading day chosen, resave regARIMA model variables
c for sliding spans analysis
c-----------------------------------------------------------------------
IF(iaic.ge.1)CALL ssprep(T,F,F)
END IF
c-----------------------------------------------------------------------
IF(.not.lester.and.Lomtst.gt.0)THEN
CALL lomaic(trnsrs,a,nefobs,na,frstry,lester,litr,
& Prttab(LRGATS),lfm,Svltab(LSLTST),Lsumm,Lhiddn)
IF(Lfatal)RETURN
IF(Svltab(LSLTST).or.(Lsumm.gt.0.and.gudrun))THEN
CALL svaict(F,Lomtst.gt.0,F,F,Svltab(LSLTST),.not.lester,
& Lsumm,'estimated',9)
IF(Lfatal)RETURN
END IF
IF(lester)THEN
CALL writln('ERROR: An model estimation error has occurred du
&ring the AIC testing of',STDERR,Mt2,T)
CALL writln(' lom/loq/lpyear regressor(s). The error m
&essage appears below.',STDERR,Mt2,F)
CALL prterr(nefobs,lauto)
IF(Lfatal)RETURN
END IF
CALL ssprep(T,F,F)
END IF
c-----------------------------------------------------------------------
IF(.not.lester.and.Leastr)THEN
CALL easaic(trnsrs,a,nefobs,na,frstry,lester,litr,
& Prttab(LRGATS),lfm,Svltab(LSLTST),Lsumm,Lhiddn)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Resave regARIMA model variables for sliding spans analysis
c-----------------------------------------------------------------------
IF(Svltab(LSLTST).or.(Lsumm.gt.0.and.gudrun))THEN
CALL svaict(F,F,Leastr,F,Svltab(LSLTST),.not.lester,Lsumm,
& 'estimated',9)
IF(Lfatal)RETURN
END IF
IF(lester)THEN
CALL writln('ERROR: An model estimation error has occurred du
&ring the AIC testing of',STDERR,Mt2,T)
CALL writln(' an Easter regressor. The error message a
&ppears below.',STDERR,Mt2,F)
CALL prterr(nefobs,lauto)
IF(Lfatal)RETURN
END IF
CALL ssprep(T,F,F)
END IF
IF(.not.lester.and.(Luser.and.Ncusrx.gt.0))THEN
CALL usraic(trnsrs,a,nefobs,na,frstry,lester,litr,
& Prttab(LRGATS),lfm,Svltab(LSLTST),Lsumm,Lhiddn)
IF(Lfatal)RETURN
IF(Svltab(LSLTST).or.(Lsumm.gt.0.and.gudrun))THEN
CALL svaict(F,F,F,Luser,Svltab(LSLTST),.not.lester,Lsumm,
& 'estimated',9)
IF(Lfatal)RETURN
END IF
IF(lester)THEN
CALL writln('ERROR: An model estimation error has occurred du
&ring the AIC testing of',STDERR,Mt2,T)
CALL writln(' user defined regressor(s). The error mes
&sage appears below.',STDERR,Mt2,F)
CALL prterr(nefobs,lauto)
IF(Lfatal)RETURN
END IF
CALL ssprep(T,F,F)
END IF
c-----------------------------------------------------------------------
c perform chi-square testing for user-defined holiday regressors
c-----------------------------------------------------------------------
IF(.not.lester.and.Ch2tst.and.Ncusrx.eq.0)THEN
Ch2tst=F
Nguhl=0
IF(Prttab(LRGCTS))THEN
write(Mt1,*)' All user-defined regressors deleted; '//
& 'no chi-square testing will be performed.'
IF(.not.Lcmpaq)WRITE(Mt1,*)' '
END IF
IF(Svltab(LSLCTS))THEN
write(Ng,*)' All user-defined regressors deleted; '//
& 'no chi-square testing will be performed.'
IF(.not.Lcmpaq)WRITE(Ng,*)' '
END IF
END IF
IF(.not.lester.and.(Ch2tst.and.Nguhl.gt.0))THEN
CALL chkchi(trnsrs,a,nefobs,na,frstry,lester,litr,
& Prttab(LRGCTS),Lsumm.gt.0.and.gudrun,
& Svltab(LSLCTS))
IF(lester)THEN
CALL writln('ERROR: An model estimation error has occurred du
&ring the testing of',STDERR,Mt2,T)
CALL writln(' a user-defined holiday regressor. The er
&ror message appears below.',STDERR,Mt2,F)
CALL prterr(nefobs,lauto)
IF(Lfatal)RETURN
END IF
CALL ssprep(T,F,F)
END IF
c-----------------------------------------------------------------------
c Turn off AIC test options
c-----------------------------------------------------------------------
IF(Itdtst.gt.0)Itdtst=0
IF(Leastr)Leastr=F
IF(Luser)Luser=F
IF(Ch2tst)Ch2tst=F
ELSE
c-----------------------------------------------------------------------
c Estimate the regression and ARMA parameters and print the results.
c-----------------------------------------------------------------------
CALL rgarma(Lestim,Mxiter,Mxnlit,(Prttab(LESTIT).or.
