pcgivecore.oxh

PcGiveCore : Modelbase : Database : Sample class reference

PcGiveCore function members (public by default)
	ARCHTest(const iArchOrder)
	Vector ARCH test.
	ARTest(const iAr1, const iAr2)
	AR test.
	AddIdentitiesURF(const mA, const mPiYUrf)

	AddRecursiveEstimates()
	Adds recursive results after estimation (if not already done).
	ArTest(const iAr1, const iAr2)
	same as `PcGiveCore::ARTest`.
virtual	Autometrics(const dPValue, sOutliers, const bChopLags)
	Use automatic model selection with Autometrics.
virtual	AutometricsGetAll(const sFunction)
	Gets the customized Autometrics settings.
virtual	AutometricsSet(const sOpt, const val)
	Set an Autometrics option.
virtual	AutometricsSign(const sVar, const bIsNegative, const bIsExact)
	Sets an Autometrics 'sign restriction'.
	Cardt(const cTForc, const dCritOrAlpha=2, const cHstep=0)

	Chow(const iYear, const iPeriod)
	Breakpoint or forecast Chow tests.
	ChowByFraction(const dChowFrac)
	Breakpoint Chow tests.
	ClearEquations()

	ClearPendingEquations()

	Cointegration()
	Runs the cointegration analysis.
	CointegrationI2()
	Runs the I(2) cointegration analysis.
	Comfac()
	Common factor test.
virtual	Covar()

virtual	CreateInterventions(const asX)
	Creates the dummy vriables in the underlying database.
virtual	DoAutoOutput()
	Prints automatic post-estimation output.
	DoEvalEGE(const iMethod, mA, const mX, const cU)

	DoEvalFIML( mA, const mX, const cU, const mH)

	DoEvalXSLS(const iMethod, mA, const mX, const cY)

	DoExitEGE(const iMethod, const fAccumulate)

	DoInitEGE(const iInitMethod, const iMethod, const fInitModel)

	DoPlotHedgehog( iPlot, const sTitle, const iLineno, const cTpre, const cTforc, const mHedgehog, const mY, const asY)

	DoPrintForc( vYpost, vForc, vForcse, const iT1forc, const sY, const cH, const vYForScale, const iSeType, const bNumericalSE, const dCrit=2, const sTypeLabel="", vForc_lo=<>, vForc_hi=<>)

	DoRecursiveEGE()

	DoTests(const fSummary, const iRcOrder, const iAcLag0, const iAcLag1, const iArchOrder, const fNormal, const fHetero, const fHeteroX, const fReset, const fReset23, const fIndex)
	Prints misspecification tests.
	DurbinWatson()
	Durbin-Watson statistic.
	DynamicAnalysis()
	Prints the dynamic analysis.
	DynamicAnalysisMultipleEqn(const fLongRun, const fLagan, const fPolyRoots, const fRootsPlot, const fI1, const fI2)
	Runs the multivariate dynamic analysis.
	DynamicAnalysisSingleEqn(const fLongRun, const fLagan, const fPolyRoots, const fLagWeightsWrite, const iLagWeightsPlot, const fLagWeightsCumPlot)
	Runs the univariate dynamic analysis.
virtual	Estimate()
	Prepare and estimate the model.
	ExitNonLinear()
	Exits nonlinear estimation (NLS, ML)
	FillDynForecastData( mW, const asW, const cTpre, const iT1forc, const mSelgroup, const mVarsel, const mLagsel, const iReport=0)

	FindSelection(const sVar, const iLag)

	FindVarAmongI(const vY, const iIdxMissing=-1)

	FindVarAmongLaggedX(const vY, const iIdxMissing=-1)

	Forecast(const cTforc, const cHstep=0, iSEtype=1, const sbRobust=0, const cGap=0)

	ForecastGraphics( iPlot=0, const iBarType=0, const dCrit=2.0, const cTpre=24, const viSel=<>)
	Forecast graphics.
	ForecastHedgehogGraphics( iPlot=0, const cTforc=8, const cHstep=0, const sbRobust=0, const asY={})

	FurtherOutput(const sType)
	Prints further output.
	GetAutometricsTerminals()
	Gets the Autometrics terminals
	GetCointAlpha()
	Get cointegration alpha.
	GetCointAlphaRes()
	Get cointegration restricted alpha.
	GetCointBeta()
	Get cointegration beta.
	GetCointBetaRes()
	Get cointegration restricted beta.
	GetCointEval()
	Get cointegration eigenvalues.
	GetCointRank()
	Get cointegration rank.
	GetCointRes()
	Get restricted cointegration results.
	GetDynForecastData(const cTforc, const mxLag=0)

