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MATRIX - Section 52 The B34S programming language capability is called with the command b34sexec matrix; /$ commands here b34srun; Example: b34sexec matrix; x=matrix(2,2:22. 33. 44. .02); ix=inv(x); test=ix*x; call print(x,ix,test); b34srun; The MATRIX command provides a 4th generation language to process selected calculations from B34S procedures and the ability to further process data. Analysis is supported for real*8, real*16, complex*16 and complex*32 data. Other data types such as character*1, character*8, real*4 and integer*4 are supported. Calculation of the inverse of a real*4 matrix, while supported, is not recommend due to accuracy loss. High resolution graphics are available on all currently supported platforms (Windows, RS/6000, Sun, Linux) and batch and interactive operation is supported. Many string operations are available for character*8 and character*1 data. The MATRIX facility supports user PROGRAMS, SUBROUTINES and FUNCTIONS. SUBROUTINES and FUNCTIONS have their own address space. Variables are built using object oriented programming with analytic statements such as: y = x*2.; where x is a variable that could be a matrix, 2D array, 1D array, vector or a scalar. The use of the MATRIX command FORMULA and the SOLVE subroutine allows recursive solution of an analytic statement over a range of index values. This facility speeds up calculations that would have had to use do loops which have substantial overhead. For intensely recursive calculations, the user can call Fortran routines from within a MATRIX command program or subroutine. The MATRIX command recognizes variables of KIND complex*16, real*8, real*4, real*16, complex*32, integer*4, character*1 and character*8. Due to possible accuray loss only array math is supported for integer*4 objects. While the inv(real4object) is supported, due to accuracy loss this is not recommended. The KLASS of an object determines how it is processed. KLASS types are scalar, 1D array, 2D array, vector and 2D matrix. For example the assingment statement y=2.0; sets y to be a real*8 scalar, while y=2; sets y to be a integer*4 scalar. If the commands x=33.; y=2; test=x*y; are given there will be a mixed-mode error message since the MATRIX command processor does not know whether test should be integer*4 or real*8. To create an integer*4 from a real*8 use testint=idint(x)*y; while to create a real*8 from an integer*4 variable y use testr8 =x*dfloat(y); Where possible Fortran names have been used for built-in functions to reduce the learning curve. To create a 2D array use xarray=array(2,2: 1., 2., 3., 4.); To create a 2D matrix use xmatrix=matrix(2,2:1., 2., 3., 4.); or xmatrix=mfam(xarray); There are a number of built in functions to convert the KIND and KLASS. Key ones are: SFAM( ) Create a scalar family. MFAM( ) Convert an array to a matrix. AFAM( ) Convert a matrix to an array. VFAM( ) Convert a 1D array to a 1D vector. DFLOAT( ) Convert integer to real*8. IDINT( ) Convert real*8 to integer. IQINT( ) Convert real*16 to integer. IDNINT( ) Nearest integer from real*8. IQNINT( ) Nearest integer from real*16 REAL( ) Obtain real*8 part of a complex*16 data type. QREAL( ) Obtain real*16 part of complex*32 data type. IMAG( ) Obtain the real*8 imaginary part of a complex*16 data type. QIMAG( ) Obtain the real*16 imaginary part of a complex*32 data type. COMPLEX( , ) Build a complex*16 variable from two real*8 variables. QCOMPLEX( , ) Build a complex*32 variable from two real*16 variables. QNINT( ) Real*16 representation of nearest whole number. DNINT( ) Real*8 representation of nearest whole number. R8TOR16( ) Real*8 to real*16. R16TOR8( ) Real*16 to real*8. C16TOC32( ) Complex*16 to complex*32. C32TOC16( ) Complex*32 to complex*16. KINDAS(x,yy) Set a variable the kind of x, but value of yy. More detail on these features will be given below. The B34S MATRIX language is very close to the Speakeasy language. In MATLAB all 2D and 1D objects are assumed to be what B34S calls the MATRIX KLASS. Assume x and y are 3 by 3 MATRIX objects in B34S and MATLAB. In MATLAB for an element by element operation the command is newobj=x.*y; In B34S and Speakeasy the command for the same operation is: newobj=afam(x)*afam(y); If it is desired to place this back in a matrix: newobj=mfam(afam(x)*afam(y)); Unlike MATLAB, B34S and Speakeasy are not case sensitive. Assume xarray is an array and xmatrix is a matrix. xxarray =2.+xarray; xxmatrix=2.+xmatrix; Speakeasy and B34S work the same. Here 2. is added to all elements in xarray and only the diagonal elements in xmatrix. In MATLAB 2+x adds 2 to all elements of the matrix. The development of the MATRIX facility has been influenced closely by Speakeasy. Wherever possible, the same command language has been used to facilitate transfer of data to Speakeasy for further processing. The MATRIX facility is NOT designed to run interactively but commands can be given interactively in the MANUAL mode. In this mode scripts can be edited and submitted. Output is written to the b34s.out file and error messages are displayed in both the b34s.out and b34s.log files. Under the Display Manager, the user can scroll the output files and run the MATRIX command before and after other b34s commands. The objective of the MATRIX facility is to give the user access to a powerful object oriented programming language so that custom calculations can be made. Of major interest is providing the ability to estimate complex nonlinear least squares and maximum likelihood models. Such models, which are specified in B34S MATRIX command programs, can be solved using either other B34S subroutines or with the MATRIX nonlinear commands NLLSQ, NL2SOL, MAXF1, MAXF2, MAXF3, CMAXF1, CMAXF2 and CMAXF3. While the use of B34S subroutines would give the user TOTAL control of the estimation process, speed would be given up. In addition to specification of the model, in the B34S MATRIX language it is also possible to write the model in a Fortran or C program and call this user program from within a B34S MATRIX program. For recursive systems where it is near impossible to vectorize the calculation, this is may be the best way to proceed. The B34S nonlinear solvers are based on time tested routines. The objective of the b34s implementation is to facilitate their use in a way whereby there is full knowledge of just what is being calculated. The design of the MATRIX facility allows other libraries of routines to be accessed from C or Fortran to provide other alternatives. The MATRIX nonlinear commands give the user complete control of the form of the estimated model which is specified in a MATRIX command PROGRAM. Since these programs are called by compiled solvers, there is a substantial speed advantage over a design that writes the solver in a subroutine. The file MATRIX2.MAC contains the subroutines DUD and MARQ which illustrate the subroutine approach to nonlinear least squares and the power of the MATRIX command language. While these subroutines can be used, the NLLSQ and NL2SOL commands are substantially more powerful and orders of magnitide faster. The MATRIX command display routines OUTSTRING, OUTINTEGER and OUTDOUBLE can be used to "instrument" the solution process such that the user can see how the search is proceeding if B34S is running in the Display Manager. These commands will not work for batch jobs since the proper windows have not been opened unless the b34s2 procedure is used. The B34S Matrix Language design allows DO loops and IF structures to be in the command stream provided the commands are not given in manual mode. This is not possible with Speakeasy. The command call manual; can be placed anywhere in the job to place the processor in manual mode whereby commands could be entered or the process modified. The main purpose of manual mode is to allow the user to take control of how a subroutine is running. If call manual; is used in a MATRIX program under the Display Manager, the user is placed in the IMATRIX mode where the output to date can be seen, errors can be trapped and commands can be given to see what has been calculated to date and scripts can be submitted. If the user is debugging a subroutine it is often useful to be able to see what variables are active and possible modify the course of the subroutines execution in a real-time mode. The command call break('Are at position a'); can be used to trap execution in a loop. If any key has been hit prior to call break being found, the program will stop. Otherwise the command is ignored. This saves having the program checking for a key stroke as each command is being executed which will slow speed. If call break is executed, the user can then either allow execution to proceed or terminate the process then and there. If the MATRIX workspace is saved with the SAVE command, it can be restored after more B34S commands have run. Unlike most other B34S commands, in many cases the MATRIX command requires that commas be used. Unlike other B34S commands, errors are written both in the LOG file and at the exact command that has caused a problem. The command call echooff; can be used to reduce output when running a user SUBROUTINE, FUNCTION or PROGRAM. If there is some question on how a certain section is running, the command call echoon; can be used to echo commands as they are executed. In Matlab commands that end with ; are not echoed, while commands that do not end in ; are. This "design" requires the user to modify code during the debug phase. As a result errors can creep in. The echoon and echoff commands allow one tyo globally turn off output. Every attempt has been made to increase the speed of execution. Unlike Speakeasy, the CALL command is needed to execute PROGRAMS or SUBROUTINES. By this design, a great deal of search time is saved. To avoid I/O and to avoid possible unforseen conflicts over names, user SUBROUTINES, PROGRAMS or FUNCTIONS must be loaded to be found. Automatic loading of user commands slows execution substantially since the processor would have to look in all libraries to see if a built-in command had been replaced by a user subroutine, program or function. A major reason automatic loading was not implemented was to avoid the danger that the wrong subroutine could be loaded and a "wrong" calculation be made and not caught. A major objective of the MATRIX command is to give the user total control over the processing of data. Users can develope extensions and modifications of the statistics calculated by other B34S commands. Over the years, more and more of the regular commands will be converted to save data for later use in the matrix command. The library of applications SUBROUTINES, FUNCTIONS and PROGRAMS in c:\b34slm\matrix2.mac will be inhanced. Since these procedures are written in the B34S MATRIX language, they are self documenting. Facilities are provided whereby users can add to these libraries. Since all procedures have to be loaded, there