& Savtab(LESTIT)),a,na,nefobs,ltmp)
c-----------------------------------------------------------------------
c check to see if there are estimation errors in previous model
c estimation
c-----------------------------------------------------------------------
IF(.not.Lfatal)CALL prterr(nefobs,lauto)
IF(Lfatal)RETURN
c------------------------------------------------------------------------
c If model estimation saves the estimation iterations, turn this off
c for the rest of the run
c------------------------------------------------------------------------
IF(Savtab(LESTIT))Savtab(LESTIT)=F
END IF
Hvmdl=T
c-----------------------------------------------------------------------
c Outlier identification
c-----------------------------------------------------------------------
IF(.not.lester.and.lidotl)THEN
c-----------------------------------------------------------------------
IF(Prttab(LOTLHD))THEN
CALL prothd(Begtst,Endtst,Ltstao,Ltstls,Ltsttc,Ladd1,
& Critvl)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
IF(Prttab(LOTLIT))THEN
IF(Prttab(LESAFC).and.Var.gt.ZERO)THEN
CALL amdfct(trnsrs,mape,Nobspf,Nfcst,F,fctok,F)
IF(Lfatal)RETURN
IF(fctok)CALL prafce(Mt1,mape,Outfct,T)
END IF
IF(.not.Lfatal)CALL prtmdl(Lestim,Prttab(LESTES),Lcalcm,F,F,F,
& Prttab(LESTCM),F,Prttab(LESTES),
& itmp,Prttab(LESTES),
& F,Prttab(LESTIT))
c-----------------------------------------------------------------------
IF(.not.Lfatal)CALL prlkhd(Y(Frstsy),Adj(Adj1st),Adjmod,
& Fcntyp,Lam,F,F,F)
END IF
C-----------------------------------------------------------------------
IF(Ltimer)THEN
CALL cpu_time(ticks)
IF(Issap.lt.2.and.Irev.lt.4)THEN
WRITE(Nform,9000) 'bidotlr:',ticks
ELSE
WRITE(Nform,9000) 'bidotlr.diag:',ticks
END IF
END IF
C-----------------------------------------------------------------------
IF(.not.Lfatal)
& CALL idotlr(Ltstao,Ltstls,Ltsttc,Ladd1,Critvl,Cvrduc,
& Begtst,Endtst,nefobs,Lestim,Mxiter,Mxnlit,lautid,
& a,trnsrs,Nobspf,Nfcst,Outfct,fctok,F,0,F,
& Prttab(LOTLTS),Prttab(LOTLIT),Savtab(LOTLIT),
& Prttab(LOTLFT),Savtab(LOTLFT),Lgraf,
& Lsumm.gt.0.and.gudrun)
C-----------------------------------------------------------------------
IF(Ltimer)THEN
CALL cpu_time(ticks)
IF(Issap.lt.2.and.Irev.lt.4)THEN
WRITE(Nform,9000) 'eidotlr:',ticks
ELSE
WRITE(Nform,9000) 'eidotlr.diag:',ticks
END IF
END IF
C-----------------------------------------------------------------------
IF((.not.Lfatal).and.(.not.Convrg))CALL prterr(Nefobs,lauto)
IF(.not.Lfatal)CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,0,Userx,
& Bgusrx,Nrusrx,Priadj,Reglom,Nrxy,
& Begxy,frstry,T,Elong)
IF(Lfatal)RETURN
CALL ssprep(T,F,F)
IF(Lsumm.gt.0.and.gudrun)THEN
IF(Ltstao)THEN
cdef=' '
IF(dpeq(Critvl(AO),cv))cdef='*'
WRITE(Nform,1010)'aocrit: ',Critvl(AO),cdef
END IF
IF(Ltstls)THEN
cdef=' '
IF(dpeq(Critvl(LS),cv))cdef='*'
WRITE(Nform,1010)'lscrit: ',Critvl(LS),cdef
END IF
IF(Ltsttc)THEN
cdef=' '
IF(dpeq(Critvl(TC),cv))cdef='*'
WRITE(Nform,1010)'tccrit: ',Critvl(TC),cdef
END IF
END IF
END IF
END IF
c-----------------------------------------------------------------------
c Check AO or LS sequence regressors (BCM: April 2012)
c-----------------------------------------------------------------------
IF(Nseq.gt.0)THEN
IF(dpeq(Tlimit,DNOTST))THEN
DO i=1,Nb
rtype=Rgvrtp(i)
IF(rtype.eq.PRSQLS.or.rtype.eq.PRSQAO)THEN
Rgvrtp(i)=Rgvrtp(i)-100
END IF
END DO
ELSE
c-----------------------------------------------------------------------
c Print model with all members of sequence
c-----------------------------------------------------------------------
IF(Var.gt.ZERO)THEN
IF(Prttab(LESAFC))
& CALL amdfct(trnsrs,mape,Nobspf,Nfcst,F,fctok,F)
IF(Lfatal)RETURN
IF(fctok.and.Prttab(LESAFC))CALL prafce(Mt1,mape,Outfct,T)
END IF
CALL prtmdl(Lestim,Prttab(LESTES),Lcalcm,F,F,F,F,F,
& Prttab(LESTES),itmp,Prttab(LESTES),F,F)
c-----------------------------------------------------------------------
c Generate t-statistics
c-----------------------------------------------------------------------
CALL genrtt(tval)
c-----------------------------------------------------------------------
c Check to see if abs(t-stat) > Tlimit
c-----------------------------------------------------------------------
iseq=0
i=Nb
DO WHILE (i.ge.1)
rtype=Rgvrtp(i)
IF(rtype.eq.PRSQLS.or.rtype.eq.PRSQAO)THEN
IF(abs(tval(i)).lt.Tlimit)THEN
c-----------------------------------------------------------------------
IF(Prttab(LESTES))THEN
CALL getstr(Colttl,Colptr,Ncoltl,i,tmpttl,ntmpcr)
IF(iseq.eq.0)WRITE(Mt1,1120)Tlimit
WRITE(Mt1,1130)tmpttl(1:ntmpcr),tval(i)
END IF
c-----------------------------------------------------------------------
CALL dlrgef(i,Nrxy,1)
IF(Lfatal)RETURN
iseq=iseq+1
ELSE
Rgvrtp(i)=Rgvrtp(i)-100
END IF
END IF
i=i-1
END DO
c-----------------------------------------------------------------------
IF(iseq.gt.0)THEN
IF(Prttab(LESTES))WRITE(Mt1,1140)
c ------------------------------------------------------------------
c If model has been changed, regenerate regression matrix
c ------------------------------------------------------------------
CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
CALL rgarma(Lestim,Mxiter,Mxnlit,(Prttab(LESTIT).or.