	GetEquations()

virtual	GetGroupLabels()
	Defines the Y_VAR,X_VAR,... constants as array of strings.
virtual	GetMethodLabel()
	Gets the text label of the estimation method.
virtual	GetMethodLabels()
	Defines the M_NONE,M_OLS,... constants as array of strings.
	GetModelClass()
	Gets the model class.
	GetModelInLevels(const asY, mY, mW, const cTpre, const cTforc, const iSEtype)

	GetModelJacobian()
	Returns the SEM Jacobian matrix (inv(B)**[Pi':I])u.
virtual	GetModelLabel()
	Gets the label of the model.
	GetOmega()

virtual	GetOxCode()
	Gets the Ox code for the estimated model.
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).
	GetRSS()

virtual	GetResVar()

	GetResiduals()

	GetRobustSEType()
	Get robust standard error type
	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()

	GetVarTheta()

	GetW()
	Returns the W matrix.
	GetWtWinv()
	Returns the inv(W'W) matrix.
	GetY()
	Returns the Y matrix.
virtual	GetcDfLoss()
	Returns degrees of freedom lost (number of free parameters).
	Grow(const cTadd)

	HeteroTest(const iStand, const bCross)
	Vector Heteroscedasticity test.
	IndexTest(const iMode)
	Index test for nonlinearity.
	InformationCriteria()
	Gets information criteria.
	InitNonLinear()
	Initializes nonlinear estimation (NLS, ML)
	InstabTests(const fCompact)
	Gets the instability test.
	IsUnivariate()
	Is univariate?
static	MSIS(const vForcLo, const vForcHi, const vActual, const vYForScale, const iFreq, const dAlpha)

	NormalityTest()
	Vector (non-)normality test.
	OmittedTest(const mZ, const asZ)
	Omitted variables test.
virtual	Output()
	Prints estimation output.
	OutputBatchCointMap()
	Prints Batch code to map cointegration model to I(0).
	OutputCoint(const iCoint)
	Prints I(2) cointegration test or estimation output.
	OutputCointI2()
	Prints I(2) cointegration test output.
	OutputCountMeanVar(const cPar, const mY, sY)
	Prints sample/model size and mean(Y), se(Y).
	OutputEqn(const sEqn, const asPar, const vPar, const vStdErr, const vStdErrRobust, const sStdErrRobust, const cTdf, const cY, const cU, const fDoPartRsq)
	Prints an equation of estimation output.
	OutputEqnStats(const dSigma, const dRss)
	Prints equation stats (sigma, R^2).
	OutputFormatted(const iType, const cSigPar, const cSigSE)
	Prints formatted estimation results.
	OutputHdr(const sType)
	Prints header of estimation output.
	OutputLogLik(const fSys, const fCoint)
	Prints the loglikelihood and related statistics.
	OutputModel()
	Prints the simultaneous model.
	OutputOutliers( dSE)
	Prints large residuals.
	OutputRF()
	Prints the reduced form.
	OutputRest(const asY, const asw)
	Prints more statistics.
	OutputSingleEqnStats(const mY, const mRes, const dSigma, const dRss, const fSimple)
	Prints single equation statistics.
	OutputSystem()
	Prints the system.
	PcGiveCore()
	Constructor.
	Portmanteau(const iLag)
	Portmanteau test.
	Print()
	Use `Modelbase::Output`.
	PrintCorrelations()
	Prints correlation matrix of variables in model.
	PrintCovar()
	Prints Covariance matrix of estimated parameters.
	PrintForecasts(const viSel=<>)
	Prints the forecasts after making them using `PcGiveCore::Forecast`.
	PrintStaticForecasts()
	Prints the static forecasts.
	ProcessPendingEquations()

	RSquared()
	R^2 statistic.
	Reset()
	Reset the object.
	ResetTest( ...)
	Reset test.
	RobustSE()
	Computes and prints robust standard errors.
	SeasonalRsq()
	Prints R^2 relative to difference and seasonals and relative to intercept adjustment.
	SetCFIMLCode(const sCode)
	Set CFIML code.
	SetCointRank(const cRank)
	Set cointegration rank.
	SetCointRestrict(const sGenRes)
	Set general cointegration restrictions.
	SetCointRestrictMat(const fIsCommonBeta, const mA, const mH)
	Set cointegration restrictions.
	SetDerivedForecasts(const sForcDerived)
	Sets the code for derived forecasts.
	SetEquation(const sEquation, const aModel)