is NO possibility that a user procedure can conflict with a built-in command unless it is explicitly loaded. The only conflict possible is with a MATRIX language command. This design prevents the MATLAB problem of suddenly key commands not working because the order of the library is changed due to a new toolkit being added. The routines in matrix2.mac are of two types. General purpose routines, such CFREQ which will calculate a cumulative frequency distribution, are documented BOTH in the TOOLKIT section which lists all routines and under the matrix command subroutine list. Commands such as this have test problems of the same name in matrix.mac. Other programs in matrix2.mac of less general interest for production jobs are only documented in the TOOLKIT section. The library staging.mac contains example files for the proposed subroutines in staging2.mac. The MATRIX command can read and process a binary file. Reading can be done in any order. This facility allows the system to process and change a load module or recover data from a file that has a strange structure. Character*1 processing allows the user to read and parse lines of a file. This capability is of interest to the expert user. For NLLSQ and maximum likelihood models that involve recursive models, in many cases an alternative program may be RATS. Such models are slow to estimate since there is a heavy parse overhead and the the vector capability in the B34S MATRIX facility is not usuable. B34S is not designed to replace RATS in this area. In B34S NLLSQ and maximum likelihood estimation can be done where the model is specified in the user's program using MATRIX commands. This mode of operation combines the advantages of fast execution with the flexibility of allowing the user to specify the model using a 4th generation language. NLLSQ can also be done using subroutines DUD and MARQ which were written in the B34S MATRIX command language. The estimation of a ML model when a recursive system is not required is fast and a number of routines from IMSL are supplied. Supported capability includes constrained ML models. While recursive systems are possible, due to the fact that DO loops or SOLVE/FORMULA commands are needed, the speed is slower. The subroutine GARCH can be used to estimate a subset of the ARCH/GARCH class of models without some of the recursive call overhead. An even simplier command GARCHEST allows univariate estimation for simple ARCH/GARCH models. Since B34S can estimate a nonlinear programming model with nonlinear constraints, a fairly wide class of models can be estimated. The BGARCH subroutine allows the user's PROGRAM to estimate a bivariate GARCH model without the recursive overhead. Note: In the above NLLSQ refers to nonlinear least squares. The B34S MATRIX command has two commands for this calculation. NLLSQ uses the Meeter (1964a, 1964b) routines that were first developed at the University of Wisconsin and form the basis of much work in time series analysis. The alternative routine NL2SOL uses the Dennis-Gay-Welsch (1981) programs that have been widely used in the literature. As of May 2004, the NLLSQ command can be run with real*8 or real*16 data. The maximization routines supported all come from various versions of the IMSL library. The B34S MATRIX command subroutines DUD and MARQ use the logic of the SAS Nonlin command but are written in the B34S command language. These are supplied for research interest. For nonlinear least squares, these would be a third choice. List of Built-In Matrix Command Subroutines ABFSPLINE - Automatic Backfitting of a Spline Model ACEFIT - Alternating Conditional Expectation Model Estimation ACF_PLOT - Simple ACF Plot ADDCOL - Add a column to a 2d array or matrix. ADDROW - Add a row to a 2d array or matrix. AGGDATA - Aggregate Data under control of an ID Vector. ALIGN - Align Series with Missing Data ARMA - ARMA estimation using ML and MOM. AUTOBJ - Automatic Estimation of Box-Jenkins Model BACKSPACE - Backspace a unit BDS - BDS Nonlinearity test. B_G_TEST - Breusch-Godfrey (1978) Residual Test BGARCH - Calculate function for a BGARCH model. BLUS - BLUS Residual Analysis BPFILTER - Baxter-King Filter. BREAK - Set User Program Break Point. BUILDLAG - Builds NEWY and NEWX for VAR Modeling CCFTEST - Display CCF Function of Prewhitened data CHAR1 - Place a string is a character*1 array. CHARACTER - Place a string in a character*1 array. CHECKPOINT - Save workspace in portable file. CLEARALL - Clears all objects from workspace. CLEARDAT - Clears data from workspace. CLOSE - Close a logical unit. CLS - Clear screen. CMAXF1 - Constrained maximization of function using zxmwd. CMAXF2 - Constrained maximization of function using dbconf/g. CMAXF3 - Constrained maximization of function using db2pol. COMPRESS - Compress workspace. CONSTRAIN - Subset data based on range of values. CONTRACT - Contract a character array. COPY - Copy an object to another object COPYLOG - Copy file to log file. COPYOUT - Copy file to output file. COPYF - Copy a file from one unit to another. CSPECTRAL - Do cross spectral analysis. CSUB - Call Subroutine CSV - Read and Write a CVS file DATA_ACF - Calculate ACF and PACF Plots DATAFREQ - Data Frequency DATAVIEW - View a Series Under Menu Control DELETECOL - Delete a column from a matrix or array. DELETEROW - Delete a row from a matrix or array. DES - Code / decode. DESCRIBE - Calculate Moment 1-4 and 6 of a series DF - Calculate Dickey-Fuller Unit Root Test. DISPLAYB - Displays a Buffer contents DIST_TAB - Distribution Table DODOS - Execute a command string if under dos/windows. DO_SPEC - Display Periodogram and Spectrum DOUNIX - Execute a command string if under unix. DQDAG - Integrate a function using Gauss-Kronrod rules DQDNG - Integrate a smooth function using a nonadaptive rule. DQDAGI - Integrate a function over infinite/semi-infinite interval. DQDAGP - Integrate a function with singularity points given DQDAGS - Integrate a function with end point singularities DQAND - Multiple integration of a function DTWODQ - Two Dimensional Iterated Integral ECHOOFF - Turn off listing of execution. ECHOON - Turn on listing of execution. EPPRINT - Print to log and output file. EPRINT - Print to log file. ERASE - Erase file(s). EXPAND - Expand a character array FORMS - Build Control Forms FORPLOT - Forecast Plot FREE - Free a variable. FPLOT - Plot a Function FPRINT - Formatted print facility. GAMFIT - Generalized Additive Model Estimation GARCH - Calculate function for a ARCH/GARCH model. GARCHEST - Estimate ARCH/GARCH model. GET - Gets a variable from b34s. GETDMF - Gets a data from a b34s DFM file. GETKEY - Gets a key GETMATLAB - Gets data from matlab. GET_FILE - Gets a File name GET_NAME - Get Name of a Matrix Variable GETRATS - Reads RATS Portable file. GETSCA - Reads SCA FSAVE and MAD portable files. GMFAC - LU factorization of n by m matrix GMINV - Inverse of General Matrix using LAPACK GMSOLV - Solve Linear Equations system using LAPACK GRAPH - High Resolution graph. GRAPHP - Multi-Pass Graphics Programing Capability GRCHARSET - Set Character Set for Graphics. GRREPLAY - Graph replay and reformat command. GTEST - Tests output of a ARCH/GARCH Model GWRITE - Save Objects in GAUSS Format using one file GWRITE2 - Save objects in GAUSS format using two files HEADER - Turn on header HEXTOCH - Concert hex to a character representation. HINICH82 - Hinich 1982 Nonlinearity Test. HINICH96 - Hinich 1996 Nonlinearity Test. HPFILTER - Hodrick-Prescott Filter. ISEXTRACT - Place data in a structure. IALEN - Get actual length of a buffer of character data IBFCLOSE - Close a file that was used for Binary I/O IBFOPEN - Open a File for Binary I/O IBFREADC - Reads from a binary file into Character*1 array IBFREADR - Reads from a binary file into Real*8 array IBFSEEK - Position Binary read/write pointer IBFWRITER - Write noncharacter buffer on a binary file IBFWRITEC - Write character buffer on a binary file IB34S11 - Parse a token using B34S11 parser IFILESIZE - Determine number of bites in a file IFILLSTR - Fill a string with a character IGETICHAR - Obtain ichar info on a character buffer IGETCHARI - Get character from ichar value IJUSTSTR - Left/Right/center a string ILCOPY - Move bites from one location to another ILOCATESTR - Locate a substring in a string - 200 length max ILOWER - Lower case a string - 200 length max INEXTR8 - Convert next value in string to real*8 variable INEXTR4 - Convert next value in string to real*4 variable INEXTSTR - Extract next blank deliminated sub-string from a string INEXTI4 - Convert next value in a string to integer. INTTOSTR - Convert integer to string using format IR8TOSTR - Convert real*8 value to string using format ISTRTOR8 - Convert string to real*8 ISTRTOINT - Convert string to integer IUPPER - Upper case a string - 200 length max I_DRNSES - Initializes the table used by shuffled generators. I_DRNGES - Get the table used in the shuffled generators. I_DRNUN - Uniform (0,1) Generator I_DRNNOR - Random Normal Distribution I_DRNBET - Random numbers from beta distribution I_DRNCHI - Random numbers from Chi-squared distribution I_DRNCHY - Random numbers from Cauchy distribution I_DRNEXP - Random numbers from standard exponential I_DRNEXT - Random numbers from mixture of two exponential distributions I_DRNGAM - Random numbers from standard gamma distribution I_DRNGCT - Random numbers from general continuous distribution I_DRNGDA - Random integers from discrete distribution alias approach I_DRNGDT - Random integers from discrete using table lookup I_DRNLNL - Random numbers from lognormal distribution I_DRNMVN - Random numbers from multivariate normal I_DRNNOA - Random normal numbers using acceptance/rejection I_DRNNOR - Random normal numbers using CDF method I_DRNSTA - Random numbers from stable distribution I_DRNTRI - Random numbers from triangular distribution I_DRNSPH - Random numbers on the unit circle I_DRNVMS - Random numbers from Von Mises distribution I_DRNWIB - Random numbers from Weibull distribution I_RNBIN - Random integers from binomial distribution I_RNGET - Gets seed used in IMSL Random Number generators. I_RNOPG - Gets the type of generator currently in use. I_RNOPT - Selects the type of uniform (0,1) generator. I_RNSET - Sets seed used in IMSL Random Number generators. I_RNGEO - Random integers from Geometric distribution I_RNHYP - Random integers from Hypergeometric distribution. I_RNMTN - Random numbers from multinomial distribution I_RNNBN - Negative binomial distribution I_RNPER - Random perturbation of integers I_RNSRI - Index of random sample without replacement KEENAN - Keenan Nonlinearity test KSWTEST - K Period Stock Watson Test KSWTESTM - Moving Period Stock Watson Test LAGMATRIX - Builds Lag Matrix. LAGTEST - 3-D Graph to display RSS for OLS Lags LAGTEST2 - 3-D Graph to display RSS for MARS Lags LAPACK - Sets Key LAPACK parameters LM - Engle Lagrange Multiplier ARCH test. LOAD - Load a Subroutine from a library. LOADDATA - Load