1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
|
C Last change: BCM 16 Feb 1999 11:15 am
SUBROUTINE ftest(X,Ib,Ie,Nyr,Ind,Lprt,Lsav)
IMPLICIT NONE
c-----------------------------------------------------------------------
C --- THIS ROUTINE COMPUTES A ONE-WAY ANALYSIS OF VARIANCE ON SERIES
C --- X. IF THE TREND HAS NOT BEEN REMOVED FROM X, IT IS ELIMINATED
C --- BY A FIRST DIFFERENCE.
c-----------------------------------------------------------------------
INCLUDE 'srslen.prm'
INCLUDE 'units.cmn'
INCLUDE 'agr.cmn'
INCLUDE 'ssap.prm'
INCLUDE 'ssft.cmn'
INCLUDE 'hiddn.cmn'
INCLUDE 'title.cmn'
INCLUDE 'x11msc.cmn'
INCLUDE 'x11opt.cmn'
INCLUDE 'tests.cmn'
c-----------------------------------------------------------------------
CHARACTER blank*2,star*2,star2*2,fstar*2,xb*50
DOUBLE PRECISION dfb,f,prob,Temp,X,c,dfr,fmsm,fmsr,ssm,ssqt,
& ssr,st,summ,sumt
INTEGER i,Ib,Ie,Ind,itype,j,ji,kb,kdfb,kdfr,kdft,l,nm,nt,Nyr,
& id11f,sp1
LOGICAL Lprt,Lsav
DIMENSION X(Ie),Temp(PLEN)
c-----------------------------------------------------------------------
DOUBLE PRECISION fvalue
LOGICAL dpeq
EXTERNAL dpeq,fvalue
c-----------------------------------------------------------------------
COMMON /work / Temp
c-----------------------------------------------------------------------
DATA blank,star/' ','* '/,star2/'**'/
c-----------------------------------------------------------------------
c=1.0D0
sp1=0
l=0
IF(Lwdprt)sp1=16
xb=' '
id11f=0
c-----------------------------------------------------------------------
IF(Issap.eq.2.and.Ind.gt.0)RETURN
IF(Muladd.eq.0)c=10000.0D0
itype=0
IF(Ind.eq.0.or.Ind.eq.2)THEN
DO i=Ib,Ie
Temp(i)=X(i)
END DO
kb=Ib
ELSE
IF(Same)THEN
WRITE(Mt1,1000)
CALL errhdr
WRITE(Mt2,1000)
1000 FORMAT(' WARNING: Program cannot perform F-test on first ',
& 'differenced data.')
RETURN
END IF
l=Nyr/4
kb=Ib+l
DO i=kb,Ie
Temp(i)=X(i)-X(i-l)
END DO
END IF
DO WHILE (.true.)
nt=0
sumt=0.0D0
ssqt=0.0D0
ssm=0.0D0
DO i=1,Nyr
nm=0
summ=0.0D0
ji=i+kb-1
DO j=ji,Ie,Nyr
nm=nm+1
summ=summ+Temp(j)
ssqt=ssqt+Temp(j)*Temp(j)
END DO
nt=nt+nm
sumt=sumt+summ
ssm=ssm+summ*summ/nm
END DO
st=nt
ssqt=(ssqt-sumt*sumt/st)*c
ssm=(ssm-sumt*sumt/st)*c
ssr=ssqt-ssm
kdfr=nt-Nyr
kdft=nt-1
kdfb=Nyr-1
dfr=kdfr
dfb=kdfb
fmsm=ssm/dfb
fmsr=ssr/dfr
IF(dpeq(fmsr,0D0))THEN
WRITE(Mt1,1001)xb(1:(sp1+12)),xb(1:(sp1+12))
CALL errhdr
WRITE(Mt2,1001)' WARNING: ',xb(1:10)
1001 FORMAT(/,a,'Cannot compute F-statistic since residual mean',
& ' square error',/,a,'is equal to zero for this series.')
RETURN
END IF
f=fmsm/fmsr
prob=fvalue(f,kdfb,kdfr)*100D0
IF(Ind.eq.0)THEN
Fstabl=f
P1=prob
ELSE IF(Ind.ne.1)THEN
Fpres=f
P3=prob
END IF
IF(prob.le.0.1D0)THEN
fstar=star2
ELSE IF(prob.gt.1.0D0)THEN
fstar=blank
ELSE
fstar=star
END IF
IF((Lhiddn.and.Issap.lt.2).or.((Ixreg.eq.2.or.Khol.eq.1).and.