	SetModelClass(const iModelClass)
	Sets the model class.
	SetNonlinearCode(const sCode)
	Set nonlinear code.
	SetPendingEquations(const asEquations)

	SetPrintRf( fPrintUrf)
	Toggles reduced form printing.
	SetRobustSEType(const iSet)
	Set robust standard error type
	SetTestDefaults()
	Set default parameters for misspecification tests.
	StaticForecasts(const iPrint=1)
	Computes and print the static forecasts of a dynamic model.
	StaticPredictions(const iPrint=1)

	Store(const sType, sRename="", iPrint=0)
	Stores results in the underlying database.
	TestByEqn(const iRcOrder, const iAcLag0, const iAcLag1, const iArchOrder, const fNormal, const fHetero, const fHeteroX, const fReset, const fReset23, const fIndex)
	Prints single equation misspecification tests.
	TestRestrictions( mR, ...)
	Tests a linear restriction, see 'Modelbase::TestRestrictions'.
	TestSummary()
	Prints misspecification test summary.
	UndoDifference(const iDiff, const iSeasdiff, const iFreq, const iEqn, const idxYdif, const vYlev, const idxYlev, const idxD1y, const idxDsy, mVarsel, mSelgroup, mLagsel, mY, mW, mPi, mVarPi, mJac, const cTpre, const cTforc)

	UnitRootTest()
	PcGive unit root test.
	accumulateEGE(const vP)

	do1SLS( mA, const cY, const mX)

	doIdentities(const fSummary)

	fCheckRank(const fPrint)

	fFimlLogLik(const vP, const adFunc, const avScore, const amHessian)

	fFimlLogLikEx(const vP, const adFunc, const avScore, const amHessian, mA, const mXtX, const cT)

	getEqnMap(const iY, const cDropU=0)

	getModelMap(const cDropU=0)

	initmodelEGE(const iInitMethod)

	setModelIndices()

	solveXSLS( mA, const mPi, const mSigma, const mXtX, const cT)