& Savtab(LESTIT)),a,na,nefobs,ltmp)
c ------------------------------------------------------------------
IF(.not.Lfatal)CALL prterr(nefobs,lauto)
IF(Lfatal)RETURN
END IF
END IF
CALL ssprep(T,F,F)
END IF
c-----------------------------------------------------------------------
c Compute and print out average forecast error from original
c X-11-ARIMA
c-----------------------------------------------------------------------
IF(Var.gt.ZERO)THEN
IF(Prttab(LESAFC).or.Svltab(LSLAFC).or.ldiag)
& CALL amdfct(trnsrs,mape,Nobspf,Nfcst,F,fctok,F)
IF(Lfatal)RETURN
IF(fctok.and.Prttab(LESAFC))CALL prafce(Mt1,mape,Outfct,T)
c-----------------------------------------------------------------------
c Print out entry for log
c-----------------------------------------------------------------------
IF(fctok.and.Svltab(LSLAFC))THEN
IF(Outfct)THEN
WRITE(Ng,1210)'out-of-sample forecasts'
ELSE
WRITE(Ng,1210)'within-sample forecasts'
END IF
WRITE(Ng,1220)(mape(i),i=1,4)
END IF
IF(fctok.and.ldiag)THEN
IF(Outfct)THEN
WRITE(Nform,'(a)')'aape.mode: outofsample'
ELSE
WRITE(Nform,'(a)')'aape.mode: withinsample'
END IF
WRITE(Nform,1200)'aape.0: ',mape(4)
WRITE(Nform,1200)'aape.1: ',mape(1)
WRITE(Nform,1200)'aape.2: ',mape(2)
WRITE(Nform,1200)'aape.3: ',mape(3)
END IF
ELSE
fctok=F
END IF
IF(.not.fctok)THEN
IF(Svltab(LSLAFC))WRITE(Ng,1210)'none'
IF(ldiag)WRITE(Nform,'(a)')'aape.mode: none'
END IF
c-----------------------------------------------------------------------
c Print out the final model
c-----------------------------------------------------------------------
IF(Iregfx.ge.2)THEN
CALL addfix(trnsrs,Nbcst,0,1)
IF(.not.Lfatal)
& CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
IF(Lfatal)RETURN
END IF
CALL prtmdl(Lestim,Prttab(LESTES),Lcalcm,Savtab(LESTES),Lgraf,
& ldiag,Prttab(LESTCM),Savtab(LESTCM),Prttab(LESTES),
& Lsrun,Prttab(LESTES),Prttab(LOTLTL),Prttab(LESTIT))
c-----------------------------------------------------------------------
c Print out entries for diagnostic and log files related to outlier
c regressors
c-----------------------------------------------------------------------
CALL savotl(Lsumm,Svltab(LSLAOT),gudrun,lidotl)
c-----------------------------------------------------------------------
IF(Convrg.and.Lestim.and.gudrun.and.Nliter.gt.BADITR)THEN
IF(.not.Lquiet)WRITE(STDERR,1101)BADITR
IF(Prttab(LESTIT).or.Prttab(LESTES))WRITE(Mt1,1101)BADITR
WRITE(Mt2,1101)
1101 FORMAT(/,' WARNING: Convergence of the coefficient estimation ',
& 'procedure required',/,
& ' more than ',i3,' iterations. This often ',
& 'indicates some inadequacy',/
& ' in the model being estimated.',/)
END IF
c-----------------------------------------------------------------------
IF(Lestim.and.Prttab(LESTES).and.gudrun)THEN
begopr=Opr(Mdl(AR-1)-1)
endopr=Opr(Mdl(MA)-1)-1
IF(istrue(Arimaf,begopr,endopr))THEN
CALL writln(' NOTE: Fixed values have been assigned to some reg
&ression and ARIMA model',Mt1,Mt2,T)
CALL writln(' coefficients. If these values are estimate
&s calculated by '//PRGNAM//',',Mt1,Mt2,F)
CALL writln(' then the model comparison statistics (AIC,
&AICC, Hannan Quinn, and BIC)',Mt1,Mt2,F)
CALL writln(' and the P-values of the Q''s of the sample
&autocorrelations of the',Mt1,Mt2,F)
CALL writln(' residuals below are invalid and should not
&be used.',Mt1,Mt2,F)
ELSE IF(istrue(Regfx,1,Nb))THEN
CALL writln(' NOTE: Fixed values have been assigned to some reg
&ression coefficients.',Mt1,Mt2,T)
CALL writln(
& ' If these values are estimates calculated by '//
& PRGNAM//', then the',Mt1,Mt2,F)
CALL writln(' model comparison statistics (AIC, AICC, Han
&nan Quinn and BIC)',Mt1,Mt2,F)
CALL writln(
& ' below are invalid and should not be used.',Mt1,Mt2,F)
END IF
END IF
c-----------------------------------------------------------------------
IF(.not.Lfatal.and.Prttab(LESTAM).and.Lcalcm)CALL armacr
IF(.not.Lfatal.and.Savtab(LESTAM).and.Lcalcm)CALL svamcm
IF(Lfatal)RETURN
IF(Prttab(LESTST).or.Savtab(LESTST).or.Prttab(LESTFM).or.