& (.not.Prt1ps)))RETURN
C --- IF THIS F TEST IS FOR TABLE D8 AND TABLE D8 IS NOT TO BE
C --- PRINTED, DON'T PRINT THE RESULTS OF THIS TEST
IF(Ind.eq.0.or.Ind.eq.2)THEN
IF(Issap.eq.2.and.Ind.eq.0)THEN
Ssfts(Icol)=f
ELSE IF(.not.Lhiddn.and.Lprt)THEN
IF(.not.Lcmpaq)WRITE(Mt1,'()')
WRITE(Mt1,1010)xb(1:(sp1+4))
IF(Lcmpaq)THEN
IF(Nyr.eq.12)THEN
WRITE(Mt1,1021)xb(1:(sp1+21)),
& ' Between months',ssm,kdfb,fmsm,f,fstar,
& xb(1:(sp1+10)),ssr,kdfr,fmsr,xb(1:(sp1+13)),
& ssqt,kdft
ELSE
WRITE(Mt1,1021)xb(1:(sp1+21)),
& ' Between quarters',ssm,kdfb,fmsm,f,fstar,
& xb(1:(sp1+10)),ssr,kdfr,fmsr,xb(1:(sp1+13)),
& ssqt,kdft
END IF
ELSE
IF(Nyr.eq.12)THEN
WRITE(Mt1,1020)xb(1:(sp1+27)),xb(1:(sp1+26)),xb(1:(sp1+2)),
& ' Between months',ssm,kdfb,fmsm,f,fstar,
& xb(1:(sp1+10)),ssr,kdfr,fmsr,xb(1:(sp1+13)),
& ssqt,kdft
ELSE
WRITE(Mt1,1020)xb(1:(sp1+27)),xb(1:(sp1+26)),xb(1:(sp1+2)),
& 'Between quarters',ssm,kdfb,fmsm,f,fstar,
& xb(1:(sp1+10)),ssr,kdfr,fmsr,xb(1:(sp1+13)),
& ssqt,kdft
END IF
END IF
IF(fstar.eq.star2)WRITE(Mt1,1030)xb(1:(sp1+12)),fstar
IF(fstar.ne.star2)WRITE(Mt1,1040)xb(1:(sp1+12)),fstar
END IF
IF(Muladd.ne.0.or.Lhiddn)RETURN
IF(fmsr.gt.0.01D0)RETURN
WRITE(Mt1,1130)xb(1:(sp1+12)),xb(1:(sp1+12))
RETURN
END IF
IF(.not.Lprt.and..not.Lsav)RETURN
IF(itype.eq.0)THEN
sp1=20
IF(Lwdprt)sp1=42
IF(Lprt)WRITE(Mt1,1050)xb(1:sp1)
IF(fstar.eq.blank)THEN
IF(Lprt)THEN
IF(Lwdprt)THEN
WRITE(Mt1,1070)fstar,f
ELSE
WRITE(Mt1,1071)fstar,f
END IF
END IF
IF(Lsav)id11f=0
ELSE
IF(Lprt)THEN
IF(Lwdprt)THEN
WRITE(Mt1,1060)fstar,f
ELSE
WRITE(Mt1,1061)fstar,f
END IF
END IF
IF(Lsav)id11f=3
END IF
IF(Lsav)THEN
IF(Iagr.lt.4)THEN
WRITE(Nform,1140)'d11.f: ',f,prob
ELSE
WRITE(Nform,1140)'id11.f: ',f,prob
END IF
END IF
kb=Ie-3*Nyr+1
IF(kb.lt.(Ib+l))RETURN
itype=1
GO TO 10
ELSE
IF(fstar.ne.blank)THEN
IF(Lprt)THEN
IF(Lwdprt)THEN
WRITE(Mt1,1110)fstar,f
ELSE
WRITE(Mt1,1111)fstar,f
END IF
END IF
ELSE
IF(Lprt)THEN
IF(Lwdprt)THEN
WRITE(Mt1,1080)fstar,f
IF(prob.le.5D0)WRITE(Mt1,1090)fstar
IF(prob.gt.5D0)WRITE(Mt1,1100)fstar
ELSE
WRITE(Mt1,1081)fstar,f
IF(prob.le.5D0)WRITE(Mt1,1091)fstar
IF(prob.gt.5D0)WRITE(Mt1,1101)fstar
END IF
END IF
END IF
IF(Lsav)THEN
IF(Iagr.lt.4)THEN
WRITE(Nform,1140)'d11.3y.f: ',f,prob
ELSE
WRITE(Nform,1140)'id11.3y.f: ',f,prob
END IF
END IF
END IF
IF(Lprt)THEN
IF(Lwdprt)THEN
WRITE(Mt1,1120)
ELSE
WRITE(Mt1,1121)
END IF
END IF
RETURN
10 CONTINUE
END DO
c-----------------------------------------------------------------------
1010 FORMAT(a,'Test for the presence of seasonality assuming ',
& 'stability.',/)
1020 FORMAT(a,'Sum of',5x,'Dgrs.of',9x,'Mean',/,a,'Squares',5x,