PcGiveCore data members (protected by default)
	m_cA

	m_mA

	m_iAcLag0

	m_iAcLag1

	m_mAlpha

	m_mAlphaRes

	m_iArchOrder

	m_asAutoCmp

	m_vAutoCmpLag

	m_vAutoCmpMap

	m_mAutoCmpModselInit

	m_vAutoCmpType

	m_bAutoIVErf

	m_bAutometrics

	m_aAutometricsGUMModInfo

	m_aAutometricsGUMSelInfo

	m_iAutometricsPass

	m_aAutometricsTerminals

	m_iAutoMode

	m_iAutoOutlierMode

	m_asAutoRestrictSign

	m_mAutoRestrictSign

	m_bAutoRestrictSign

	m_sAutoSaturation

	m_oAutoSet

	m_dAutoSize

	m_iAutoSize

	m_bAutoTest_ar

	m_bAutoTest_arch

	m_iAutoTest_archLag

	m_iAutoTest_arLag

	m_bAutoTest_chow

	m_dAutoTest_chowFrac

	m_bAutoTest_defaultArg

	m_bAutoTest_defaultSet

	m_bAutoTest_hetero

	m_bAutoTest_heterox

	m_bAutoTest_normality

	m_bAutoTest_portmanteau

	m_iAutoTest_portmanteauLag

	m_bAutoTest_reset

	m_mBeta

	m_mBetaRes

	m_mBinv

	m_mCardtForc

	m_mCardtForcLwr

	m_mCardtForcUpr

	m_sCfimlCode

	m_dChowFrac

	m_dChowProb

	m_cCointApar

	m_sCointCode

	m_fCointegration

	m_vCointFix

	m_fCointFixAlpha

	m_vCointIdxScale

	m_vCointLambda

	m_fCointLinear

	m_mCointLinG

	m_vCointLinG

	m_mCointLinH

	m_vCointLinH

	m_dCointMu

	m_fCointRecEstShort

	m_cCointResDf

	m_fCointResIdentified

	m_iCointResType

	m_vCointScale

	m_fCointScaled

	m_mCointSmo

	m_fCointStatic

	m_sCovar

	m_sCovarRobust

	m_fDoCointMax

	m_fDoCorrelation

	m_fDoCovar

	m_iDoEqnFormat

	m_fDoHcseTable

	m_fDoInfCrit

	m_fDoInstab

	m_fDoLongRun

	m_fDoR2Seas

	m_fDoTestCoint

	m_fDoTestSummary

	m_sDynForc

	m_mDynForc

	m_cDynForc_Hstep

	m_mDynForc_Robust

	m_mDynForcLevel_hi

	m_mDynForcLevel_lo

	m_mDynForcLevel_Robust

	m_mDynForcSE

	m_mDynForcSE_type

	m_mDynSim

	m_mEval

	m_aForc1

	m_sForcDerived

	m_asForcDerivedNames

	m_asForcLevelNames

	m_iForcLevelType

	m_mGammaRes

	m_vGiveTests

	m_bHasClosedYLags

	m_cI

	m_mI

	m_mxIlag

	m_mIndex

	m_bInitNonLinearDone

	m_cKbar

	m_dLogLikC

	m_dLogLikCurf

	m_asMethods

	m_iModel

	m_iModelClass

	m_mModsel

	m_sNonLinear

	m_mOmega

	m_dOutlierFactor

	m_asPendingEquations

	m_mPi

	m_mPiFimlU

	m_mPiUrf

	m_fPrintMatrixFormat

	m_fPrintRf

	m_cRank

	m_mRcointA

	m_mRcointH

	m_iRcOrder

	m_mRecB

	m_mRecdXtXi

	m_mRecEval

	m_mRecInn

	m_vRecLL

	m_vRecLR

	m_mRecRes

	m_mRecRSS

	m_mRecSI

	m_mResidual

	m_mRobustSe

	m_mRSSRrf

	m_asSel

	m_mSel

	m_vSelect

	m_vSelect_NoU

	m_mSigma

	m_iSigPar

	m_iSigSe

	m_bSysWithIvars

	m_cU

	m_bUsedAutometrics

	m_iUseRobustSE

	m_mVarPi

	m_mVtVinv

	m_mVtVinvUrf

	m_mW

	m_cW

	m_asW

	m_cW_Ylag

	m_mWtWinv

	m_mXtX

	m_asY

	m_mxYlag

	m_cYZ

PcGiveCore enum members (protected by default)
public:	{Y_VAR, X_VAR, U_VAR, I_VAR, SEL_VAR, A_VAR}
	variable types for model specification
public:	{M_NONE, M_OLS, M_IVE, M_RALS, M_NLS, M_ML, M_COINT, M_FIML, M_3SLS, M_2SLS, M_1SLS, M_CFIML, M_GIVE}
	estimators
public:	{MC_STATIC, MC_SINGLE, MC_NONLINEAR, MC_SYSTEM, MC_DESCRIPTIVE}

PcGiveCore::ARCHTest(const iArchOrder)

Parameters

iArchOrder

int, lag length

Returns

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

Comments

Prints the results unless printing is off.

PcGiveCore::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 (<> if not available)

Comments

Prints the results unless printing is off.

PcGiveCore::AddIdentitiesURF(const mA, const mPiYUrf)

PcGiveCore::AddRecursiveEstimates()

Comments: results are stored internally in m_mRec*; sets m_bRecursive to TRUE, also sets m_cTinit.

PcGiveCore::ArTest(const iAr1, const iAr2)

same as ARTest

virtual PcGiveCore::Autometrics(const dPValue, sOutliers, const bChopLags)

Parameters

or a combination of "DIIS","IIS","SIS",TIS" added together with a +, for example: "IIS+SIS"

dPvalue,	pvalue for reduction (e.g. 0.01; -1 switches Autometrics off)
sOutliers	string with outlier mode, "none", "large"
bChopLags	TRUE: use lag presearch

virtual PcGiveCore::AutometricsGetAll(const sFunction)

Parameters

sFunction,

name of the Autometrics function, e.g. "autometrics_set"

Returns

string

virtual PcGiveCore::AutometricsSet(const sOpt, const val)

Parameters

dPvalue,	pvalue for reduction (e.g. 0.01)
sOpt	string with option
val	value for option

Comments

Options are:

"pre-lag": TRUE,FALSE; "pre-var": TRUE,FALSE; "effort": 0,1,2,3,4 "backtesting": "none","gum0","current gum" "tie-breaker": "union","aic","hq","sc","min","cp","max"

"print": 0,1,2,3,4 "pvalue_tests": p_value "stderr": (use HCSE) "give_rf": TRUE,FALSE "block_fraction": fraction "block_size": size "block_method": 0,1,2,3,4,5 "block_max": max_block_size "block_backtesting": TRUE,FALSE; "remove_violated": TRUE,FALSE; "test_default": TRUE,FALSE; "test_normality": TRUE,FALSE; "test_hetero": TRUE,FALSE; "test_heterox": TRUE,FALSE; "test_chow": TRUE,FALSE; "test_reset": TRUE,FALSE; "test_ar": TRUE,FALSE; "test_portmanteau": TRUE,FALSE; "test_arch": TRUE,FALSE; "arg_default": TRUE,FALSE; "arg_chow": fraction "arg_ar": lag_length "arg_portmanteau": lag_length "arg_arch": lag_length

virtual PcGiveCore::AutometricsSign(const sVar, const bIsNegative, const bIsExact)

Parameters

sVar,	name of variable to restrict
bIsNegative	TRUE or FALSE
bIsExact	TRUE or FALSE

PcGiveCore::Cardt(const cTForc, const dCritOrAlpha=2, const cHstep=0)

PcGiveCore::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. Computes the forecast Chow if the breakpoint is out of sample

PcGiveCore::ChowByFraction(const dChowFrac)

Parameters

dChowFrac

double, sample fraction

Returns

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

Comments

Prints the results unless printing is off. Computes the forecast Chow if the breakpoint is out of sample

PcGiveCore::ClearEquations()

PcGiveCore::ClearPendingEquations()

PcGiveCore::Cointegration()

Returns: matrix[5][n] with eval, trace, pval, maxev, pval
Comments: Prints output if printing is on.

PcGiveCore::CointegrationI2()

Returns: matrix[2][c] with tests and pvalues
Comments: Prints output if printing is on.

PcGiveCore::Comfac()

Returns: matrix[p][2]: test ~ df
Comments: Prints the results unless printing is off.

virtual PcGiveCore::Covar()

virtual PcGiveCore::CreateInterventions(const asX)

Parameters

asX	array of variable names.

virtual PcGiveCore::DoAutoOutput()

Prints automatic post-estimation output.

PcGiveCore::DoEvalEGE(const iMethod, mA, const mX, const cU)

PcGiveCore::DoEvalFIML( mA, const mX, const cU, const mH)

PcGiveCore::DoEvalXSLS(const iMethod, mA, const mX, const cY)

PcGiveCore::DoExitEGE(const iMethod, const fAccumulate)

PcGiveCore::DoInitEGE(const iInitMethod, const iMethod, const fInitModel)

PcGiveCore::DoPlotHedgehog( iPlot, const sTitle, const iLineno, const cTpre, const cTforc, const mHedgehog, const mY, const asY)

PcGiveCore::DoPrintForc( vYpost, vForc, vForcse, const iT1forc, const sY, const cH, const vYForScale, const iSeType, const bNumericalSE, const dCrit=2, const sTypeLabel="", vForc_lo=<>, vForc_hi=<>)

PcGiveCore::DoRecursiveEGE()

PcGiveCore::DoTests(const fSummary, const iRcOrder, const iAcLag0, const iAcLag1, const iArchOrder, const fNormal, const fHetero, const fHeteroX, const fReset, const fReset23, const fIndex)

Prints misspecification tests.

PcGiveCore::DurbinWatson()

Returns: double: dw.
Comments: Prints the results unless printing is off.

PcGiveCore::DynamicAnalysis()

Prints the dynamic analysis.

PcGiveCore::DynamicAnalysisMultipleEqn(const fLongRun, const fLagan, const fPolyRoots, const fRootsPlot, const fI1, const fI2)

Runs the multivariate dynamic analysis.

PcGiveCore::DynamicAnalysisSingleEqn(const fLongRun, const fLagan, const fPolyRoots, const fLagWeightsWrite, const iLagWeightsPlot, const fLagWeightsCumPlot)

Parameters

fLongRun	TRUE: print long run
fLagan	TRUE: print lag analysis
fPolyRoots	TRUE: print roots of lag polynomials
fLagWeightsWrite	TRUE: print lag weights
iLagWeightsPlot	1,3: plot normalized lag weights, 2,3: plot lag weights +/-2SE
fLagWeightsCumPlot	TRUE: plot cumulative normalized lag weights

virtual PcGiveCore::Estimate()

Returns: TRUE if successful

PcGiveCore::ExitNonLinear()

Comments: sets m_bInitNonLinearDone=FALSE.