& Irev.eq.4.or.ldiag)
& CALL prlkhd(Y(Frstsy),Adj(Adj1st),Adjmod,Fcntyp,Lam,
& Savtab(LESTST),Prttab(LESTST),Prttab(LESTFM))
IF(Lfatal)RETURN
IF(ldiag.and.(.not.dpeq(Lnlkhd,DNOTST)))THEN
WRITE(Nform,1061)'nefobs: ',nefobs
WRITE(Nform,1200)'loglikelihood: ',Lnlkhd
WRITE(Nform,1200)'aic: ',Aic
WRITE(Nform,1200)'aicc: ',Aicc
WRITE(Nform,1200)'bic: ',Bic
WRITE(Nform,1200)'hq: ',Hnquin
IF(Eick.gt.0)THEN
WRITE(Nform,1200)'eic: ',Eic
WRITE(Nform,1200)'k: ',Eick
END IF
END IF
IF(Svltab(LSLAIC).and.(.not.dpeq(Aic,DNOTST)))
& WRITE(Ng,1200)' AIC : ',Aic
IF(Svltab(LSLACC).and.(.not.dpeq(Aicc,DNOTST)))
& WRITE(Ng,1200)' AICC : ',Aicc
IF(Svltab(LSLBIC).and.(.not.dpeq(Bic,DNOTST)))
& WRITE(Ng,1200)' BIC : ',Bic
IF(Svltab(LSLHQ).and.(.not.dpeq(Hnquin,DNOTST)))
& WRITE(Ng,1200)' Hannan-Quinn : ',Hnquin
IF(Svltab(LSLEIC).and.(.not.dpeq(Eic,DNOTST)))
& WRITE(Ng,1201)' EIC (k=',Eick,') : ',Eic
c-----------------------------------------------------------------------
c Print out the roots of the AR and MA polynomials
c-----------------------------------------------------------------------
IF(Prttab(LESTRT).or.Savtab(LESTRT).or.Svltab(LSLRTS).or.
& ldiag)THEN
CALL prtrts(Prttab(LESTRT),Savtab(LESTRT),Svltab(LSLRTS),ldiag)
IF(Lfatal)RETURN
END IF
END IF
c-----------------------------------------------------------------------
c Print out the regression matrix with the added outliers
c-----------------------------------------------------------------------
IF(Prttab(LREGDT).and.Nb.gt.0)THEN
CALL prtshd('Regression Matrix',Begxy,Sp,Nrxy,T)
IF(.not.Lfatal)CALL prtmtx(Begxy,Sp,Xy,Nrxy,Ncxy,Colttl,Colptr,
& Ncoltl)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
IF(Savtab(LREGDT))THEN
CALL savmtx(LREGDT,Begxy,Sp,Xy,Nrxy,Ncxy,Colttl,Colptr,Ncoltl)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
IF(Prttab(LRGTDW).and.Lcalcm)CALL prtdwr()
c-----------------------------------------------------------------------
IF(Ldestm)THEN
IF(Savtab(LESTMD))THEN
CALL savmdl(Begxy,Nrxy,Elong)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c Print out the residuals
c-----------------------------------------------------------------------
IF(Prttab(LESTRS).or.Savtab(LESTRS))THEN
CALL addate(Begspn,Sp,Nspobs-na,idate)
c-----------------------------------------------------------------------
IF(Prttab(LESTRS))THEN
outdec=Kdec
IF(outdec.lt.3)outdec=3
CALL prtshd('Model Residuals',idate,Sp,na,T)
IF(Lfatal)RETURN
CALL prttbl(idate,Sp,a,na,'Data',outdec)
END IF
c-----------------------------------------------------------------------
IF(Savtab(LESTRS))THEN
CALL savtbl(LESTRS,idate,1,na,Sp,a,Serno,Nser,F)
IF(Lfatal)RETURN
END IF
END IF
c-----------------------------------------------------------------------
c Calculate the ACF, ACF of squared residual, and residual histogram
c-----------------------------------------------------------------------
IF(Convrg)THEN
IF(Mxcklg.gt.0)THEN
IF(.not.Lhiddn.and.istrue(Prttab,LCKACF,LCKNRM))WRITE(Mt1,1110)
CALL prtacf(LSPCHK,nefobs,a,na,Mxcklg,Lgraf,ldiag,NOTSET,
& NOTSET)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
IF(gudrun)THEN
nlagbl=MIN(Mxcklg,Sp*2)
IF(ldiag.or.Svltab(LSLLBQ).or.Svltab(LSLLBQ+1))
& CALL acfdgn(nefobs,a,na,Mxcklg,nlagbl,ldiag)
c-----------------------------------------------------------------------
CALL pracf2(nefobs,a,na,Mxcklg,Lgraf,ldiag)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
IF(Prttab(LCKHST).and.Var.gt.ZERO)THEN
WRITE(Mt1,1170)
CALL hist(a(na-nefobs+1),Begspn,Sp,nefobs,Nobs-nefobs,Muladd)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
IF((Prttab(LCKNRM).or.Savtab(LCKNRM).or.Svltab(LSLNRM)).and.