& 'Freedom',8x,'Square',7x,'F-Value',/,a,a,f17.4,i9,f17.5,
& f12.3,a2,/,a,'Residual',f17.4,i9,f17.5,/,a,'Total',f17.4,
& i9,/)
1021 FORMAT(a,'Sum of squares',2x,'Dgrs.freedom',2x,'Mean square',5x,
& 'F-value',/,a,f17.4,i9,f17.5,
& f12.3,a2,/,a,'Residual',f17.4,i9,f17.5,/,a,'Total',f17.4,
& i9,/)
1030 FORMAT(a,a2,'Seasonality present at the 0.1 per cent level.')
1040 FORMAT(a,A2,
& 'No evidence of stable seasonality at the 0.1 per cent level.')
1050 FORMAT(/,a,'Test for the presence of residual seasonality.')
1060 FORMAT(/,18X,A2,
&'Residual seasonality present in the entire series at the 1 per ce
&nt level. F =',F10.2)
1061 FORMAT(/,5X,A2,'Residual seasonality present in the entire ',
& 'series at the',/,12x,'1 per cent level. F =',F10.2)
1070 FORMAT(/,18X,A2,
&'No evidence of residual seasonality in the entire series at the 1
& per cent level. F =',F10.2)
1071 FORMAT(/,5X,A2,'No evidence of residual seasonality in the ',
& 'entire series at the',/,12x,'1 per cent level. F =',
& F10.2)
1080 FORMAT(/,18X,A2,
&'No evidence of residual seasonality in the last 3 years at the 1
&per cent level. F =',F10.2)
1081 FORMAT(/,5X,A2,'No evidence of residual seasonality in the ',
& 'last 3 years at the',/,12x,'1 per cent level. F =',
& F10.2)
1090 FORMAT(/,18X,A2,
&'Residual seasonality present in the last 3 years at the 5 per cen
&t level.')
1091 FORMAT(/,5X,A2,'Residual seasonality present in the last 3 ',
& 'years at the',/,12x,'5 per cent level.')
1100 FORMAT(/,18X,A2,
&'No evidence of residual seasonality in the last 3 years at the 5
&per cent level.')
1101 FORMAT(/,5X,A2,'No evidence of residual seasonality in the ',
& 'last 3 years at the',/,12x,'5 per cent level.')
1110 FORMAT(/,18X,A2,'Residual seasonality present in the last 3 ',
& 'years at the 1 per cent level. F =',F10.2)
1111 FORMAT(/,5X,A2,'Residual seasonality present in the last 3 ',
& 'years at the',/,12x,'1 per cent level. F =',F10.2)
1120 FORMAT(/,1X,'Note: sudden large changes in the level of the ',
& 'adjusted series will invalidate the results ',
& 'of this test for the',/,50x,'last three year period.')
1121 FORMAT(/,1X,'Note: sudden large changes in the level of the ',
& 'adjusted series will',/,7x,'invalidate the ',
& 'results of this test for the last three year period.')
1130 FORMAT(/,a,'Due to the small residual mean square error all',
& ' the analysis',
& /,a,'of variance tests for this series may be invalid.')
1140 FORMAT(a,2(2x,f12.5))
c-----------------------------------------------------------------------
END
|