PcGiveCore::FillDynForecastData( mW, const asW, const cTpre, const iT1forc, const mSelgroup, const mVarsel, const mLagsel, const iReport=0)

PcGiveCore::FindSelection(const sVar, const iLag)

PcGiveCore::FindVarAmongI(const vY, const iIdxMissing=-1)

PcGiveCore::FindVarAmongLaggedX(const vY, const iIdxMissing=-1)

PcGiveCore::Forecast(const cTforc, const cHstep=0, iSEtype=1, const sbRobust=0, const cGap=0)

PcGiveCore::ForecastGraphics( iPlot=0, const iBarType=0, const dCrit=2.0, const cTpre=24, const viSel=<>)

Parameters

iPlot	in, int: area index of first plot
iBarType	in, int: 0: bars, 1: bands, 2: fans
dCrit	in, double: no of standard errors for bars/bands/fans
cTpre	in, int: no of pre-forecast obs
viSel	in, <> or matrix with 0-1 to select variable for plotting/printing

Returns

iPlot plus no of plots created. Must call Forecast first.

PcGiveCore::ForecastHedgehogGraphics( iPlot=0, const cTforc=8, const cHstep=0, const sbRobust=0, const asY={})

PcGiveCore::FurtherOutput(const sType)

Parameters

"correlation","covariance","forecasts","hcse","infcrit","r2seasonals","reducedform","outliers","eqnformat" "equation","latex","nlsformat","cointmap",

sType

string with further output, one of:

Returns

1 if the type has been recognized

PcGiveCore::GetAutometricsTerminals()

Returns: array with terminals

PcGiveCore::GetCointAlpha()

Returns: matrix[n][r]

PcGiveCore::GetCointAlphaRes()

Returns: matrix[n][r]

PcGiveCore::GetCointBeta()

Returns: matrix[n1][r]

PcGiveCore::GetCointBetaRes()

Returns: matrix[n1][r]

PcGiveCore::GetCointEval()

Get cointegration eigenvalues.

PcGiveCore::GetCointRank()

Get cointegration rank.

PcGiveCore::GetCointRes()

Returns: array[9] { alpha_res, beta_res, pi_res, SE(alpha_res), SE(beta_res), SE(pi_res), isIdentified, #restrictions, loglik}

PcGiveCore::GetDynForecastData(const cTforc, const mxLag=0)

PcGiveCore::GetEquations()

virtual PcGiveCore::GetGroupLabels()

Returns: array of strings.

virtual PcGiveCore::GetMethodLabel()

Returns: string, the text label of the method

virtual PcGiveCore::GetMethodLabels()

Returns: array of strings.

PcGiveCore::GetModelClass()

Gets the model class.

PcGiveCore::GetModelInLevels(const asY, mY, mW, const cTpre, const cTforc, const iSEtype)

PcGiveCore::GetModelJacobian()

Returns: matrix[k][q]: Jacobian matrix.

virtual PcGiveCore::GetModelLabel()

Returns: string the label of the model.

PcGiveCore::GetOmega()

virtual PcGiveCore::GetOxCode()

Gets the Ox code for the estimated model.

virtual PcGiveCore::GetPackageName()

Returns: string, package name

virtual PcGiveCore::GetPackageVersion()

Returns: string, package version

virtual PcGiveCore::GetParNames()

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

PcGiveCore::GetPi()

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

PcGiveCore::GetRSS()

virtual PcGiveCore::GetResVar()

PcGiveCore::GetResiduals()

PcGiveCore::GetRobustSEType()

Returns: 0: Default SE, 1: HCSE, 2: HACSE

PcGiveCore::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

PcGiveCore::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 }

PcGiveCore::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.

PcGiveCore::GetVarRf()

PcGiveCore::GetVarTheta()

PcGiveCore::GetW()

Returns: the k matrix W, m_mW.

PcGiveCore::GetWtWinv()

Returns: the k x k matrix m_mWtWinv.

PcGiveCore::GetY()

Returns: the Txn matrix Y, m_mY.

virtual PcGiveCore::GetcDfLoss()

Returns: degrees of freedom lost (for tailt, tailchi etc.)

