pcfiml.oxh

PcFiml : Modelbase : Database : Sample class reference

PcFiml function members (public by default)
	ArTest(const iAr1, const iAr2)
	System vector AR test.
	Chow(const iYear, const iPeriod)
	Forecast Chow tests.
	Cointegration()
	Perform I(1) Cointegration analysis.
	CointegrationI2()
	Perform I(2) Cointegration analysis (two-step method, not ML).
virtual	Covar()
	Computes the covariance matrix of the coefficients.
	EgeArTest(const iAr1, const iAr2)
	Model vector AR test.
	Estimate()
	Prepare and estimate the model.
	Fiml()
	FIML estimation of SEM.
virtual	GetGroupLabels()
	Defines the Y_VAR,X_VAR,... constants as array of strings.
virtual	GetMethodLabels()
	Defines the M_NONE,M_OLS,... constants as array of strings.
	GetOmega()
	Gets the URF/RRF residual covariance matrix.
virtual	GetPackageName()
	Returns package name.
virtual	GetPackageVersion()
	Returns package version.
virtual	GetParNames()
	Get the names of all parameters.
	GetPi()
	Returns matrix of URF/RRF coefficients (equations in rows).
virtual	GetResVar()
	Gets the residual covariance matrix.
virtual	GetResiduals()
	Gets the residuals.
	GetStatus(const aiConst, const aiTrend)
	Gets status of Constant and Trend for Cointegration analysis.
	GetVarNames(const aasY, const aasW)
	Returns variable names.
	GetVarPi()
	Returns matrix with variances of URF/RRF coefficients (equations in rows).
	GetVarRf()
	Gets the covariance matrix of the reduced form coefficients.
	GetVarTheta()
	Same as `Modelbase::GetCovar`.
	GetW()
	Returns the W matrix (X~U).
	HeteroTest(const fStand, const fCross)
	Vector Heteroscedasticity test.
	IsUnivariate()
	Is univariate?
	NormalityTest()
	Vector (non-)normality test.
virtual	Output()
	Prints estimation output.
	OutputCoint()
	Prints cointegration output.
	PcFiml()
	Constructor.
	Portmanteau(const iLag)
	Portmanteau test.
	Print()
	Use `Modelbase::Output`.
	SetEquation(const sEquation, const aModel)
	Specifies an equation for a simultaneous model.
	SetPrintRf( fPrintUrf)
	Toggles reduced form printing.
	ThreeSLS()
	3SLS estimation of SEM.
	TwoSLS()
	2SLS estimation of SEM.
	UnitRootTest()
	Unit root test.

PcFiml data members (protected by default)
	m_cA

	m_asA

	m_mA

	m_mAlpha

	m_mBeta

	m_fCointegration

	m_mEval

	m_mIndex

	m_cKbar

	m_dLogLikUrf

	m_iModel

	m_mModsel

	m_mOmega

	m_mPi

	m_mPiUrf

	m_fPrintRf

	m_mResidual

	m_vSelect

	m_mSigma

	m_cU

	m_mVar

	m_mVarPi

	m_mVtVinv

	m_mVtVinvUrf

	m_cW

	m_mW

	m_mWtWinv

	m_mXtX

	m_cYlag

PcFiml enum members (protected by default)
public:	{Y_VAR, X_VAR, U_VAR, A_VAR}
	Types of variables in the model.
public:	{M_NONE, M_OLS, M_GIVE, M_FIML, M_3SLS, M_2SLS, M_IVE}
	Model estimation methods.

PcFiml::ArTest(const iAr1, const iAr2)

Parameters

iAr1	int, start lag
iAr2	int, end lag

Returns

matrix[2][2]: F-test ~ chi^2-test | F-pval ~ chi^2-pval

Comments

Prints the results unless printing is off.

PcFiml::Chow(const iYear, const iPeriod)

Parameters

iYear	int, year of break
iPeriod	int, period of break

Returns

matrix[2][2]: ftest ~ chowtest | pval ~ chowpval.

Comments

Prints the results unless printing is off.

PcFiml::Cointegration()

Perform I(1) Cointegration analysis.