Data from b34s into MATRIX command. LPMAX - Solve Linear Programming maximization problem. LPMIN - Solve Linear Programming minimization problem. LRE - McCullough Log Relative Error MAKEDATA - Place data in a b34s data loading structure. MAKEGLOBAL - Make a variable global (seen at all levels). MAKELOCAL - Make a variable seen at only local level. MAKEMATLAB - Place data in a file to be loaded into Matlab. MAKEMAD - Makes SCA *.MAD datafile from vectors MAKERATS - Make RATS portable file. MAKESCA - Make SCA FSV portable file. MANUAL - Place MATRIX command in manual mode. MARS - Multivariate Autoregressive Spline Models MARSPLINE - Updated MARS Command using Hastie-Tibshirani code MAXF1 - Maximize a function using IMSL ZXMIN. MAXF2 - Maximize a function using IMSL DUMINF/DUMING. MAXF3 - Maximize a function using simplex method (DU2POL). MELD - Form all possible combinations of vectors. MENU - Put up user Menu for Input MESSAGE - Put up user message and allow a decision. MINIMAX - Estimate MINIMAX with MAXF2 MISSPLOT - Plot of a series with Missing Data MQSTAT - Multivariate Q Statistic NAMES - List names in storage. NLEQ - Jointly solve a number of nonlinear equations. NLLSQ - Nonlinear Least Squares Estimation. NL2SOL - Alternative Nonlinear Least Squares Estimation. NLPMIN1 - Nonlinear Programming fin. diff. grad. DN2CONF. NLPMIN2 - Nonlinear Programming user supplied grad. DN2CONG. NLPMIN3 - Nonlinear Programming user supplied grad. DN0ONF. NLSTART - Generate starting values for NL routines. NOHEADER - Turn off header. OLSQ - Estimate OLS, MINIMAX and L1 models. OLSPLOT - Plot of Fitted and Actual Data & Res OPEN - Open a file and attach to a unit. OUTDOUBLE - Display a Real*8 value at a x, y on screen. OUTINTEGER - Display an Integer*4 value at a x, y on screen. OUTSTRING - Display a string value at a x, y point on screen. PCOPY - Copy an object from one pointer address to another PERMUTE - Reorder Square Matrix PISPLINE - Pi Spline Nonlinear Model Building PLOT - Line-Printer Graphics POLYFIT - Fit an nth degree polynomial POLYVAL - Evaluate an nth degree polynomial POLYMCONV - Convert storage of a polynomial matrix POLYMDISP - Display/Extract a polynomial matrix POLYMINV - Invert a Polynomial Matrix POLYMMULT - Multiply a Polynomial Matrix PP - Calculate Phillips Peron Unit Root test PRINT - Print text and data objects. PRINTALL - Lists all variables in storage. PRINTOFF - Turn off Printing PRINTON - Turn on Printing (This is the default) PROBIT - Estimate Probit (0-1) Model. PVALUE_1 - Present value of $1 recieved at end of n years PVALUE_2 - Present value of an Annuity of $1 PVALUE_3 - Present value of $1 recieved throughout year QPMIN - Quadratic Programming. QUANTILE - Calculate interquartile range. READ - Read data directly into MATRIX workspace from a file. REAL16INFO - Obtain Real16 info REAL16OFF - Turn off Real16 add REAL16ON - Turn on extended accuracy REAL32OFF - Turn off Real32 add REAL32ON - Turn on extended accuracy for real*16 REAL32_VPA - Turn on extended accuracy for real*16 using vpa RESET - Calculate Ramsey (1969) regression specification test. RESET77 - Thursby - Schmidt Regression Specification Test RESTORE - Load data back in MATRIX facility from external save file. RTEST - Test Residuals of Model RTEST2 - Test Residuals of Model - No RES and Y Plots REVERSE - Test a real*8 vector for reversibility in Freq. Domain REWIND - Rewind logical unit. ROTHMAN - Test a real*8 vector for reversibility in Time Domain RMATLAB - Runs Matlab RRPLOTS - Plots Recursive Residual Data RUN - Terminates the matrix command being in "manual" mode. SAVE - Save current workspace in portable file format. SCHUR - Performs Schur decomposition SCREENCLOSE - Turn off Display Manager SCREENOPEN - Turn on Display Manager SCREENOUTOFF - Turn screen output off. SCREENOUTON - Turn screen output on. SET - Set all elements of an object to a value. SETCOL - Set column of an object to a value. SETLABEL - Set the label of an object. SETLEVEL - Set level. SETNDIMV - Sets an element in an n dimensional object. SETROW - Set row of an object to a value. SETTIME - Sets the time info in an existing series SETWINDOW - Set window to main(1), help(2) or error(3). SIGD - Set print digits. Default g16.8 SIMULATE - Dynamically Simulate OLS Model SMOOTH - Do exponential smoothing. SOLVEFREE - Set frequency of freeing temp variables. SORT - Sort a real vector. SPECTRAL - Spectral analysis of a vector or 1d array. STOP - Stop execution of a program. SUBRENAME - Internally rename a subroutine. SUSPEND - Suspend loading and Execuiting a program SWARTEST - Stock-Watson VAR Test SYSTEM - Issue a system command. TABULATE - List vectors in a table. TESTARG - Lists what is passed to a subroutine or function. TIMER - Gets CPU time. TRIPLES - Calculate Triples Reversability Test TSAY - Calculate Tsay nonlinearity test. TSLINEUP - Line up Time Series Data TSD - Interface to TSD Data set VAREST - VAR Modeling VPASET - Set Variable Precision Math Options VOCAB - List built-in subroutine vocabulary. WRITE - Write an object to an external file. Matrix Command Built-In Function Vocabulary ACF - Calculate autocorrelation function of a 1d object. AFAM - Change a matrix or vector to an array class object. ARGUMENT - Unpack character argument at run-time ARRAY - Define a 1d or 2d array. BETAPROB - Calculate a beta probability. BINDF - Evaluate Binomial Distribution Function BINPR - Evaluate Binomial Probability Function BOOTI - Calculate integers to be used with bootstrap. BOOTV - Bootstraps a vector with replacement. BOXCOX - Box-Cox Transformation of a series given lamda. BSNAK - Compute Not a Knot Sequence BSOPK - Compute optimal spline know sequence BSINT - Compute 1-D spline interpolant given knots BSINT2 - Compute 2-D spline interpolant given knots BSINT3 - Compute 3-D spline interpolant given knots BSDER - Compute 1-D spline values/derivatives given knots BSDER2 - Compute 2-D spline values/derivatives given knots BSDER3 - Compute 3-D spline values/derivatives given knots BSITG - Compute 1-D spline integral given knots BSITG2 - Compute 2-D spline integral given knots BSITG3 - Compute 3-D spline integral given knots C1ARRAY - Create a Character*1 array C8ARRAY - Create a Character*8 array CATCOL - Concatenates an object by columns. CATROW - Concatenates an object by rows. CCF - Calculate the cross correlation function on two objects. CHAR - Convect an integer in range 0-127 to character. CHARDATE - Convert julian variable into character date dd\mm\yy. CHARDATEMY - Convert julian variable into character data mm\yyyy. CHARTIME - Converts julian variable into character date hh:mm:ss CHISQPROB - Calculate chi-square probability. CHTOR - Convert a character variable to a real variable. CHTOHEX - Convert a character to its hex representation. CFUNC - Call Function COMB - Combination of N objects taken M at a time. COMPLEX - Build a complex variable from two real*8 variables. CSPLINEFIT - Fit a 1 D Cubic Spline using alternative models CSPLINE - Calculate a cubic spline for 1 D data CSPLINEVAL - Calculate spline value given spline CSPLINEDER - Calculate spline derivative given spline value CSPLINEITG - Calculate integral of a cubic spline CUSUM - Cumulative sum. CUSUMSQ - Cumulative sum squared. CWEEK - Name of the day in character. DABS - Absolute value of a real*8 variable. DARCOS - Arc cosine of a real*8 variable. DARSIN - Arc sine of a real*8 variable. DATAN - Arc tan of a real*8 variable. DATAN2 - Arc tan of x / y. Signs inspected. DATENOW - Date now in form dd/mm/yy DBLE - Convert real*4 to real*8. DCONJ - Conjugate of complex argument. DCOS - Cosine of real*8 argument. DCOSH - Hyperbolic cosine of real*8 argument. DDOT - Inner product to two vectors. DERF - Error function of real*8/real*16 argument. DERFC - Inverse of error function. DERIVATIVE - Analytic derivative of a vector. DET - Determinate of a matrix. DEXP - Exponential of a real*8 argument. DFLOAT - Convert integer*4 to real*8. DGAMMA - Gamma function of real*8 argument. DIAG - Place diagonal of a matrix in an array. DIAGMAT - Create diagonal matrix. DIF - Difference a series. DINT - Extract integer part of real*8 number DNINT - Extract nearest integer part of real*8 number DIVIDE - Divide with an alternative return. DLGAMMA - Natural log of gamma function. DLOG - Natural log. DLOG10 - Base 10 log. DMAX - Largest element in an array. DMAX1 - Largest element between two arrays. DMIN - Smallest element in an array. DMIN1 - Smallest element between two arrays. DMOD - Remainder. DROPFIRST - Drops observations on top or array. DROPLAST - Drops observations on bottom of an array. DSIN - Calculates sine. DSINH - Hyperbolic sine. DSQRT - Square root of real*8 or complex*16 variable. DTAN - Tangent. DTANH - Hyperbolic tangent. EIGENVAL - Eigenvalue of matrix. Alias EIG. EPSILON - Positive value such that 1.+x ne 1. EVAL - Evaluate a character argument EXP - Exponential of real*8 or complex*16 variable. EXTRACT - Extract elements of a character*1 variable. FACT - Factorial FDAYHMS - Gets fraction of a day. FFT - Fast fourier transform. FIND - Finds location of a character string. FLOAT - Converts integer*4 to real*4. FPROB - Probability of F distribution. FREQ - Gets frequency of a time series. FRACDIF - Fractional Differencing FYEAR - Gets fraction of a year from julian date. GENARMA - Generate an ARMA series given parameters. GETDAY - Obtain day of year from julian series. GETHOUR - Obtains hour of the day from julian date. GETNDIMV - Obtain value from an n dimensional object. GETMINUTE - Obtains minute of the day from julian date. GETMONTH - Obtains month from julian date. GETQT - Obtains quarter of year from julian date. GETSECOND - Obtains second from julian date. GETYEAR - Obtains year. GOODCOL - Deletes all columns where there is missing data. GOODROW - Deletes all rows where there is missing data. GRID - Defines a real*8 array with a given increment. HUGE - Largest number of type HYPDF - Evaluate Hypergeometric Distribution Function HYPPR - Evaluate Hypergeometric Probability Function INTEGER8 - Load an Integer*8 object from a string I4TOI8 - Move an object from integer*4 to integer*8 I8TOI4 - Move an object from integer*8 to integer*4 ICHAR - Convect a character to integer in range 0-127. ICOLOR - Sets Color numbers. Used with Graphp. IDINT - Converts from real*8 to integer*4. IDNINT - Converts from real*8 to integer*4 with rounding. INFOGRAPH - Obtain Interacter Graphics INFO IMAG - Copy imaginary part of complex*16 number into real*8. INDEX - Define integer index vector, address n dimensional object. INLINE - Inline creation of a program INT - Copy real*4 to integer*4. INTEGERS - Generate an integer vector with given interval. INV - Inverse of a real*8 or complex*16 matrix. INVBETA - Inverse beta distribution. INVCHISQ - Inverse Chi-square distribution. INVFDIS - Inverse F distribution. INVTDIS - Inverse t distribution. IQINT - Converts from real*16 to integer*4. IQNINT - Converts