& Var.gt.ZERO.and.gudrun)THEN
IF(Prttab(LCKNRM))WRITE(Mt1,1180)
CALL nrmtst(a(na-nefobs+1),nefobs,Prttab(LCKNRM),
& Savtab(LCKNRM),Svltab(LSLNRM))
END IF
c-----------------------------------------------------------------------
IF((Prttab(LCKDW).or.Savtab(LCKDW).or.Svltab(LSLCDW)).and.
& Var.gt.ZERO.and.gudrun)THEN
IF(Prttab(LCKDW))WRITE(Mt1,1181)
rvar = ZERO
DO i = na-nefobs+1,na
rvar = rvar + a(i)*a(i)
END DO
dw = ZERO
do i = na-nefobs+2,Na
dw = dw + (a(i)-a(i-1))**2
end do
dw = dw / rvar
IF(Prttab(LCKDW))write(Mt1,1300)'dw',dw
IF(Svltab(LSLCDW))WRITE(Ng,1300)'Durbin-Watson statistic',dw
IF(Savtab(LCKDW))write(Nform,9000)'durbinwatson: ',dw
END IF
c-----------------------------------------------------------------------
IF((Prttab(LCKFRT).or.Savtab(LCKFRT).or.Svltab(LSLCFR)).and.
& Var.gt.ZERO.and.gudrun)THEN
IF(Prttab(LCKFRT))WRITE(Mt1,1182)
Ken = kendalls(a(na-nefobs+1),nefobs,Sp)
IF(Prttab(LCKFRT))
& write(Mt1,1310)'ken',Ken,Sp-1,chisq(Ken,Sp-1)
IF(Savtab(LCKFRT))
& write(Nform,9001)'friedman: ',Ken,Sp-1,chisq(Ken,Sp-1)
IF(Svltab(LSLCFR))
& write(Ng,1310)'Friedman test',Ken,Sp-1,chisq(Ken,Sp-1)
END IF
END IF
c-----------------------------------------------------------------------
IF((Prttab(LSPCQS).or.Savtab(LSPCQS).or.Svltab(LSLQS)).and.
& Var.gt.ZERO.and.gudrun.and.Sp.gt.1)THEN
QsRsd = calcqs(a,na-nefobs,na,Sp)
IF(Prttab(LSPCQS))
& WRITE(Mt1,1185)'full series',QsRsd,chisq(QsRsd,2)
CALL addate(Begspn,Sp,Nspobs-na,idate)
CALL dfdate(Bgspec,idate,Sp,ipos)
IF(ipos.gt.0)THEN
QsRsd2 = calcqs(a,ipos,na,Sp)
CALL wrtdat(Bgspec,Sp,begstr,nchr)
IF(Prttab(LSPCQS))
& WRITE(Mt1,1185)'starting '//begstr(1:nchr),QsRsd2,
& chisq(QsRsd2,2)
END IF
END IF
c-----------------------------------------------------------------------
IF((Prttab(LSPCRS).or.Savtab(LSPCRS).or.Prttab(LSPCTP).or.
& Savtab(LSPCTP).or.Lsumm.gt.0.or.Lgraf).and.Var.gt.ZERO
& .and.(Sp.eq.12).and.gudrun)THEN
CALL addate(Begspn,Sp,Nspobs-na,idate)
c CALL addate(idate,Sp,na-nefobs+1,idate)
CALL spcrsd(a,na,idate,Sp,Endspn,LSPCRS,F,Lsumm,Lgraf)
c CALL spcrsd(a(na-nefobs+1),nefobs,idate,Sp,Endspn,LSPCRS,
c & Lsumm,Lgraf)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c If Length of Month Adjustment indicator has changed, adjust
c value of Sto and related variables (BCM 3-30-2011)
c-----------------------------------------------------------------------
IF(ilom.ne.Priadj)THEN
CALL copy(Orig(Pos1ob),Nomnfy,-1,Sto(Pos1ob))
lastpr=Nofpob
IF(Pos1ob.gt.1)lastpr=lastpr+Pos1ob-1
CALL divsub(Sto,Sto,Sprior,Pos1ob,lastpr)
END IF
c-----------------------------------------------------------------------
c Reset ending date of span for forecasting, if necessary.
c-----------------------------------------------------------------------
IF(nend.gt.0)THEN
CALL setspn(Sp,nend,0,Begspn,Endspn,Begmdl,Endmdl,Nspobs,
& Frstsy,Nobspf,Begsrs,Nobs,Nfcst,Fctdrp,Nomnfy,
& Begadj,Adj1st)
c-----------------------------------------------------------------------
c Recopy the series into trnsrs, and redo the transformation
c-----------------------------------------------------------------------
CALL copy(Sto(Pos1ob+nbeg),Nspobs,-1,trnsrs)
CALL trnfcn(trnsrs,Nspobs,Fcntyp,Lam,trnsrs)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Generate regression matrix
c-----------------------------------------------------------------------
CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
& Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c Forecasts
c-----------------------------------------------------------------------
IF(Nfcst.gt.0)THEN
CALL prtfct(Nobspf,Nrxy,Fcntyp,Lam,Lognrm,Fctdrp,Nfcst,Ciprob,
& fcstx,untfct,Kdec,Posfob,Lgraf,
& Lsumm.gt.0.and.gudrun,Lseats,Khol,Kswv)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c Backcasts
c-----------------------------------------------------------------------
IF(Nbcst.gt.0)THEN
CALL mkback(trnsrs,Priadj,bcstx,untbct,Pos1bk,Kdec,Lgraf)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c Reset beginning dates of span, if necessary.