PcFiml::CointegrationI2()

Perform I(2) Cointegration analysis (two-step method, not ML).

virtual PcFiml::Covar()

Comments: Computes the covariance matrix. Use GetCovar to get it.

PcFiml::EgeArTest(const iAr1, const iAr2)

Parameters

iAr1	int, start lag
iAr2	int, end lag

Returns

matrix[2][2]: F-test ~ chi^2-test | F-pval ~ chi^2-pval

Comments

Prints the results unless printing is off.

PcFiml::Estimate()

Returns: TRUE if successful

PcFiml::Fiml()

Returns: TRUE if successful

virtual PcFiml::GetGroupLabels()

Returns: array of strings.

virtual PcFiml::GetMethodLabels()

Returns: array of strings.

PcFiml::GetOmega()

Returns: matrix[n][n]: matrix of URF/RRF residual variance V'V/(T-k).

virtual PcFiml::GetPackageName()

Returns: string, package name

virtual PcFiml::GetPackageVersion()

Returns: string, package version

virtual PcFiml::GetParNames()

Returns: array[q] with names of all parameters.

PcFiml::GetPi()

Returns: matrix[n][k]: matrix of URF/RRF coefficients for n equations.

virtual PcFiml::GetResVar()

Returns: matrix[n][n]: matrix of residual variance.

virtual PcFiml::GetResiduals()

Returns: Txn matrix with residuals (<> in Modelbase).

PcFiml::GetStatus(const aiConst, const aiTrend)

Parameters

aiConst	in: address, out: location of "Constant" in m_mVarsel
aiTrend	in: address, out: location of "Trend" in m_mVarsel

Returns

0: no constant; 1: restricted constant; 2: unrestricted constant; 4: unrestricted trend; 3: restricted trend

PcFiml::GetVarNames(const aasY, const aasW)

Parameters

aasY	in: address, out:array with Y variable names
aasW	in: address, out:array with W (lagged Y, X, U) variable names

Returns

array[3] { number of Y, number of lagged Y, som of no Y and W }

PcFiml::GetVarPi()

Returns: matrix[n][k]: matrix of variances of URF/RRF coefficients for n equations.
Comments: This is not the q x q covariance matrix.

PcFiml::GetVarRf()

Returns: matrix[q][q]: variance matrix of coefficients.
Comments: Same as GetCovar except for SEM.

PcFiml::GetVarTheta()

Same as GetCovar

PcFiml::GetW()

Returns: the k matrix W, m_mW.

PcFiml::HeteroTest(const fStand, const fCross)

Parameters

iStand	int, 1,11: standardize data, 10,11: include U variables
fCross	int, TRUE: include cross products

Returns

matrix[2][2]: F-test ~ chi^2-test | F-pval ~ chi^2-pval

Comments

Prints the results unless printing is off.

PcFiml::IsUnivariate()

Returns: FALSE

PcFiml::NormalityTest()

Returns: matrix[2][1]: chi^2-test | chi^2-pval
Comments: Prints the results unless printing is off.

virtual PcFiml::Output()

Prints estimation output.

PcFiml::OutputCoint()

Prints cointegration output.

PcFiml::PcFiml()

Constructor.

PcFiml::Portmanteau(const iLag)

Parameters

iLag	int, lag length

Returns

matrix[2][1]: test | pval

Comments

Prints the results unless printing is off.

PcFiml::Print()

Use Output

PcFiml::SetEquation(const sEquation, const aModel)

Parameters

sEquation	string, dependent variable
aModel	array with triplets "name", first lag, last lag (lags must be included)

Comments

Example: system.SetEquation("CONS", {"CONS",1,2, "INC",0,0 }); system.SetEquation("INC", {"INC", 1,2 } );

PcFiml::SetPrintRf( fPrintUrf)

Parameters

fPrintRf

TRUE or FALSE

PcFiml::ThreeSLS()

Returns: TRUE

PcFiml::TwoSLS()

Returns: TRUE

PcFiml::UnitRootTest()

Returns: matrix[2][1]: test | pseudo-pval (0: significant at 5%, 1: insignificant).
Comments: Prints the results unless printing is off.