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C Last change: BCM 22 Feb 1999 3:02 pm
SUBROUTINE mdlset(Nrar,Nrdiff,Nrma,Nsar,Nsdiff,Nsma,Locok)
IMPLICIT NONE
c-----------------------------------------------------------------------
c INCLUDE 'lex.i'
INCLUDE 'srslen.prm'
INCLUDE 'model.prm'
INCLUDE 'model.cmn'
INCLUDE 'error.cmn'
INCLUDE 'stdio.i'
INCLUDE 'units.cmn'
c ------------------------------------------------------------------
LOGICAL T,F
PARAMETER(T=.true.,F=.false.)
c ------------------------------------------------------------------
CHARACTER str*(POPRCR)
LOGICAL arfix,argok,dffix,Locok,mafix
INTEGER arlag,dflag,itmp,malag,MULT,naimcf,nchr,ndcoef,Nrar,
& Nrdiff,Nrma,Nsar,Nsdiff,Nsma
DOUBLE PRECISION arcoef,dfcoef,macoef
PARAMETER(MULT=3)
DIMENSION arcoef(PORDER),arfix(PORDER),arlag(PORDER),
& dfcoef(PDIFOR),dffix(PDIFOR),dflag(PDIFOR),
& macoef(PORDER),mafix(PORDER),malag(PORDER)
c-----------------------------------------------------------------------
c Get factors (AR DIFF MA)SP until the next name.
c-----------------------------------------------------------------------
Locok=T
Nseadf=Nsdiff
Nnsedf=Nrdiff
naimcf=0
c-----------------------------------------------------------------------
CALL mkmdsn(Nrar,Nrdiff,Nrma,Nsar,Nsdiff,Nsma,Mdldsn,Nmddcr)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c set up model operators based on values input...
c nonseasonal AR
c-----------------------------------------------------------------------
IF(Nrar.gt.0)THEN
CALL setopr(AR,arcoef,arlag,arfix,Nrar,itmp,naimcf,argok,Locok)
IF(Lfatal)RETURN
IF(Locok)THEN
CALL iscrfn(MULT,1,arlag,Nrar,PORDER,arlag)
CALL mkoprt(AR,1,Sp,str,nchr)
IF(.not.Lfatal)CALL insopr(AR,arcoef,arlag,arfix,Nrar,1,
& str(1:nchr),argok,Locok)
IF(Lfatal)RETURN
CALL maxlag(Arimal,Opr,Mdl(AR-1),Mdl(AR)-1,Mxarlg)
END IF
END IF
c-----------------------------------------------------------------------
c nonseasonal differencing
c-----------------------------------------------------------------------
IF(Nrdiff.gt.0)THEN
ndcoef=Nrdiff
CALL setopr(DIFF,dfcoef,dflag,dffix,ndcoef,Nrdiff,naimcf,argok,
& Locok)
IF(Lfatal)RETURN
IF(ndcoef.gt.PDIFOR)THEN
CALL writln('ERROR: Order of the differencing operator is '//
& 'too large.',STDERR,Mt2,T)
Locok=F
ELSE
CALL iscrfn(MULT,1,dflag,ndcoef,PDIFOR,dflag)
CALL mkoprt(DIFF,1,Sp,str,nchr)
IF(.not.Lfatal)CALL insopr(DIFF,dfcoef,dflag,dffix,ndcoef,
& 1,str(1:nchr),argok,Locok)
IF(Lfatal)RETURN
END IF
CALL maxlag(Arimal,Opr,Mdl(DIFF-1),Mdl(DIFF)-1,Mxdflg)
END IF
c-----------------------------------------------------------------------
c nonseasonal MA
c-----------------------------------------------------------------------
IF(Nrma.gt.0)THEN
CALL setopr(MA,macoef,malag,mafix,Nrma,itmp,naimcf,argok,Locok)
IF(Lfatal)RETURN
IF(Locok)THEN
CALL iscrfn(MULT,1,malag,Nrma,PORDER,malag)
CALL mkoprt(MA,1,Sp,str,nchr)
IF(.not.Lfatal)CALL insopr(MA,macoef,malag,mafix,Nrma,1,
& str(1:nchr),argok,Locok)
IF(Lfatal)RETURN
CALL maxlag(Arimal,Opr,Mdl(MA-1),Mdl(MA)-1,Mxmalg)
END IF
END IF
c-----------------------------------------------------------------------
c seasonal AR
c-----------------------------------------------------------------------
IF(Nsar.gt.0)THEN
CALL setopr(AR,arcoef,arlag,arfix,Nsar,itmp,naimcf,argok,Locok)
IF(Lfatal)RETURN
IF(Locok)THEN
CALL iscrfn(MULT,Sp,arlag,Nsar,PORDER,arlag)
CALL mkoprt(AR,Sp,Sp,str,nchr)
IF(.not.Lfatal)CALL insopr(AR,arcoef,arlag,arfix,Nsar,Sp,
& str(1:nchr),argok,Locok)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Check the of maximum lag of all the AR operators added so far
c does not exceed the maximum order otherwise is will exceed temporary
c storage in the filtering operations where the operators are
c expanded/multiplied into just the coefficients of one full operator.