from real*16 to integer*4 with rounding. ISMISSING - Sets to 1.0 if variable is missing IWEEK - Sets 1. for monday etc. JULDAYDMY - Given day, month, year gets julian value. JULDAYQY - Given quarter and year gets julian value. JULDAYY - Given year gets julian value. KEEPFIRST - Given k, keeps first k observations. KEEPLAST - Given k, keeps last k observations. KIND - Returns kind of an object in integer. KINDAS - Sets kind of second argument to kind first arg. KLASS - Returns klass of an object in integer. KPROD - Kronecker Product of two matrices. LABEL - Returns label of a variable. LAG - Lags variable. Missing values propagated. LEVEL - Returns current level. LOWERT - Lower triangle of matrix. MCOV - Consistent Covariance Matrix MAKEJUL - Make a Julian date from a time series MASKADD - Add if mask is set. MASKSUB - Subtract if mask is set. MATRIX - Define a matrix. MEAN - Average of a 1d object. MFAM - Set 1d or 2d array to vector or matrix. MISSING - Returns missing value. MLSUM - Sums log of elements of a 1d object. MOVELEFT - Moves elements of character variable left. MOVERIGHT - Move elements of character variable right. NAMELIST - Creates a namelist. NEAREST Nearest distinct number of a given type NCCHISQ - Non central chi-square probability. NOCOLS - Gets number of columns of an object. NOELS - Gets number of elements in an object. NORMDEN - Normal density. NORMDIST - 1-norm, 2-norm and i-norm distance. NOROWS - Gets number of rows of an object. NOTFIND - Location where a character is not found. OBJECT - Put together character objects. PDFAC - Cholesky factorization of PD matrix. PDFACDD - Downdate Cholesky factorization. PDFACUD - Update Cholesky factorization. PDINV - Inverse of a PD matrix. PDSOLV - Solution of a PD matrix given right hand side. PI - Pi value. PINV - Generalized inverse. PLACE - Places characters inside a character array. POIDF - Evaluate Poisson Distribution Function POIPR - Evaluate Poisson Probability Function POINTER - Machine address of a variable. POLYDV - Division of polynomials. POLYMULT - Multiply two polynomials POLYROOT - Solution of a polynomial. PROBIT - Inverse normal distribution. PROBNORM - Probability of normal distribution. PROBNORM2 - Bivariate probability of Nornal distribution. PROD - Product of elements of a vector. QCOMPLEX - Build complex*32 variable from real*16 inputs. QINT - Extract integer part of real*16 number QNINT - Extract nearest integer part of real*16 number QREAL - Obtain real*16 part of a complex*326 number. QRFAC - Obtain Cholesky R via QR method. QRSOLVE - Solve OLS using QR. RANKER - Index array that ranks a vector. RCOND - 1 / Condition of a Matrix REAL - Obtain real*8 part of a complex*16 number. R8TOR16 - Convert Real*8 to Real*16 R16TOR8 - Convert Real*16 to Real*8 REAL16 - Input a Real*16 Variable REC - Rectangular random number. RECODE - Recode a real*8 or character*8 variable RN - Normally distributed random number. ROLLDOWN - Moves rows of a 2d object down. ROLLLEFT - Moves cols of a 2d object left. ROLLRIGHT - Moves cols of a 2d object right. ROLLUP - Moves rows of a 2d object up. RTOCH - Copies a real*8 variable into character*8. SEIGENVAL - Eigenvalues of a symmetric matrix. Alias SEIG. SEXTRACT - Takes data out of a field. SFAM - Creates a scalar object. SNGL - Converts real*8 to real*4. SPACING - Absolute spacing near a given number SPECTRUM - Returns spectrum of a 1d object. SUBSET - Subset 1d, 2d array, vector or matrix under a mask. SUBMATRIX - Define a Submatrix SUM - Sum of elements. SUMCOLS - Sum of columns of an object. SUMROWS - Sum of rows of an object. SUMSQ - Sum of squared elements of an object. SVD - Singular value decomposition of an object. TIMEBASE - Obtains time base of an object. TIMENOW - Time now in form hh:mm:ss TIMESTART - Obtains time start of an object. TINY Smallest number of type TDEN - t distribution density. TPROB - t distribution probability. TRACE - Trace of a matrix. TRANSPOSE - Transpose of a matrix. UPPERT - Upper Triangle of matrix. VARIANCE - Variance of an object. VECTOR - Create a vector. VFAM - Convert a 1d array to a vector. VOCAB - List built in functions. VPA - Variable Precision Math calculation ZDOTC - Conjugate product of two complex*16 objects. ZDOTU - Product of two complex*16 objects. ZEROL - Zero lower triangle. ZEROU - Zero upper triangle. ********************************************************************** Matrix Programming Language key words CALL - Call a subroutine CONTINUE - go to statement DO - Starts a do loop DOWHILE - Starts a dowhile loop NEXT i - End of a do loop ENDDO - End of a do loop ENDDOWHILE - End of a dowhile loop END - End of a program, function or Subroutine. EXITDO - Exit a DO loop EXITIF - Exit an IF statement FOR - Start a do loop, FORMULA - Define a recursive formula. GO TO - Transfer statement FUNCTION - Beginning of a function. IF( ) - Beginning of an IF structure ENDIF - End of an IF( )THEN structure PROGRAM - Beginning of a program, RETURN - Next to last statement before end. RETURN( ) - Returns the result of a function. SOLVE - Solve a recursive system. SUBROUTINE - Beginning of subroutine. WHERE( ) - Starts a where structure. ********************************************************************** Commands listed by Function Character & String Subroutines CHTOHEX - Convert a character to its hex representation. CONTRACT - Contract a character array DISPLAYB - Displays a Buffer contents EXPAND - Expand a character array EVAL - Evaluate a Character Argument HEXTOCH - Concert hex to a character representation. IALEN - Get actual length of a buffer of character data IBFCLOSE - Close a file that was used for Binary I/O IBFOPEN - Open a File for Binary I/O IBFREADC - Reads from a binary file into Character*1 array IBFREADR - Reads from a binary file into Real*8 array IBFSEEK - Position Binary read/write pointer IBFWRITER - Write noncharacter buffer on a binary file IBFWRITEC - Write character buffer on a binary file IB34S11 - Parse a token using B34S11 parser IFILESIZE - Determine number of bites in a file IFILLSTR - Fill a string with a character IGETICHAR - Obtain ichar info on a character buffer IGETCHARI - Get character from ichar value IJUSTSTR - Left/Right/center a string ILCOPY - Move bites from one location to another ILOCATESTR - Locate a substring in a string - 200 length max ILOWER - Lower case a string - 200 length max INEXTR8 - Convert next value in string to real*8 variable INEXTR4 - Convert next value in string to real*4 variable INEXTSTR - Extract next blank deliminated sub-string from a string INEXTI4 - Convert next value in a string to integer. INTTOSTR - Convert integer to string using format IR8TOSTR - Convert real*8 value to string using format ISTRTOR8 - Convert string to real*8 ISTRTOINT - Convert string to integer IUPPER - Upper case a string - 200 length max Character Functions CHAR - Convect an integer in range 0-127 to character. CHTOR - Convert a character variable to a real variable. DATENOW - Date now in form dd/mm/yy EXTRACT - Extract elements of a character*1 variable. FIND - Finds location of a character string. ICHAR - Convect a character to integer in range 0-127. INLINE - Inline creation of a program MOVELEFT - Moves elements of character variable left. MOVERIGHT - Move elements of character variable right. NAMELIST - Creates a namelist. NOTFIND - Location where a character is not found. OBJECT - Put together character objects. PLACE - Places characters inside a character array. RTOCH - Copies a real*8 variable into character*8. TIMENOW - Time now in form hh:mm:ss Data Building, loading and Display Subroutines ACF_PLOT - Simple ACF Plot ADDCOL - Add a column to a 2d array or matrix. ADDROW - Add a row to a 2d array or matrix. AGGDATA - Aggregate Data under control of an ID Vector. ALIGN Align Series with Missing Data BUILDLAG - Builds NEWY and NEWX for VAR Modeling CCFTEST - Display CCF Function of Prewhitened data CHAR1 - Place a string in a character*1 array. CHARACTER - Place a string in a character*1 array. CHECKPOINT - Save workspace in portable file. CLEARALL - Clears all objects from workspace. CLEARDAT - Clears data from workspace. CSUB - Call Subroutine CONSTRAIN - Subset data based on range of values. CSV - Read and Write a CVS file DATA_ACF - Calculate ACF and PACF Plots DATAVIEW - View a Series Under Menu Control DATAFREQ - Data Frequency DELETECOL - Delete a column from a matrix or array. DELETEROW - Delete a row from a matrix or array. DES - Code / decode. DESCRIBE - Calculate Moment 1-4 and 6 of a series DIVIDE - Divide with an alternative return. DO_SPEC - Display Periodogram and Spectrum GET_FILE - Get a File Name GET_NAME - Get Name of a Matrix Variable GTEST - Tests output of a ARCH/GARCH Model GWRITE - Save Objects in GAUSS Format using one file GWRITE2 - Save Objects in GAUSS Format using two files FREE - Free a variable. LAGMATRIX - Builds Lag matrix. MELD - Form all possible combinations of vectors. QUANTILE - Calculate interquartile range. RTEST - Test Residuals of Model RTEST2 - Test Residuals of OLS Model - No RES and Y Plots SET - Set all elements of an object to a value. SETCOL - Set column of an object to a value. SETLABEL - Set the label of an object. SETNDIMV - Sets an element in an n dimensional object. SETROW - Set row of an object to a value. SETTIME - Sets the time info in an existing series SORT - Sort a real vector. SUBRENAME - Internally rename a subroutine. Data Building Functions AFAM - Change a matrix or vector to an array class object. ARRAY - Define a 1d or 2d array. C1ARRAY - Create a Character*1 array C8ARRAY - Create a Character*8 array CATCOL - Concatenates an object by columns. CATROW - Concatenates an object by rows. CFUNC - Call Function COMB - Combination of N objects taken M at a time. COMPLEX - Build a complex variable from two real*8 variables. CUSUM - Cumulative sum. CUSUMSQ - Cumulative sum squared. DABS - Absolute value of a real*8 variable. DARCOS - Arc cosine of a real*8 variable. DARSIN - Arc sine of a real*8 variable. DATAN - Arc tan of a real*8 variable. DATAN2 - Arc tan of x / y. Signs inspected. DBLE - Convert real*4 to real*8. DCONJ - Conjugate of complex argument. DCOS - Cosine of real*8 argument. DCOSH - Hyperbolic cosine of real*8 argument. DDOT - Inner product to two vectors. DEXP - Exponential of a real*8 argument. DFLOAT - Convert integer*4 to real*8. DGAMMA - Gamma function of real*8 argument. DINT - Extract integer part of real*8 number DNINT - Extract integer part of real*8 number DLGAMMA - Natural log of gamma function. DLOG - Natural log. DLOG10 - Base 10 log. DMAX - Largest element in an array. DMAX1 - Largest element between two arrays. DMIN - Smallest element in an array. DMIN1 - Smallest element between two arrays. DMOD - Remainder. DROPFIRST - Drops observations on top or array. DROPLAST - Drops observations on bottom of an array. DSIN - Calculates sine. DSINH - Hyperbolic sine. DSQRT - Square root of real*8 or complex*16 variable. DTAN - Tangent. DTANH - Hyperbolic tangent. EPSILON - Positive value such that 1.