c-----------------------------------------------------------------------
IF(nbeg.gt.0)THEN
CALL setspn(Sp,nend,nbeg,Begspn,Endspn,Begmdl,Endmdl,Nspobs,
& Frstsy,Nobspf,Begsrs,Nobs,Nfcst,Fctdrp,Nomnfy,
& Begadj,Adj1st)
c-----------------------------------------------------------------------
IF(ilom.ne.Priadj)THEN
CALL copy(Orig(Pos1ob),Nomnfy,-1,Sto(Pos1ob))
lastpr=Nofpob
IF(Pos1ob.gt.1)lastpr=lastpr+Pos1ob-1
CALL divsub(Sto,Sto,Sprior,Pos1ob,lastpr)
IF(Nustad.gt.0)THEN
CALL copy(Usrtad(Frstat+Lsp-1),Nspobs,1,dvec(Pos1ob))
CALL divsub(Stoap,Sto,dvec,Pos1ob,Posfob)
END IF
IF(Nuspad.gt.0)THEN
CALL copy(Usrpad(Frstap+Lsp-1),Nspobs,1,dvec(Pos1ob))
CALL divsub(Stopp,Sto,dvec,Pos1ob,Posfob)
CALL divsub(Stoap,Stoap,dvec,Pos1ob,Posfob)
END IF
END IF
c-----------------------------------------------------------------------
c Recopy the series into trnsrs, and redo the transformation
c-----------------------------------------------------------------------
CALL copy(Sto(Pos1ob),Nspobs,-1,trnsrs)
CALL trnfcn(trnsrs,Nspobs,Fcntyp,Lam,trnsrs)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Generate regression matrix
c-----------------------------------------------------------------------
CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,Nbcst,Userx,Bgusrx,
& Nrusrx,Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c If estimation did not converge, exit with an error
c-----------------------------------------------------------------------
ELSE
CALL abend
RETURN
END IF
END IF
c-----------------------------------------------------------------------
c Extend Series with backcasts and forecasts
c-----------------------------------------------------------------------
* write(Mtprof,*) ' trnsrs(1) = ',trnsrs(1)
CALL setdp(ZERO,PLEN,orix)
IF(Ldestm.and.((Nfcst.gt.0.and.Nfdrp.gt.0).or.Nbcst.gt.0))THEN
CALL extend(trnsrs,Begxy,orix,Extok,Lam,fcstx,bcstx)
IF(Lfatal)RETURN
ELSE
CALL copy(trnsrs,Nobspf,1,orix(Pos1ob))
END IF
* write(Mtprof,*) ' Orix(Pos1bk) = ',Orix(Pos1bk)
c-----------------------------------------------------------------------
c initialize regression factors to zero
c-----------------------------------------------------------------------
CALL setdp(ZERO,PLEN,ftd)
CALL setdp(ZERO,PLEN,fhol)
CALL setdp(ZERO,PLEN,fao)
CALL setdp(ZERO,PLEN,fls)
CALL setdp(ZERO,PLEN,ftc)
CALL setdp(ZERO,PLEN,fso)
CALL setdp(ZERO,PLEN,fusr)
CALL setdp(ZERO,PLEN,fsea)
CALL setdp(ZERO,PLEN,fmv)
CALL setdp(ZERO,PLEN,fcyc)
c-----------------------------------------------------------------------
c Print the header for the regression effects matrix, if necessary
c-----------------------------------------------------------------------
nf2=NOTSET
IF(Ldestm)THEN
IF(Prttab(LESTRE))THEN
CALL prtshd('Regression Effects',Begxy,Sp,Nrxy,T)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
CALL chkadj(tdreg,Khol,Lseats,Lam)
IF(Prttab(LESTRE).or.Savtab(LESTRE).or.Adjtd.eq.1.or.Adjhol.eq.1
& .or.Adjao.eq.1.or.Adjls.eq.1.or.Adjtc.eq.1.or.Adjso.eq.1.or.
& Adjsea.eq.1.or.Adjcyc.eq.1.or.Adjusr.eq.1.or.Finhol.or.Finao
& .or.Finls.or.Fintc.or.Finusr.or.Missng)THEN
c-----------------------------------------------------------------------
c If number of forecasts is less that the length of the seasonal
c period, redo the regression variables so that there are enough
c regressors for one year of forecasts.
c-----------------------------------------------------------------------
* IF(Nfcst.lt.Sp.and.(Adjtd.eq.1.or.Adjhol.eq.1.or.Adjao.eq.1.or.
* & Adjls.eq.1.or.Adjtc.eq.1.or.Adjtc.eq.1.or.Adjsea.eq.1.or.
* & Adjcyc.eq.1.or.Adjusr.eq.1.or.Finhol.or.Finao.or.Finls.or.