c This is only going to be a problem for seasonal models.
c-----------------------------------------------------------------------
CALL maxlag(Arimal,Opr,Mdl(AR-1),Mdl(AR)-1,Mxarlg)
IF(Mxarlg.gt.PORDER)THEN
CALL writln('ERROR: Order of the AR operator is too large.',
& STDERR,Mt2,T)
Locok=F
END IF
END IF
END IF
c-----------------------------------------------------------------------
c seasonal differencing
c-----------------------------------------------------------------------
IF(Nsdiff.gt.0)THEN
ndcoef=Nsdiff
CALL setopr(DIFF,dfcoef,dflag,dffix,ndcoef,Nsdiff,naimcf,argok,
& Locok)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Check that we don't have a seasonal difference and a seasonal
c effect variables or a U(B) operator.
c-----------------------------------------------------------------------
Lseadf=(Sp.gt.1).or.(Sp.eq.1.and.ndcoef.eq.Sp-1)
IF(Lseadf.and.Lseff)THEN
CALL writln('ERROR: Cannot have a seasonal difference with'//
& ' seasonal regression effects.',STDERR,Mt2,T)
Locok=F
END IF
c ------------------------------------------------------------------
IF(ndcoef.gt.PDIFOR)THEN
CALL writln('ERROR: Order of the differencing operator is '//
& 'too large.',STDERR,Mt2,T)
Locok=F
ELSE
CALL iscrfn(MULT,Sp,dflag,ndcoef,PDIFOR,dflag)
CALL mkoprt(DIFF,Sp,Sp,str,nchr)
IF(.not.Lfatal)CALL insopr(DIFF,dfcoef,dflag,dffix,ndcoef,
& Sp,str(1:nchr),argok,Locok)
IF(Lfatal)RETURN
END IF
c-----------------------------------------------------------------------
c Check the maximum lag of all the differencing operators added
c does not exceed the maximum order otherwise it will exceed
c temporary storage in the filtering operations where the operators
c are expanded/multiplied into the coefficients of one full
c operator. This is only a problem for seasonal models.
c-----------------------------------------------------------------------
CALL maxlag(Arimal,Opr,Mdl(DIFF-1),Mdl(DIFF)-1,Mxdflg)
IF(Mxdflg.gt.PDIFOR)THEN
CALL writln('ERROR: Order of the full differencing operator '//
& 'is too large.',STDERR,Mt2,T)
Locok=F
END IF
END IF
c-----------------------------------------------------------------------
c seasonal MA
c-----------------------------------------------------------------------
IF(Nsma.gt.0)THEN
CALL setopr(MA,macoef,malag,mafix,Nsma,itmp,naimcf,argok,Locok)
IF(Lfatal)RETURN
IF(Locok)THEN
CALL iscrfn(MULT,Sp,malag,Nsma,PORDER,malag)
CALL mkoprt(MA,Sp,Sp,str,nchr)
IF(.not.Lfatal)CALL insopr(MA,macoef,malag,mafix,Nsma,Sp,
& str(1:nchr),argok,Locok)
IF(Lfatal)RETURN
c-----------------------------------------------------------------------
c Check the maximum lag of all the MA operators added does not
c exceed the maximum order otherwise it will exceed temporary storage
c in the filtering operations where the operators are expanded/
c multiplied into one full operator. This is only going to be a problem
c for seasonal models.
c-----------------------------------------------------------------------
CALL maxlag(Arimal,Opr,Mdl(MA-1),Mdl(MA)-1,Mxmalg)
IF(Mxmalg.gt.PORDER)THEN
CALL writln('ERROR: Order of the MA operator is too large.',
& STDERR,Mt2,T)
Locok=F
END IF
END IF
END IF
c-----------------------------------------------------------------------
c Compute the number of effective observations and initialize |G'G|
c-----------------------------------------------------------------------
Lar=Lextar.and.Mxarlg.gt.0
Lma=Lextma.and.Mxmalg.gt.0
c ------------------------------------------------------------------
IF(Lextar)THEN
Nintvl=Mxdflg
Nextvl=Mxarlg+Mxmalg
c ------------------------------------------------------------------
ELSE
Nintvl=Mxdflg+Mxarlg
c ------------------------------------------------------------------
Nextvl=0
IF(Lextma)Nextvl=Mxmalg
END IF
c-----------------------------------------------------------------------
c We processed the last operator so start wrapping up.
c Increment NMDL, indicating we have an ARIMA model.
c-----------------------------------------------------------------------
IF(Locok)Nmdl=Nmdl+1
c ------------------------------------------------------------------
RETURN
END
|