+x ne 1. EXP - Exponential of real*8 or complex*16 variable. FLOAT - Converts integer*4 to real*4. FREQ - Gets frequency of a time series. FYEAR - Gets fraction of a year from julian date. GETIDIM - Obtain value from an n dimensional object. GMFAC - LU factorization of n by m matrix GMINV - Inverse of General Matrix using LAPACK GMSOLV - Solve Linear Equations system using LAPACK GOODCOL - Deletes all columns where there is missing data. GOODROW - Deletes all rows where there is missing data. GRID - Defines a real*8 array with a given increment. HUGE - Largest number of type INTEGER8 - Load an Integer*8 object from a string I4TOI8 - Move an object from integer*4 to integer*8 I8TOI4 - Move an object from integer*8 to integer*4 ICOLOR - Sets Color numbers. Used with Graphp. IDINT - Converts from real*8 to integer*4. IDNINT - Converts from real*8 to integer*4 with rounding. IMAG - Copy imaginary part of complex*16 number into real*8. INDEX - Define integer index vector. INFOGRAPH - Obtain Interacter Graphics INFO INT - Copy real*4 to integer*4. INTEGERS - Generate an integer vector with given interval. IQINT - Converts from real*16 to integer*4. IQNINT - Converts from real*16 to integer*4 with rounding. ISMISSING - Sets to 1.0 if variable is missing KEEPFIRST - Given k, keeps first k observations. KEEPLAST - Given k, keeps last k observations. KIND - Returns kind of an object in integer. KINDAS - Sets kind of second argument to kind first arg. KLASS - Returns klass of an object in integer. LABEL - Returns label of a variable. LAG - Lags variable. Missing values propagated. LOWERT - Lower triangle of matrix. MCOV - Consistent Covariance Matrix MASKADD - Add if mask is set. MASKSUB - Subtract if mask is set. MATRIX - Define a matrix. MFAM - Set 1d or 2d array to vector or matrix. MISSING - Returns missing value. NEAREST Nearest distinct number of a given type NOCOLS - Gets number of columns of an object. NOELS - Gets number of elements in an object. NOROWS - Gets number of rows of an object. NORMDIST - 1-norm, 2-norm and i-norm distance. PI - Pi value. QCOMPLEX - Build complex*32 variable from real*16 inputs. QINT - Extract integer part of real*16 number QNINT - Extract nearest integer part of real*16 number QREAL - Obtain real*16 part of a complex*32 number. RANKER - Index array that ranks a vector. REAL - Obtain real*8 part of a complex*16 number. R8TOR16 - Convert Real*8 to Real*16 R16TOR8 - Convert Real*16 to Real*8 REAL16 - Input a Real*16 Variable REC - Rectangular random number. RECODE - Recode a real*8 or chartacter*8 variable RN - Normally distributed random number. SEXTRACT - Takes data out of a field. SFAM - Creates a scalar object. SNGL - Converts real*8 to real*4. SPACING Absolute spacing near a given number SUBMATRIX - Define a Submatrix SUBSET - Subset 1d, 2d array, vector or matrix under a mask. SUM - Sum of elements. SUMCOLS - Sum of columns of an object. SUMROWS - Sum of rows of an object. SUMSQ - Sum of squared elements of an object. TIMEBASE - Obtains time base of an object. TIMESTART - Obtains time start of an object. TINY Smallest number of type UPPERT - Upper Triangle of matrix. VECTOR - Create a vector. VFAM - Convert a 1d array to a vector. ZDOTC - Conjugate product of two complex*16 objects. ZDOTU - Product of two complex*16 objects. ZEROL - Zero lower triangle. ZEROU - Zero upper triangle. Data Filtering Subroutines CSPECTRAL - Do cross spectral analysis. SPECTRAL - Spectral analysis of a vector or 1d array. FFT - Fast fourier transform. SPECTRUM - Returns spectrum of a 1d object. VAREST - VAR Modeling Date and Time Functions CHARDATE - Convert julian variable into character date dd\mm\yy. CHARDATEMY - Convert julian variable into character data mm\yyyy. CHARTIME - Converts julian variable into character date hh:mm:ss CWEEK - Name of the day in character. FDAYHMS - Gets fraction of a day. GETDAY - Obtain day of year from julian series. GETHOUR - Obtains hour of the day from julian date. GETMINUTE - Obtains minute of the day from julian date. GETMONTH - Obtains month from julian date. GETQT - Obtains quarter of year from julian date. GETSECOND - Obtains second from julian date. GETYEAR - Obtains year. IWEEK - Sets 1. for monday etc. JULDAYDMY - Given day, month, year gets julian value. JULDAYQY - Given quarter and year gets julian value. JULDAYY - Given year gets julian value. MAKEJUL - Make a Julian date from a time series Estimation and residual testing Subroutines ARMA - ARMA estimation using ML and MOM. AUTOBJ - Automatic Estimation of Box-Jenkins Model BDS - BDS Nonlinearity test. BPFILTER - Baxter-King Filter. DF - Calculate Dickey-Fuller Unit Root Test. GAMFIT - Generalized Additive Model Estimation GARCHEST - Estimate ARCH/GARCH model. KEENAN - Keenan Nonlinearity test KSWTEST - K Period Stock Watson Test KSWTESTM - Moving Period Stock Watson Test LAGTEST - 3-D Graph to display RSS for OLS Lags LAGTEST2 - 3-D Graph to display Rss for MARS Lags LM - Engle Lagrange Multiplier ARCH test. MINIMAX - Estimate MINIMAX with MAXF2 OLSQ - Estimate OLS, MINIMAX and L1 models. OLSPLOT - Plot of Fitted and Actual Data & Res POLYFIT - Fit an nth degree polynomial POLYVAL - Evaluate an nth degree polynomial PP - Calculate Phillips Peron Unit Root test PROBIT - Estimate Probit (0-1) Model. QUANTREG - Quantile Regression Program RESET - Calculate Ramsey(1969) regression specification test. RESET77 - Thursby - Schmidt Regression Specification Test REVERSE - Test a real*8 vector for reversibility in Freq. Domain ROTHMAN - Test a real*8 vector for reversibility in Time Domain RRPLOTS - Plots Recursive Residual Data SIMULATE - Dynamically Simulate OLS Model SMOOTH - Do exponential smoothing. SWARTEST - Stock-Watson VAR Test TRIPLES - Calculate Triples Reversability Test TSAY - Calculate Tsay nonlinearity test. TSD - Interface to TSD Data set Estimation and residual testing and Spline Functions BOOTI - Calculate integers to be used with bootstrap. BOOTV - Bootstraps a vector with replacement. BOXCOX - Box-Cox Transformation of a series given lamda. MLSUM - Sums log of elements of a 1d object. Spline Functions ABFSPLINE - Automatic Backfitting of a Spline Model ACEFIT - Alternating Conditional Expectation Model Estimation BSNAK - Compute Not a Knot Sequence BSOPK - Compute optimal spline know sequence BSINT - Compute 1-D spline interpolant given knots BSINT2 - Compute 2-D spline interpolant given knots BSINT3 - Compute 3-D spline interpolant given knots BSDER - Compute 1-D spline values/derivatives given knots BSDER2 - Compute 2-D spline values/derivatives given knots BSDER3 - Compute 3-D spline values/derivatives given knots BSITG - Compute 1-D spline integral given knots BSITG2 - Compute 2-D spline integral given knots BSITG3 - Compute 3-D spline integral given knots CSPLINEFIT - Fit a 1 D Cubic Spline using alternative models CSPLINE - Calculate a cubic spline for 1 D data CSPLINEVAL - Calculate spline value given spline CSPLINEDER - Calculate spline derivative given spline value CSPLINEITG - Calculate integral of a cubic spline MARS - Multivariate Autoregressive Spline Models MARSPLINE - Updated MARS Command using Hastie-Tibshirani code PISPLINE - Pi Spline Nonlinear Model Building Integration Subroutines DQDAG - Integrate a function using Gauss-Kronrod rules DQDNG - Integrate a smooth function using a nonadaptive rule. DQDAGI - Integrate a function over infinite/semi-infinite interval. DQDAGP - Integrate a function with singularity points given DQDAGS - Integrate a function with end point singularities DQAND - Multiple integration of a function DTWODQ - Two Dimensional Iterated Integral IO routines Subroutines BACKSPACE - Backspace a unit CLOSE - Close a logical unit. COPYLOG - Copy file to log file. COPYOUT - Copy file to output file. COPYF - Copy a file from one unit to another. ECHOOFF - Turn off listing of execution. ECHOON - Turn on listing of execution. EPPRINT - Print to log and output file. EPRINT - Print to log file. ERASE - Erase file(s). FORMS - Build Control Forms FPRINT - Formatted print facility. GET - Gets a variable from b34s. GETDMF - Gets a data from a b34s DFM file. GETKEY - Gets a key GETMATLAB - Gets data from matlab. GETRATS - Reads RATS Portable file. GETSCA - Reads SCA FSAVE and portable portable files HEADER - Turn on header ISEXTRACT - Place data in a structure. LOADDATA - Load Data from b34s into MATRIX command. MAKEDATA - Place data in a b34s data loading structure. MAKEMAD - Makes SCA *.MAD datafile from vectors MAKEMATLAB - Place data in a file to be loaded into Matlab. MAKERATS - Make RATS portable file. MAKESCA - Make SCA FSV portable file. MENU - Put up user Menu for input MESSAGE - Put up user message and allow a decision. NOHEADER - Turn off header OPEN - Open a file and attach to a unit. PRINT - Print text and data objects. PRINTALL - Lists all variables in storage. PRINTOFF - Turn off Printing PRINTON - Turn on Printing (This is the default) READ - Read data directly into MATRIX workspace from a file. RESTORE - Load data back in MATRIX facility from external save file. REWIND - Rewind logical unit. RMATLAB - Runs Matlab SAVE - Save current workspace in portable file format. TABULATE - List vectors in a table. WRITE - Write an object to an external file. Matrix Functions DERIVATIVE - Analytic derivative of a vector. DET - Determinate of a matrix. DIAG - Place diagonal of a matrix in an array. DIAGMAT - Create diagonal matrix. EIGENVAL - Eigenvalue of matrix. Alias EIG. INV - Inverse of a real*8 or complex*16 matrix. KPROD - Kronecker Product of two matrices. PDFAC - Cholesky factorization of PD matrix. PDFACDD - Downdate Cholesky factorization. PDFACUD - Update Cholesky factorization. PDINV - Inverse of a PD matrix. PDSOLV - Solution of a PD matrix given right hand side. PERMUTE - Reorder Square Matrix PINV - Generalized Inverse. PROD - Product of elements of a vector. QRFAC - Obtain Cholesky R via QR method. QRSOLVE - Solve OLS using QR. RCOND - 1 / Condition of a Matrix. ROLLDOWN - Moves rows of a 2d object down. ROLLLEFT - Moves cols of a 2d object left. ROLLRIGHT - Moves cols of a 2d object right. ROLLUP - Moves rows of a 2d object up. SCHUR - Performs Schur decomposition SEIGENVAL - Eigenvalues of a symmetric matrix. Alias SEIG. SVD - Singular value decomposition of an object. TRACE - Trace of a matrix. TRANSPOSE - Transpose of a matrix. ZDOTC - Conjugate product of two complex*16 objects. ZDOTU - Product of two complex*16 objects. Miscellaneous Subroutines BREAK - Set User Program Break Point. COMPRESS - Compress workspace. COPY - Copy an object to another object LAPACK - Sets Key LAPACK parameters LOAD - Load a Subroutine from a library. MAKEGLOBAL - Make a variable global (seen at all levels). MAKELOCAL - Make a variable seen at only local level. MANUAL - Place MATRIX command in manual mode. NAMES - List names in storage. LRE - McCullough Log Relative