* & Fintc.or.Finusr.or.Missng).and.Lx11)THEN
* nf2=Nfcst
* Nfcst=Sp
* Nobspf=min(Nspobs+max(Nfcst-Fctdrp,0),Nomnfy)
* CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,Nbcst,Userx,Bgusrx,
* & Nrusrx,Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
* IF(Lfatal)RETURN
* END IF
c-----------------------------------------------------------------------
c Print out the regression effects with the added outliers for the
c series extended by forecasts and backcasts
c-----------------------------------------------------------------------
outdec=Kdec
IF((.not.dpeq(Lam,ONE)).and.outdec.lt.3)outdec=3
CALL regvar(orix,Nrxy,Fctdrp,Nfcst,Nbcst,Userx,Bgusrx,
& Nrusrx,Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
IF(Lfatal)RETURN
CALL prtref(Begxy,Nrxy,Fctdrp,Nfcst,Nbcst,outdec,Prttab(LESTRE),
& Savtab(LESTRE),ftd,fhol,fao,fls,ftc,fso,fusr,fsea,
& fmv,fcyc,Nusrrg,Lseats,Rmcnst,Prttab(LESRRS),
& Savtab(LESRRS),Lgraf)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Check for improper adjustment mode in seasonal adjustment
c-----------------------------------------------------------------------
IF(Lx11.and.(Adjtd.eq.1.or.Adjhol.eq.1.or.Adjao.eq.1.or.
& Adjls.eq.1.or.Adjtc.eq.1.or.Adjso.eq.1.or.Adjsea.eq.1.or.
& Adjcyc.eq.1.or.Adjusr.eq.1.or.Finao.or.(Finhol.and.Nhol.gt.0)
& .or.Finls.or.Fintc.or.Finusr))THEN
IF(Muladd.eq.1.AND.(.not.dpeq(Lam,ONE)))THEN
CALL writln('ERROR: Additive seasonal adjustment will not be p
&erformed when',STDERR,Mt2,T)
CALL writln(' preadjustment factors are derived from a R
&EGARIMA model ',STDERR,Mt2,F)
CALL writln(' for transformed data.',STDERR,Mt2,F)
CALL writln(' Check the values for the power or function
& arguments of the ',STDERR,Mt2,T)
CALL writln(' transform spec and mode of the x11 spec.',
& STDERR,Mt2,F)
CALL abend()
c-----------------------------------------------------------------------
ELSE IF((Muladd.eq.0.or.Muladd.eq.2).AND.
& (.not.dpeq(Lam,ZERO)))THEN
CALL writln('ERROR: Multiplicative or log additive seasonal ad
&justment cannot be',STDERR,Mt2,T)
CALL writln(' performed when preadjustment factors are d
&erived from a regARIMA',STDERR,Mt2,F)
CALL writln(' model for data which have not been log tra
&nsformed.',STDERR,Mt2,F)
CALL writln(' Check the values for the power or function
& arguments of the ',STDERR,Mt2,T)
CALL writln(' transform spec and mode of the x11 spec.',
& STDERR,Mt2,F)
CALL abend()
END IF
IF(Lfatal)RETURN
END IF
END IF
END IF
c-----------------------------------------------------------------------
c Generate adjustment factors for regression variables
c-----------------------------------------------------------------------
CALL adjreg(orix,orixmv,Temp,ftd,fao,fls,ftc,fso,fsea,fcyc,fusr,
& fmv,fhol,Fcntyp,Lam,Nrxy,n)
c-----------------------------------------------------------------------
c copy missing value adjusted series into variable for SEATS
c (August 2008 BCM)
c-----------------------------------------------------------------------
IF(Lseats)THEN
Nobspf=Nspobs+Nfcst
DO i = 1, Nobspf
Orixs(i)=orixmv(Pos1ob+i-1)
END DO
END IF
c-----------------------------------------------------------------------
c IF regression matrix was extended, restore variables to their
c original state
c-----------------------------------------------------------------------
* IF(nf2.ne.NOTSET)THEN
* Nfcst=nf2
* Nobspf=min(Nspobs+max(Nfcst-Fctdrp,0),Nomnfy)
* CALL regvar(trnsrs,Nobspf,Fctdrp,Nfcst,0,Userx,Bgusrx,Nrusrx,
* & Priadj,Reglom,Nrxy,Begxy,frstry,T,Elong)
* IF(Lfatal)RETURN
* END IF
c-----------------------------------------------------------------------
c Get regression trading day factors for type of month table
c-----------------------------------------------------------------------
IF((Tdtbl.ge.2.and.Lx11.and.gudrun).and.Ldestm)THEN
IF(tdreg.eq.0)THEN
Tdtbl=Tdtbl-2
ELSE IF(Irev.lt.4)THEN
tdreg=strinx(T,Grpttl,Grpptr,1,Ngrptl,'Trading Day')
IF(tdreg.eq.0)tdreg=strinx(T,Grpttl,Grpptr,1,Ngrptl,
& 'Stock Trading Day')
IF(tdreg.eq.0)tdreg=strinx(T,Grpttl,Grpptr,1,Ngrptl,
& '1-Coefficient Trading Day')
IF(tdreg.eq.0)tdreg=strinx(T,Grpttl,Grpptr,1,Ngrptl,
& '1-Coefficient Stock Trading Day')
c IF(tdreg.eq.0)tdreg=-strinx(F,Grpttl,Grpptr,1,Ngrptl,
c & 'User-defined')
CALL getmtd(tdreg,Begxy,Nrxy,Fcntyp,Lam)
IF(Lfatal)RETURN
END IF
END IF
c-----------------------------------------------------------------------
c If missing value codes are found in the series, replace values of
c the original series with the missing value adjusted series.