PcGiveCore::Grow(const cTadd)

PcGiveCore::HeteroTest(const iStand, const bCross)

Parameters

iStand	int, TRUE: standardize data
bCross	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.

PcGiveCore::IndexTest(const iMode)

Parameters

iMode

int, 2: Index2 test, 3: Index23 test, 4: Index test

Returns

matrix[2][2]: F-test ~ chi^2-test | F-pval ~ chi^2-pval (0 if not available)

Comments

Prints the results unless printing is off.

PcGiveCore::InformationCriteria()

Returns: matrix[4][1]: AIC ~ SC ~ HQ ~ FPE
Comments: Prints output if printing is on.

PcGiveCore::InitNonLinear()

Returns: string with error message or TRUE for success.
Comments: sets m_bInitNonLinearDone=TRUE if successful.

PcGiveCore::InstabTests(const fCompact)

Comments: Prints output if printing is on.

PcGiveCore::IsUnivariate()

Returns: FALSE

static PcGiveCore::MSIS(const vForcLo, const vForcHi, const vActual, const vYForScale, const iFreq, const dAlpha)

PcGiveCore::NormalityTest()

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

PcGiveCore::OmittedTest(const mZ, const asZ)

Parameters

mZ[T][k1]	omitted variables
asZ	array of names of omitted variables

Returns

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

Comments

Prints the results unless printing is off.

virtual PcGiveCore::Output()

Prints estimation output.

PcGiveCore::OutputBatchCointMap()

Prints Batch code to map cointegration model to I(0).

PcGiveCore::OutputCoint(const iCoint)

Parameters

iCoint

1: test, 2: estimation

PcGiveCore::OutputCointI2()

Prints I(2) cointegration test output.

PcGiveCore::OutputCountMeanVar(const cPar, const mY, sY)

Parameters

cPar	number of parameters
mY[cT][1]	Y variable
sY	string: name of Y variable (max length 9)

PcGiveCore::OutputEqn(const sEqn, const asPar, const vPar, const vStdErr, const vStdErrRobust, const sStdErrRobust, const cTdf, const cY, const cU, const fDoPartRsq)

Parameters

sEqn	string, dependent variable.
asPar	array of strings, coefficient labels.
vPar	coefficient vector.
vStdErr	coefficient standard error vector.
vStdErrRobust	<> or robust coefficient standard error vector.
sStdErrRobust	string, label for robust coefficient standard error type.
cTdf	int, degrees of freedom for t-test.
cYlab	int, first cYlab get Y label.
cUlab	int, last cUlab get U label.
cYlab	TRUE: print partial R^2

PcGiveCore::OutputEqnStats(const dSigma, const dRss)

Prints equation stats (sigma, R^2).

PcGiveCore::OutputFormatted(const iType, const cSigPar, const cSigSE)

Parameters

iType

0: equation format, 1: latex 2: NLS

PcGiveCore::OutputHdr(const sType)

Parameters

sType

string.

PcGiveCore::OutputLogLik(const fSys, const fCoint)

Prints the loglikelihood and related statistics.

PcGiveCore::OutputModel()

Prints the simultaneous model.

PcGiveCore::OutputOutliers( dSE)

Parameters

dSE	double cutoff for standardized residuals

PcGiveCore::OutputRF()

Prints the reduced form.

PcGiveCore::OutputRest(const asY, const asw)

Prints more statistics.

PcGiveCore::OutputSingleEqnStats(const mY, const mRes, const dSigma, const dRss, const fSimple)

Parameters

mY[cT][1]	Y variable
mRes[cT][1]	residuals
dSigma	double: residual sigma
dRss	double: RSS
iSimple	0: current format, 1: old format (with DW)

PcGiveCore::OutputSystem()

Prints the system.

PcGiveCore::PcGiveCore()

Constructor.

PcGiveCore::Portmanteau(const iLag)

Parameters

iLag	int, lag length

Returns

matrix[2][1]: test | pval

Comments

Prints the results unless printing is off.

PcGiveCore::Print()

Use Output

PcGiveCore::PrintCorrelations()

Prints correlation matrix of variables in model.

PcGiveCore::PrintCovar()

Prints Covariance matrix of estimated parameters.

