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c-----------------------------------------------------------------------
c Change these parameters as needed
c-----------------------------------------------------------------------
c PB - maximum number of regressors
c PUREG - maximum number of user-defined regressors
c PUHLGP - maximum number of groups of user-defined holiday
C regressors
c PEASTR - maximum number of Easter regressors
c PORDER - maximum order of ARMA parameters
c PDFLG - maximum number of differencing lags
c-----------------------------------------------------------------------
INTEGER PB,PUREG,PDFLG,PORDER,PDIFOR,PEASTR,PUHLGP
PARAMETER(PB=80,
& PUREG=52,
& PORDER=3*PSP,
& PDIFOR=4*PORDER,
& PDFLG=3,
& PEASTR=3,
& PUHLGP=5)
c-----------------------------------------------------------------------
c Do not change parameters below this line (or change at your own
c risk.
c-----------------------------------------------------------------------
c Codes for the different type of regression variables
c Name Code
c-----------------------------------------------------------------------
c Constant PRGTCN
c Seasonal PRGTSE
c Trigonometric Seasonal PRGTTS
c Trading Day PRGTTD
c Length-of-Month PRGTLM
c Length-of-Quarter PRGTLQ
c Leap Year PRGTLY
c Stock Trading Day PRGTST
c Stock Length-of-Month PRGTSL
c Easter PRGTEA
c Labor Day PRGTLD
c Thanksgiving PRGTTH
c AO PRGTAO
c LS PRGTLS
c Rp PRGTRP
c Automatically Identified AO PRGTAA
c Automatically Identified LS PRGTAL
c User Defined PRGTUD
c Change-of-Regime Seasonal PRRTSE
c Change-of-Regime Trigonometric Seasonal PRRTTS
c Change-of-Regime Trading Day PRRTTD
c Change-of-Regime Length-of-Month PRRTLM
c Change-of-Regime Length-of-Quarter PRRTLQ
c Change-of-Regime Leap Year PRRTLY
c Change-of-Regime Stock Trading Day PRRTST
c Change-of-Regime Stock Length-of-Month PRRTSL
c User Defined Holiday PRGTUH
c User Defined Holiday Group 2 PRGUH2
c User Defined Holiday Group 3 PRGUH3
c User Defined Holiday Group 4 PRGUH4
c User Defined Holiday Group 5 PRGUH5
c Missing Value Regressor PRGTMV
c Statistics Canada Easter PRGTEC
c Change-of-Regime Seasonal (reg after) PRATSE
c Change-of-Regime Trigonometric Seasonal (reg after) PRATTS
c Change-of-Regime Trading Day (reg after) PRATTD
c Change-of-Regime Length-of-Month (reg after) PRATLM
c Change-of-Regime Length-of-Quarter (reg after) PRATLQ
c Change-of-Regime Leap Year (reg after) PRATLY
c Change-of-Regime Stock Trading Day (reg after) PRATST
c Change-of-Regime Stock Length-of-Month (reg after) PRATSL
c User Defined Seasonal PRGTUS
c TC PRGTTC
c Automatically Identified TC PRGTAT
c Trading Day (1 coef) PRG1TD
c Change-of-Regime Trading Day (1 coef) PRR1TD
c Change-of-Regime Trading Day (1 coef, reg after) PRA1TD
c seasonal outlier PRGTSO
c Stock Trading Day (1 coef) PRG1ST
c Change-of-Regime Stock Trading Day (1 coef) PRR1ST
c Change-of-Regime Stock Trading Day
c (1 coef, reg after) PRA1ST
c user-defined assigned to the transitory PRGCYC
c End of Month Stock Easter PRGTES
c Temporary Level Shift PRGTTL
c Quadratic Ramp, Increasing PRGTQI
c Quadratic Ramp, Decreasing PRGTQD
c AO Sequence PRSQAO
c LS Sequence PRSQLS
c-----------------------------------------------------------------------
INTEGER PRGTCN,PRGTSE,PRGTTS,PRGTTD,PRGTLM,PRGTLQ,PRGTLY,PRGTST,
& PRGTSL,PRGTEA,PRGTLD,PRGTTH,PRGTAO,PRGTLS,PRGTRP,PRGTAA,
& PRGTAL,PRGTUD,PRRTSE,PRRTTS,PRRTTD,PRRTLM,PRRTLQ,PRRTLY,
& PRRTST,PRRTSL,PRGTUH,PRGTMV,PRGTEC,PRATSE,PRATTS,PRATTD,
& PRATLM,PRATLQ,PRATLY,PRATST,PRATSL,PRGTUS,PRGTTC,PRGTAT,
& PRG1TD,PRR1TD,PRA1TD,PRGTSO,PRG1ST,PRR1ST,PRA1ST,PRGUH2,
& PRGUH3,PRGUH4,PRGUH5,PRGCYC,PRGTES,PRGTTL,PRGTQI,PRGTQD,
& PRSQAO,PRSQLS,PRGUTD,PRGULM,PRGULQ,PRGULY,PRGUAO,PRGULS,
& PRGUSO,PRGUCN,PRGUCY
PARAMETER(PRGTCN=1,PRGTSE=2,PRGTTS=3,PRGTTD=4,PRGTLM=5,