Error PCOPY - Copy an object from one pointer address to another REAL16INFO - Obtain Real16 info REAL16OFF - Turn off Real16 add REAL16ON - Turn on extended accuracy REAL32OFF - Turn off Real32 add REAL16ON - Turn on Real*32 extended accuracy RUN - Terminates the matrix command being in "manual" mode. SETLEVEL - Set level. SETWINDOW - Set window to main(1), help(2) or error(3). SIGD - Set print digits. Default g16.8 STOP - Stop execution of a program. TESTARG - Lists what is passed to a subroutine or function. TIMER - Gets CPU time. VOCAB - List built-in subroutine vocabulary. Miscellaneous Functions ARGUMENT - Unpack character argument at run-time FACT - Factorial LEVEL - Returns current level. POINTER - Machine address of a variable. POLYROOT - Solution of a polynomial. POLYDV - Division of polynomials. POLYMULT - Multiply two polynomials VOCAB - List built in functions. Nonlinear Estimation Capability Subroutines CMAXF1 - Constrained maximization of function using zxmwd. CMAXF2 - Constrained maximization of function using dbconf/g. CMAXF3 - Constrained maximization of function using db2pol. BGARCH Calculate function for a BGARCH model. GARCH - Calculate function for a ARCH/GARCH model. GARCHEST - Estimate ARCH/GARCH model. LPMAX - Solve Linear Programming maximization problem. LPMIN - Solve Linear Programming minimization problem. MAXF1 - Maximize a function using IMSL ZXMIN. MAXF2 - Maximize a function using IMSL DUMINF/DUMING. MAXF3 - Maximize a function using simplex method (DU2POL). NLEQ - Jointly solve a number of nonlinear equations. NLLSQ - Nonlinear Least Squares Estimation. NL2SOL - Alternative Nonlinear Least Squares Estimation. NLPMIN1 - Nonlinear Programming fin. diff. grad. DN2CONF. NLPMIN2 - Nonlinear Programming user supplied grad. DN2CONG. NLPMIN3 - Nonlinear Programming user supplied grad. DN0ONF. NLSTART - Generate starting values for NL routines. QPMIN - Quadratic Programming. SOLVEFREE - Set frequency of freeing temp variables. Random Number Generation and Testing - IMSL Names preserved I_RNGET - Gets seed used in IMSL Random Number generators. I_RNSET - Sets seed used in IMSL Random Number generators. I_RNOPG - Gets the type of generator currently in use. I_RNOPT - Selects the type of uniform (0,1) generator. I_DRNSES - Initializes the table used by shuffled generators. I_DRNGES - Get the table used in the shuffled generators. I_DRNUN - Uniform (0,1) Generator I_DRNNOR - Random Normal Distribution I_RNBIN - Random integers from binomial distribution I_DRNGDA - Random integers from discrete distribution alias approach I_DRNGDT - Random integers from discrete using table lookup I_RNGEO - Random integers from Geometric distribution I_RNHYP - Random integers from Hypergeometric distribution. I_RNNBN - Negative binomial distribution I_DRNBET - Random numbers from beta distribution I_DRNCHI - Random numbers from Chi-squared distribution I_DRNCHY - Random numbers from Cauchy distribution I_DRNEXP - Random numbers from standard exponential I_DRNEXT - Random numbers from mixture of two exponential distributions I_DRNGAM - Random numbers from standard gamma distribution I_DRNGCT - Random numbers from general continuous distribution I_DRNLNL - Random numbers from lognormal distribution I_DRNNOA - Random normal numbers using acceptance/rejection I_DRNNOR - Random normal numbers using CDF method I_DRNSTA - Random numbers from stable distribution I_DRNTRI - Random numbers from triangular distribution I_DRNVMS - Random numbers from Von Mises distribution I_DRNWIB - Random numbers from Weibull distribution I_RNMTN - Random numbers from multinomial distribution I_DRNMVN - Random numbers from multivariate normal I_DRNSPH - Random numbers on the unit circle I_RNPER - Random perturbation of integers I_RNSRI - Index of random sample without replacement Screen I/O and Plot Subroutines CLS - Clear screen. FPLOT - Plot a Function GRAPH - High Resolution graph. GRAPHP - Multi-Pass Graphics Programing Capability GRCHARSET - Set Character Set for Graphics GRREPLAY - Graph replay and reformat command. OUTDOUBLE - Display a Real*8 value at a x, y on screen. OUTINTEGER - Display an Integer*4 value at a x, y on screen. OUTSTRING - Display a string value at a x, y point on screen. PLOT - Line-Printer Graphics SCREENCLOSE - Turn off Display Manager SCREENOPEN - Turn on Display Manager SCREENOUTOFF - Turn screen output off. SCREENOUTON - Turn screen output on. Statistical Functions BETAPROB - Calculate a beta probability. BINDF - Evaluate Binomial Distribution Function BINPR - Evaluate Binomial Probability Function BLUS - BLUS Residual Analysis CHISQPROB - Calculate chi-square probability. DERF - Error function of real*8/real*16 argument. DERFC - Inverse of error function. FPROB - Probability of F distribution. HYPDF - Evaluate Hypergeometric Distribution Function HYPPR - Evaluate Hypergeometric Probability Function INVBETA - Inverse beta distribution. INVCHISQ - Inverse Chi-square distribution. INVFDIS - Inverse F distribution. INVTDIS - Inverse t distribution. MEAN - Average of a 1d object.vector. NCCHISQ - Non central chi-square probability. NORMDEN - Normal density. POIDF - Evaluate Poisson Distribution Function POIPR - Evaluate Poisson Probability Function PROBIT - Inverse normal distribution. PROBNORM - Probability of normal distribution. PROBNORM2 - Bivariate probability of Nornal distribution. TDEN - t distribution density. TPROB - t distribution probability. VARIANCE - Variance of an object. System Subroutines DODOS - Execute a command string if under dos/windows. DOUNIX - Execute a command string if under unix. SYSTEM - Issue a system command. Time Series Functions ACF - Calculate autocorrelation function of a 1d object. CCF - Calculate the cross correlation function on two objects. DIF - Difference a series. FRACDIF - Fractional Differencing. GENARMA - Generate an ARMA series given parameters. MAKEJUL - Make a Julian date from a time series Variable Precision Math Subroutines and Functions Subroutines VPASET - Set Variable Precision Math Options Functions VPA - Variable Precision Math calculation Listing of Alias function names Name Replaced by LOG DLOG LN DLOG LOG10 DLOG10 EXP DEXP MOD DMOD MAX DMAX MAX1 DMAX1 MIN DMIN INVERSE INV SIN DSIN COS DCOS R4TOR8 DFLOAT R8TOR4 FLOAT SQRT DSQRT SINH DSINH GAMMA DGAMMA COSH DCOSH CONJ DCONJ ATAN DATAN ATAN2 DATAN2 ARSIN DARSIN ARCOS DARCOS ABS DABS Index of Toolkit Routines contained in matrix2.mac Index of programs, subroutines and Functions ACF_PLOT - Simple ACF Plot AUTOCOV - Autocovariance BPF - Baxter - King MA Filter BPFM - Baxter - King MA Filter with missing data CFREQ - Determine Cumulative Frequency Distribution COINT2 - Cointegration Tests of Two Series COINT2LM - Cointegration Tests of Two Series, OLS, L1, MM COINT2M - Moving Cointegration of Two Series COINT2ME - Moving Cointegration of Two Series - Extended Args. COINT2M2 - Moving Cointegration of Two Series OLS, L1, MM COINT3 - Cointegration Tests of Three Series COINT3ME - Moving Cointegration of Three Series DATA_ACF - Calculate ACF and PACF Plots DATAVIEW - View a Series Under Menu Control DO_SPEC - Display Periodogram and Spectrum DUD - Derivative Free Nonlinear Estimation FDIFINFO - Fractional Differencing Information FILTER - High Pass / Low Pass Filter using Real FFT FILTERC - High Pass / Low Pass Filter using Complex FFT FORPLOT - Forecast Plot using GRAPHP GARCH2P - Two Pass GARCH Using ARMA Command GARCH2PF - Two pass GARCH using ARMA Command with forecasting GTEST - Tests output of a ARCH/GARCH Model GWRITE - Save Objects in GAUSS Format using one file GWRITE2 - Save Objects in GAUSS Format using two files HP_BP_1 - Baxter-King & Hodrick-Prescott Filtering HP_BP_2 - Baxter-King & Hodrick-Prescott Filtering Moving Window HP_2 - Hodrick & Prescott Filtering of a Moving Window LMTEST - Engle (1982) test for ARCH for a range of lags MARSPLOT - Automatically plot MARS Curves and Surface Plots MCLEODLI - McLeod-Li (1983) Linearity test MARQ - Estimation of a Nonlinear Model using Derivatives MINIMAX - Estimate MINIMAX with MAXF2 MISSPLOT - Plot of a series with Missing Data MQSTAT - Multivariate Q Statistic MOVEAVE - Moving average of a vector MOVEBJ - Moving Arima Forecast using AUTOBJ MOVEH82 - Moving Hinich 82 test MOVEH96 - Moving Hinich 96 test MOVEOLS - Moving OLS Calculation MOVEVAR - Moving Variance NLVARCOV - Calculates NLLSQ Variance Covariance OLSPLOT - Plot of Fitted and Actual Data & Res PAD - Pad a 1D Real*8 Series on both ends PVALUE_1 - Present value of $1 recieved at end of n years PVALUE_2 - Present Value of an Annuity of $1 PVALUE_3 - Present value of $1 recieved throughout year RTEST - Test Residuals of Model RTEST2 - Test Residuals of Model - No RES and Y Plots QUANTREG - Quantile Regression Program RESET77 - Thursby - Schmidt Regression Specification Test SUBSET - Subset 1d, 2d array, vector or matrix under a mask. Running the Matrix Command: The MATRIX command can be run in "batch mode" or interactively. When run interactively, statements can be reloaded and scripts can be edited and submitted. The file _imatrix.mac is the default name for the script files. The first member _matrix is automatically run if the script is submitted. The B34S save file format is the same as used by Speakeasy and the Speakeasy importall statement can be used to further process this file. The MATRIX command can also read and write SCA and RATS portable files and provides a bridge between these systems. The Display Manager provides a number of options on how to use the system. 1. The MATRIX button on the Display Manager window gets B34S into interactive MATRIX command mode. If the user wants to customize how the matrix command will come up, the IMATRIX section in the MATRIX.MAC file can be changed. In MANUAL mode one command at a time can be entered or scripts can be edited and run. The user is encouraged to modify the MATRIX file to load data etc. Interative use is intended for quick commands. If the MATRIX member of the MATRIX.MAC file is modified, the MATRIX button could be made to execute a matrix program, BEFORE going into MANUAL mode. The MATRIX member of matrix.mac is: /$ This shell can be modified to load data set if desired b34sexec matrix; call manual; b34srun; The _imatrix.mac file has a required member _matrix which can be edited and submitted while under in the interactive matrix command mode. A sample file is: ==_matrix program _matrix; /$ Lines above this are required x=array(100:); y=rn(x); z=rn(y); x=rn(x); call graph(y,z); call names(all); call tabulate(x,y,x); call olsq(y x:print); call load(user '_imatrix.mac'); call user; /$ Lines next are required call manual; return; end; == ==user program user; /$ this is a user program; call print('I am in the user program user!!':); return; end; == 2. The MATRIX command has been designed to run in "batch" mode from a command file. This file is usually submitted from a FILE or from the TASKS command of the Display Manager. 