PcGiveCore::PrintForecasts(const viSel=<>)

Parameters

Forecast

viSel

vector of 0,1 for equation selection (or default <> to select all)

PcGiveCore::PrintStaticForecasts()

Comments: uses m_aForc1

PcGiveCore::ProcessPendingEquations()

PcGiveCore::RSquared()

Returns: R^2 | Radj^2.

PcGiveCore::Reset()

Reset the object.

PcGiveCore::ResetTest( ...)

Parameters

mxPower

int, (optional, default is 2) power of RESET

Returns

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

Comments

Prints the results unless printing is off.

PcGiveCore::RobustSE()

Returns: array[5] { vP, SE, HACSE, HCSE, JHCSE }
Comments: Prints output if printing is on.

PcGiveCore::SeasonalRsq()

Comments: Prints output if printing is on.

PcGiveCore::SetCFIMLCode(const sCode)

Parameters

sCode

string, text with code

PcGiveCore::SetCointRank(const cRank)

Set cointegration rank.

PcGiveCore::SetCointRestrict(const sGenRes)

Parameters

not a string: removes restrictions.

sGenRes

string, text with general restrictions (sets m_iCointResType = 1), if

PcGiveCore::SetCointRestrictMat(const fIsCommonBeta, const mA, const mH)

Parameters

fIsCommonBeta	TRUE: common restrictions on beta
mA	matrix, restrictions on alpha
mH	matrix, restrictions on beta

PcGiveCore::SetDerivedForecasts(const sForcDerived)

Parameters

sForcDerived

string, code

PcGiveCore::SetEquation(const sEquation, const aModel)

PcGiveCore::SetModelClass(const iModelClass)

Parameters

iModelClass

int or string, one of "static","single","nonlinear" or "non-linear","system"

PcGiveCore::SetNonlinearCode(const sCode)

Parameters

sCode

string, text with code

PcGiveCore::SetPendingEquations(const asEquations)

PcGiveCore::SetPrintRf( fPrintUrf)

Parameters

fPrintRf

TRUE or FALSE

PcGiveCore::SetRobustSEType(const iSet)

Parameters

iSet	0: Default SE, 1: HCSE, 2: HACSE

PcGiveCore::SetTestDefaults()

Set default parameters for misspecification tests.

PcGiveCore::StaticForecasts(const iPrint=1)

Parameters

iPrint

1: tests, 2: tests and forecasts

Returns

array[4] {forecasts, actuals, std. errors (maybe <>), individual tests (maybe <>)};

PcGiveCore::StaticPredictions(const iPrint=1)

PcGiveCore::Store(const sType, sRename="", iPrint=0)

Parameters

"residuals", "structres", "forecasts", "forecast_se", "robust", "simulations", "fitted", "RecRes", "RecSI", "RecRSS", "RecESE", "RecInn", "RecLL", "RecEv"

sType

string with further output, one of:<br>

PcGiveCore::TestByEqn(const iRcOrder, const iAcLag0, const iAcLag1, const iArchOrder, const fNormal, const fHetero, const fHeteroX, const fReset, const fReset23, const fIndex)

Prints single equation misspecification tests.

PcGiveCore::TestRestrictions( mR, ...)

Tests a linear restriction, see 'Modelbase::TestRestrictions'.

PcGiveCore::TestSummary()

Prints misspecification test summary.

PcGiveCore::UndoDifference(const iDiff, const iSeasdiff, const iFreq, const iEqn, const idxYdif, const vYlev, const idxYlev, const idxD1y, const idxDsy, mVarsel, mSelgroup, mLagsel, mY, mW, mPi, mVarPi, mJac, const cTpre, const cTforc)

PcGiveCore::UnitRootTest()

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

PcGiveCore::accumulateEGE(const vP)

PcGiveCore::do1SLS( mA, const cY, const mX)

PcGiveCore::doIdentities(const fSummary)

PcGiveCore::fCheckRank(const fPrint)

PcGiveCore::fFimlLogLik(const vP, const adFunc, const avScore, const amHessian)

PcGiveCore::fFimlLogLikEx(const vP, const adFunc, const avScore, const amHessian, mA, const mXtX, const cT)

PcGiveCore::getEqnMap(const iY, const cDropU=0)

PcGiveCore::getModelMap(const cDropU=0)

PcGiveCore::initmodelEGE(const iInitMethod)

PcGiveCore::setModelIndices()

PcGiveCore::solveXSLS( mA, const mPi, const mSigma, const mXtX, const cT)