& PRGTLQ=6,PRGTLY=7,PRGTST=8,PRGTSL=9,PRGTEA=10,
& PRGTLD=11,PRGTTH=12,PRGTAO=13,PRGTLS=14,PRGTRP=15,
& PRGTAA=16,PRGTAL=17,PRGTUD=18,PRRTSE=19,PRRTTS=20,
& PRRTTD=21,PRRTLM=22,PRRTLQ=23,PRRTLY=24,PRRTST=25,
& PRRTSL=26,PRGTES=27,PRGTMV=28,PRGTEC=29,PRATSE=30,
& PRATTS=31,PRATTD=32,PRATLM=33,PRATLQ=34,PRATLY=35,
& PRATST=36,PRATSL=37,PRGTUS=38,PRGTTC=39,PRGTAT=40,
& PRG1TD=41,PRR1TD=42,PRA1TD=43,PRGTQI=44,PRGTQD=45,
& PRG1ST=46,PRR1ST=47,PRA1ST=48,PRGTUH=49,PRGUH2=50,
& PRGUH3=51,PRGUH4=52,PRGUH5=53,PRGTTL=54,PRGTSO=55,
& PRGCYC=56,PRGUTD=57,PRGULM=58,PRGULQ=59,PRGULY=60,
& PRGUAO=61,PRGULS=62,PRGUSO=63,PRGUCN=64,PRGUCY=65,
& PRSQAO=113,PRSQLS=114)
c-----------------------------------------------------------------------
c Estimation error codes
c-----------------------------------------------------------------------
c PUNKER=1 Estimation error with unknown cause
c PSNGER=2 Xy is singular in rgarma
c PISNER=3 Xy is singular in the identify spec
c PINPER=4 Imporper input parameters (should never occur)
c PMXIER=5 Exceeded the maximum iterations
c PSCTER=6 Too strict convergence tolerance
c PSPMER=7 Relative difference in the parameter estimates too strict
c PCOSER=8 Cosine between the espected values and any column of the
c jacobian is too small
c PNIMER=9 Can't invert the operator because of missing lags
c PNIFER=10 Can't invert the operator because of fixed lags
c PGPGER=11 Can't invert the G'G matrix
c PACFER=12 Can't calculate the ARMA ACFs
c PVWPER=13 Can't calculate var(w_p|z)
c PCNTER=14 Convergence tolerance is less than machine precision
c PDVTER=15 Deviance is less than machine precision
c PINVER=16 MA operator is not invertibile
c PMXFER=17 Exceeded the maximum function evaluations
c PACSER=18 Covariance matrix of the ARMA parameters singular
c POBFN0=19 Objective function = 0
c-----------------------------------------------------------------------
INTEGER PUNKER,PSNGER,PISNER,PINPER,PMXIER,PSCTER,PSPMER,PCOSER,
& PNIMER,PNIFER,PGPGER,PACFER,PVWPER,PCNTER,PDVTER,PINVER,
& PMXFER,PACSER,POBFN0
PARAMETER(PUNKER=1,PSNGER=2,PISNER=3,PINPER=4,PMXIER=5,PSCTER=6,
& PSPMER=7,PCOSER=8,PNIMER=9,PNIFER=10,PGPGER=11,
& PACFER=12,PVWPER=13,PCNTER=14,PDVTER=15,PINVER=16,
& PMXFER=17,PACSER=18,POBFN0=19)
c-----------------------------------------------------------------------
c Parameters for the regression and ARIMA model data structure
c-----------------------------------------------------------------------
INTEGER AR,DIFF,MA,MO,YR,AO,LS,RP,MV,TC,SO,TLS,POTLR,PAICT,PTDAIC,
& PLAIC,PEAIC,PUAIC,QI,QD,PAICEA
PARAMETER(AR=2,DIFF=1,MA=3,MO=2,YR=1,AO=1,LS=2,TC=3,RP=4,
& MV=5,TLS=6,SO=7,QI=8,QD=9,POTLR=3,PAICEA=PEASTR+2,
& PAICT=4,PTDAIC=1,PLAIC=2,PEAIC=3,PUAIC=4)
c ------------------------------------------------------------------
INTEGER PARIMA,PCOLCR,PGRP,PGRPCR,PMDL,PMDLCR,POPRCR,PUSERX
c* Increased to handle the multi-step-ahead-forecast psi-weight operator
c PARAMETER(PARIMA=25,PCOLCR=25,PGRP=PB,PGRPCR=60,PMDL=1,PMDLCR=60,
c & POPRCR=60)
PARAMETER(PARIMA=(2*PSP)+PDIFOR-PORDER+1,PCOLCR=23,PGRP=PB,
& PGRPCR=72,PMDL=1,PMDLCR=72,POPRCR=72,PUSERX=PLEN*PUREG)
C ------------------------------------------------------------------
INTEGER POPR,PGPG,PXPX
PARAMETER (PGPG=PORDER*(PORDER+1)/2,PXPX=(PB+2)*(PB+3)/2,
& POPR=9*PMDL)
c-----------------------------------------------------------------------
c Default convergence parameters for the IGLS, initial nonlinear
c estimation(s), the rest of the nonlinear estimations.
c-----------------------------------------------------------------------
DOUBLE PRECISION DFTOL,DFNLT0,DFNLTL
PARAMETER(DFTOL=1D-5,DFNLT0=100D0*DFTOL,DFNLTL=DFTOL)
c-----------------------------------------------------------------------
INTEGER PFILMD
PARAMETER(PFILMD=127)
c-----------------------------------------------------------------------
|