3. The LINEEDIT option under the MENU button allows multiple lines to be entered. This way quick MATRIX jobs can be submitted. By use of the MENU "RELOAD" facility, the commands just submitted can be recalled and changed but are not saved in memory. 4. The MENU command provides two options. The MATRIX command gives the user a screen where any MATRIX commands can be entered. In this mode a "batch file" is interactively submitted. This mode is designed for quick jobs that call user PROGRAMS, SUBROUTINES and FUNCTIONS. By use of the RELOAD option, these commands can be modified and resubmitted. The MENU command also allows access to the MATRIX command which is the same as what is available with the IMATRIX Display Manager command (see # 1 above). In the middle of a MATRIX command section the command: call save; will save the workspace. Later in the session OR at a later session, the command: call restore; will bring back what has been saved. The default name is matrix.psv A specific file can be given using the forms call save(:file 'mystuff.psv'); which can be brought back with call restore(:file 'mystuff.psv'); These save files can be read with Speakeasy(r) using the Speakeasy IMPORTALL command. If b34s matrix command PROGRAMS, SUBROUTINES or FUNCTIONS are present in the B34S MATRIX command workspace, the command call save(:speakeasy); will save only data objects. Because Speakeasy will not support variables of the form %name, such variables are name _name. On a restore these are converted back. The keyword checkpoint can be used in the place of save to be compatible with Speakeasy. If checkpoint is used, subroutines, functions and programs are automatically not saved. The MATRIX command interactive mode can be terminated by call run; and started later in the same job with call manual; This way a complex program can be debuged by looking an intermediate values. Since all output is written to the b34s output file in the usual manner, View log and View output are always available to inspect results. Help The usual b34s help facility provides a discussion of all B34S MATRIX commands. In addition the file matrix.mac provides an example of virtually all MATRIX commands. These examples can be viewed with the help facility, executed or saved in the B34S buffer where they can be either run or further modified. The file matrix2.mac contains programs, subroutines or fuctions that can be run provided that they are loaded with the command call load(somename); Form of MATRIX command. b34sexec matrix options parameters; <matrix commands here> b34seend$ MATRIX Command Options SAVEASVECTOR - Saves B34S variables as vectors. Default is to save as an array. For the differences between vector and array math, see below. For a minor example, if the b34s variable GASOUT is saved as an array. The statement test=gasout**2.; will square each element, If GASOUT is saved as a vector, the command test=gasout**2.; will produce one observation which is the sum of squared values of GASOUT. SHOWUSE - Shows use of arrays. Indicates current limits of the program. HEADER - Turns on Header. Default is NOHEADER. The commands call noheader; call header; can turn the header off and on inside the matrix step. CBUFFER=n1 - Sets size of Command buffer. If a bigger size is needed, a message will be given. For further info see below. SIGD=n2 - Sets number of significant digits in variable printing. Default g16.8 for real*8. This can also be set by call sigd(i); in open matrix language code. If i le 8 g16.i is used. If i > 8 then g16+(i-8).i format is used. For example i = 10 uses g18.10. SOLVEFREE=n3 - Sets frequency of cleaning temp variables with SOLVE command. Default = 50. If error message on exceeding temp variables is seen, set number smaller. A larger n2 value can reduce CPU time. The subroutine SOLVEFREE can be used to test your code. DSEED=r - Sets the seed for GGNML and GGUBS and other routines. This seed works the same but can be set to a different value than the seed set set under the OPTIONS command. The exact random number routine used is set on the OPTIONS command with the command RECVER and RNVER. Consult help files for this command for further detail. Default = 123457.0d+00 or the seed set with SETSEED on the OPTIONS command. The possibly of a different seed for the MATRIX command isolates how this command runs in relation to a default seed set with SETSEED in a user AUTOEXEC.B34 file. Since not all random number generators are equal, users should use caution. Empirically it was found that if 3000 random normal deviates are generated using the default (IMSL) seed, the BDS statistic flags the series as "nonlinear." This finding is strange to say the least. Using I_RNOPT command the exact uniform generator for IMSL random number routines can be selected. The MATRIX command RN( ) and REC( ) have optional switches that allow the default random number routines to be replaced by IMSL version 10 routines. DISPLAY=key - Sets accuracy and number of Cols to print matrix output. Key can be set: COL80FIXED f18.5 COL80MEDIUM g15.6 COL80HIGH g25.16 COL129FIXED f18.5 COL129MEDIUM g15.6 COL129HIGH g25.16 The default is COL129MEDIUM. This can be set globally with the options commands linesize and sigd LINESIZE SIGD DISPLAY 80 < 8 COL80FIXED 80 8 COL80MEDIUM 80 > 8 COL80HIGH 132 < 8 COL129FIXED 132 8 COL129MEDIUM 132 > 8 COL129HIGH Size of problems: The maximum size of any problem is limited by the maximum number of sentences in the parse table (MAXNSENT) and the maximum number of tokens (MAXNTOKEN). These can be increased in the autoexec.b34 file on the PC, or in an OPTIONS command such as b34sexec options maxnsent(600) maxntoken(5000); b34srun; Other current constraints are: Max number of objects in memory 10000. Max number of arguments to a function or subroutine 2500. These constraints may change in the future. For other limitations see the SHOWUSE command of the MATRIX sentence. Overview of the Matrix Language Cont. The goal of the MATRIX command is to provide a high-level programing language that will allow the user to easily customize a B34S application. The MATRIX command consists of analytic statements that that can be reduced to assingment statements and keywords. In contrast to address oriented programing languages such as FORTRAN, the B34S matrix language is object oriented. Assuming X was a vector of 20 numbers, the command ameanx=mean(x); places the mean of the x vector in the variable ameanx. Keywords such as PRINT are used in the form call print('This will print x',x); which will print the statement and the object x. The PRINT command will allow up to 400 arguments or objects to be passed in one call. Keywords are built into the language or can be user written SUBROUTINES, FUNCTIONS or PROGRAMS. User SUBROUTINES and FUNCTIONS pass objects as arguments and calculate in a protected workspace. This means that a variable X can be defined at both the base level and in the SUBROUTINE to mean different things. The difference between PROGRAMS and SUBROUTINES is that SUBROUTINES pass arguments and work in a protected space while PROGRAMS do not pass arguments. PROGRAMS use the current level as their name domain. Hence if a PROGRAM is called from the base level, it can access objects known at that level. If the same programn is called from a SUBROUTINE, it will access data known at that level only. User SUBROUTINES and FUNCTIONS also have access to GLOBAL variables. Recursive Notes: User SUBROUTINES and FUNCTIONS can be called recursively up to the MAXSTAK limit currently 5000, although CBUFFER will have to be increased to handle saving the open arguments. Recursive calls are very very slow but are useful in some situations. Job RECURSIVE in matrix.mac shows that for the same task, a DO loop is 100 times faster than a recursive function or subroutine call. A DO loop itself is slow relative to object calculations. FORMULA & SOLVE statements are from 4 - 10 times faster than DO loops. The speed gain depends on: 1. the length of the vectors, 2: the complexity of the problem and 3. the SOLVEFREE setting which sets how frequently temp variables are freed in the workspace. If recursive calls are a major problem, a brach to an externallu compiled Fortran program might be a good solution. For further detail, see section 14 of this help file. User SUBROUTINES, PROGRAMS and FUNCTIONS must have names of 8 or less characters. A simple example of a user subroutine is DESC subroutine desc(name,mean1,var); mean1=mean(name); var=variance(name); return; end; The following code fragment uses DESC x=array(5:1 2 3 4 5); call desc(x,m,v); call print(Variable mean var',x,m,v); A PROGRAM for the same result would be program desc2; m=mean(x); v=variance(x); return; end; The following code fragment uses DESC2. x=array(5:1 2 3 4 5); call desc2; call print(Variable mean var',x,m,v); Note that in this case the actual names are needed to be used inside DESC2 since the name domain is at the global level. A simple user function DESF will return the mean although in this case it makes little sense since we have the built-in function mean. function desf(x); m=mean(x); return(m); end; The following code fragment uses desf x=array(5:1 2 3 4 5); amean=desf(x); MATRIX command built-in FUNCTIONS and SUBROUTINES in addition to allowing name arguments, also allow passing character strings subject to a limitation shown below. Given subroutine printit(c); call print(c); return; end; If the string is LE 8 characters the form call printit('less8'); can be used. If the string is greater that 8, then the correct form is call character(c,'This is greater than 8'); call printit(c); must be used. This is illustrated in the job char_4 in the matrix.mac file. What is happening is that the form call printit('aa'); places the string 'aa' in a chararacter*8 variable. The form call character(cc,'aa'); call printit(cc); places the string 'aa' in a two element character*1 array. Thus the statement name='J'; creates a character*8 variable. If this is used in an assingment statement to a character*1 variable, the character*1 variable will be redefined which may not be what is wanted. This is illustrated in the job char_5 which is listed next: b34sexec matrix; call echooff; x=rn(matrix(30,30:)); call character(ii,'Element (1, '); call character(ii2,' '); jj=integers(12,17); do i=1,30; call inttostr(i,ii2,'(i6)'); ii(jj)=ii2(jj-11); call character(rp,')'); /$ ********************************************************** /$ Warning the statement /$ ii(18)=')'; /$ does not work since it will be redefined to be character*8 /$ and will be outside the 132 range and not printed /$ ********************************************************** ii(18)=rp; call print(ii,x(1,i) :line); next i; call names(all); b34srun; Summary. Since the MATRIX command supports character*8 and character*1 data added care must be used to pass just what is desired to a user routine. Built-in subroutines and functions can detect just what