c-----------------------------------------------------------------------
IF(Missng.and.Ldestm)THEN
DO i=Pos1ob,Posfob
IF(.not.dpeq(Series(i),Orixmv(i)))THEN
Series(i)=Orixmv(i)
Orig(i)=Orixmv(i)
Stoap(i)=Orixmv(i)
Stopp(i)=Orixmv(i)
IF(Nuspad.gt.0)THEN
i2=Frstap+Lsp-1+(i-Pos1ob)
IF(Muladd.eq.1)THEN
Stoap(i)=Stoap(i)-Usrpad(i2)
Stopp(i)=Stopp(i)-Usrpad(i2)
ELSE
Stoap(i)=Stoap(i)/Usrpad(i2)
Stopp(i)=Stopp(i)/Usrpad(i2)
END IF
END IF
IF(Nustad.gt.0)THEN
i2=Frstat+Lsp-1+(i-Pos1ob)
IF(Muladd.eq.1)THEN
Stoap(i)=Stoap(i)-Usrtad(i2)
ELSE
Stoap(i)=Stoap(i)/Usrtad(i2)
END IF
END IF
END IF
END DO
c-----------------------------------------------------------------------
c Print and/or save missing value adjusted series
c-----------------------------------------------------------------------
IF(Prttab(LSRSMV))
& CALL table(Series,Pos1ob,Posfob,1,1,2,dvec,LSRSMV)
IF(.not.Lfatal.and.Savtab(LSRSMV))
& CALL punch(Series,Pos1ob,Posfob,LSRSMV,F,F)
IF(.not.Lfatal.and.Lgraf)
& CALL punch(Series,Pos1ob,Posfob,LSRSMV,Lgraf,F)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Delete missing value regressors
c-----------------------------------------------------------------------
i=Nb
DO WHILE (i.ge.1)
IF(Rgvrtp(i).eq.PRGTMV)THEN
CALL dlrgef(i,Nrxy,1)
IF(Lfatal)RETURN
END IF
i=i-1
END DO
END IF
c-----------------------------------------------------------------------
c Reset model parameters for sliding spans, revisions history
c-----------------------------------------------------------------------
CALL ssprep(T,F,F)
c-----------------------------------------------------------------------
IF(.not.gudrun)CALL copy(Orig,PLEN,1,Orig2)
IF(Nfcst.gt.0)THEN
DO i=Posfob+1,Posffc
Orig2(i)=untfct(i-Posfob)
END DO
END IF
IF(Nbcst.gt.0)THEN
DO i=Pos1bk,Pos1ob-1
Orig2(i)=untbct(i-Pos1bk+1)
END DO
END IF
c-----------------------------------------------------------------------
IF(ldiag)THEN
IF(Nb.gt.0)THEN
CALL svfnrg('finalreg',Ngrp,Grpttl,Grpptr,Ngrptl)
ELSE
WRITE(Nform,1190)'nfinalreg: ',1
WRITE(Nform,1060)'finalreg01:',' none'
END IF
END IF
c-----------------------------------------------------------------------
1000 FORMAT(a,i2,a2,1x,a,',',i4,' to ',i2,a2,1x,a,',',i4)
1001 FORMAT(a,i4,' to ',i4)
1010 FORMAT(a,f6.3,1x,a)
1020 FORMAT(a,f10.6)
1021 FORMAT(a,e13.6)
1030 FORMAT(/,' MODEL IDENTIFICATION (Using regression residuals)')
1040 FORMAT(/,' MODEL IDENTIFICATION')
1050 FORMAT('arimamdl: ',a)
1060 FORMAT(a:,a)
1061 FORMAT(a,i6)
1070 FORMAT(5x,'Default model used : ',a,' (no model selected)',/)
1080 FORMAT(5x,'Automatic model chosen : ',a,/)
1090 FORMAT(/,' MODEL DEFINITION')
1100 FORMAT(//,' MODEL ESTIMATION/EVALUATION')
1110 FORMAT(//,' DIAGNOSTIC CHECKING')
1120 FORMAT(/,2x,'The following sequence outliers have been ',
& 'deleted since the',/,
& 2x,'absolute value of their t-values are less than ',
& f10.3,':')
1130 FORMAT(5x,a,' (t-value = ',f10.3,')')
1140 FORMAT(/,2x,'regARIMA model will be restimated without these ',
& 'regressors.',/)
1160 FORMAT(2x,'Number of forecasts/backcasts set to zero because ',
& 'forecast error for the',/,
& 2x,' model identified, ',F10.3,', is greater than ',f10.3,
& '.')
1170 FORMAT(' Histogram of the Standardized and Mean-Centered',
& ' Residuals')
1180 FORMAT(/,' Normality Statistics for regARIMA Model Residuals:')
1181 FORMAT(/,' Durbin-Watson Statistic for regARIMA Model Residuals:')
1182 FORMAT(/,' Friedman Non-Parametric Test for regARIMA Model',
& ' Residuals:')
1185 FORMAT(/,' QS Statistic for regARIMA Model Residuals (',a,'):',
& t65,f10.2,/,t56,'(P-Value = ',f10.4,')')
1190 FORMAT(a,i2)
1200 FORMAT(a,f12.4)
1201 FORMAT(a,f6.2,a,f12.4)
1210 FORMAT(' Average Absolute Percentage Error : ',a)
1220 FORMAT(' AAPE(Last year) : ',f16.2,/,
& ' AAPE(Last-1 year) : ',f16.2,/,
& ' AAPE(Last-2 year) : ',f16.2,/,
& ' AAPE(Last 3 years): ',f16.2)
1300 FORMAT(2x,a,' = ',f12.6)
1310 FORMAT(2x,a,' = ',f12.6,' ( Asymptotically distributed as ',
& 'Chi-Square(',i2,'), P-Value = ',f12.6,' )')
9000 FORMAT(a,e15.8)
9001 FORMAT(a,e15.8,1x,i3,1x,e15.8)
c-----------------------------------------------------------------------
RETURN
END
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