has been passed and take the appropriate path. The command character or char1 can be used to build a multi-line 2D character*1 array. call character(text,'This is line one' 'This is line two which is longer' 'This is line three' 'This is 4'); produces a 2d character*1 array of size 4,132 where 132 is the max length of a line. Strings to the character command can be up to 132 in length. Advanced concepts. Note: If a MATRIX command variable name is passed to a user SUBROUTINE or FUNCTION, it is possible to return a changed value. If a structured object is passed, it is NOT possible to return a value. This follows the Speakeasy convention but is not the usual case in Fortran. The reason for this is that the structured object may repackage the data, which is not the case in Fortran. For example assume matrix A defined as n=10; a=rn(matrix(n,n:)); if we call desc (see routine listed above) as call desc(a(1,),m,v); mm(1)=m; vv(1)=v; call desc(a(2,),m,v); mm(2)=m; vv(2)=v; we have the desired result since DESC does not change the first argument. However the code call desc(a(1,),m(1),v(1)); call desc(a(2,),m(2),v(2)); will not work as intended because in the parsing process, m(1), m(2), v(1), and v(2) are replaced by temporary variables. After returning the temp values not the real values are saved. One would think that this could be taken care of by the compiler BUT this is not possible. The reason relates to how stuctured objects are handled. Consider the following code. x=rn(matrix(10,10:)); row2=x(2,); In the matrix the elements of row 2 differ by 10 memory positions since Fortran saves by column. However the command row2=x(2,); "repackages" these elements so that they are next to each other. Hence putting them back into the matrix X is not just a copy operation. For this reason users have to be careful when passing structured objects. B34S MATRIX USER SUBROUTINES and FUNCTIONS pass structured objects by value NOT by address! More detail on this is provided below. In other languages such as MATLAB arguments cannot be changed at all. In MATLAB if the user has a function myfun that takes three arguments and returns two, the MATLAB calling form is [back1,back2]=myfun(in1,in2,in3); where in matlab the function is defined by function[bb,cc]=myfun(aa1,aa2,aa3) The B34S MATRIX command follows the Speakeasy conventions and allows a bit more flexibility. However users have to be careful. The MATRIX language recognizes the following types of objects which are given kind and klass numbers. kind character*1 -1 real*4 4 real*8 8 real*16 -16 complex*16 16 complex*32 32 program 1 subroutine 2 function 3 formula 33 character*8 -8 integer*4 -4 integer*8 -88 vpa real 88 vpa real packed 888 vpa integer -44 vpa integer packed -444 vpa complex 160 vpa complex packed 1600 not defined -99 Klass scalar 0 vector 1 matrix 2 1 dim array 5 2 dim array 6 The matrix language recognizes structured objects. Define a as matrix 1. 2. 3. 4. 5. 6. 7. 8. 9. with the command a=matrix(3,3:1 2 3 4 5 6 7 8 9); The matrix, array and vector commands are the only ones that automatically convert integer input to real*8. If an integer*4 matrix is desired use a=idint(matrix(3,3:1 2 3 4 5 6 7 8 9)); The command call print(a(2,)); prints row 2 while call print(a(,3)) prints column 3. After defining an integer vector i of two elements 1 and 3 i=integers(1,3,2); the commands call print('This is row 1 and 3',a(i,)); call print('This is col 1 and 3',a(,i)); will pull off rows 1 & 3 and columns 1 & 3 respectively. Remember structured objects pass as values NOT addresses. Structured objects can be used as arguments but cannot be used for output. On the left of an = sign assingments are possible. This is contrary to Fortran which passes by address. B34S "repackages" the structured object data and passes the values leaving the original array intact. Internally the matrix is saved by columns following Fortran. Hence both x(2,) and x(,2) pass contiguous values although the underlying storage is NOT contiguous for x(2,). What is happening is that the B34S parser "repackages" the second row, which was not saved as contiguous values, into a vector. For this reason it is not possible to return back values from a structured variable address such as x(,i), x(i) or x(3,) etc. In a sense this "limitation" of returning values in a structured object frees the user from having to remember the underlying storage of the matrix object. Here the vector is an object in its own right. That is how we think of it in mathmatics. The goal of the MATRIX design is to think in mathematics, not in computer storage conventions. Speed design considerations: Code such as i=integers(2,20); j=i-1; a(j) = b(i); involves repetitive expansion of A which has not been defined to the correct size and therefore has to be expanded on the fly. While such code will work, a better approach is b34sexec matrix; b=rn(array(30:)); i=integers(2,20); j=i-1; a=array(dmax(j):); a(j) = b(i); call tabulate(a,b); b34seend$ which will run substantially faster. The following code illustrates some of these concepts. x=rn(matrix(3,3:)); a(1,1)= mean(x); v=vector(3:1 2 3); a(2,)=v; i=idint(array(2:1,3)); * place terms 1 3 of v in newv; newv=v(i); x=matrix(3,3:integers(1,9)); * places rows 1 and 3 of x or 1 2 3 7 8 9 in newx; newx=x(i,); The mean of x is now in a(1,1), 1 2 3 is in row 1 of newx and 7 8 9 are in row 2. 1.0 and 3.0 are in variable newv. Data can be placed in structured objects a number of ways. To put 6.0 in col 3 of x at all locations: call setcol(x,3,6.0); To put 7.0 in row 6 of x at all locations: call setrow(x,6,7.0); another way would be x(6,)=(array(nocols(x):)+7.0); assuming x is a 2d array. Or x(6,)=7.; Object expansion is possible. The command a(6,)=v; would place v in a new row 6 of x. Due to possible ambiguity, if v is a vector and i and j are vectors, the statement x(i,j)=v; is not allowed. The command newx=matrix(n,n:)+8.0; will build a n by n matrix with 8.0 on the diagonal while newx=array(n,n:)+8.0; will put 8.0 in all elements. These statements illustrate the difference between "matrix math" and "array math." The operators .EQ. .LT. .GT. .NE. .GE. .LE. .OR. .AND. can be used in expressions as well as IF and WHILE statements. Given x=2.0; y=3.0; test1=x.eq.y; test2=x.ne.y; returns test1=0.0 and test2=1.0 If x=array(:1 2 3); y=array(:1 2 4); the commands test1=x.eq.y; test2=x.ne.y; imply test1=array(:1.0 1.0 0.0) since x(3) ne y(3) test2=array(:0.0 0.0 1.0) since x(1)=y(1) and x(2)=y(2) Note: That in an IF statement the arguments must be scalars while analytic statements of the form x=<logical expression> will create a scalar or vector depending on the inputs. If one input is a vector, the other input must be a scalar or a vector of the same size. Warning: The logical operators .and. and .or. can be used to compare 0.0 and 1.0 values only. Names of Objects and commands. B34S MATRIX commands that do not return an argument across an equals are executed by the CALL sentence. The CALL sentence first looks in named storage for a routine with this name. If this is not found, then the built in routines are used. While it is possible to have a user routine with the same name as a built in routine, this is not a good idea. For example assume you have loaded the series GASOUT. The command acf=acf(gasout,24); will place 24 autocorrelations of the GASOUT series in the structured variable ACF. The result is that the ACF command is no longer available. If the command acf2=acf(gasin,24); is given later in the job, B34S will object that ACF is not a 2D object. The solution is to use FREE to "turn on" the built-in command ACF. call free(acf); acf2=acf(gasin,24); or better still resist using an internal command name as a variable name. Math using the MATRIX Command. The MATRIX command allows math between 1 and 2 dimensional arrays and between vectors (1 dimensional) and matrices (2 dimensional) for real*8 and complex*16 objects. Array math can be done between real*8, real*4, real*16, integer*4 and complex*16 objects. Objects of different types cannot be mixed. If this is attempted, B34S will give a "mixed mode" error message. The reason for this is given below. Warning. Only in the most extreme cases should variables be saved as real*4. The real*4 data type is for some graphic applications and for variable storage in cases where memory is low. While array and matrix math is possible for real*4, other functions such as sin will not work to prevent users from making calcualtios that have accyracy loss. Matrix and vector math can be done only with real*4 real*8, real*16, complex*16, complex*32 variables and vpa real and complex objects. Assume r8 is real*8. newr=r8*2.0; is allowed but newr=r8*2; is not allowed since 2 is an integer. The error message will refer to "mixed mode" operations. The logic behind not allowing r8*2 is that it is not clear whether an integer*4 or real*8 result is desired. This convention is not followed in Speakeasy which tries to make everything real*8. The reason for this "restriction" is illustrated by the following example. Assume the commands x=10.; y=x*2; where given. The parser would not know if Y should be integer*4 20 or real*8 20. Note: The functions DBLE, SNGL, DINT, IDINT, INT, FLOAT, DFLOAT, REAL, IMAG, COMPLEX, r8tor16, r16tor8, c16toc32, c32toc16 i4toi8, i8toi4 and vpa can be used to convert the storage of a variable. Speed considerations: To increase run-time speed the CALL command is used in place of just naming the SUBROUTINE as is done with some other programming systems such as Speakeasy and MATLAB. B34S follows the Fortran convention. Arguments passed to subroutines and functions must be inside ( ). Built in Matrix Commands called with CALL must not be mixed. For example call names; is allowed. but call names names(all); is not allowed since the command NAMES(ALL) is not the first key word in the call sentence. Matrix Command Files: The file c:\b34slm\matrix.mac contains a number of complete matrix command examples. These can be executed, loaded into the program buffer under TASKS, or viewed using the help facility. There are working examples for virtually every matrix command. Users should customize these examples. The file c:\b34slm\matrix2.mac contains matrix command SUBROUTINES, PROGRAMS and FUNCTIONS. These can be loaded as run time with the command call load(somename); or loaded into the program buffer, or viewed with the help facility. Each file cannot contain anything except, SUBROUTINES, PROGRAMS or FUNCTIONS. The advantage of loading a routine with a CALL LOAD statement, rather than having the routine in the command file, is that parse space is saved and execution speed is also increased. If the user adds routines to the library, it is important that the code be "clean" since the parser will not check the code in the same manner as would be the case if the routine were loaded. Unless the routine produces output, most routines are called inside CALL ECHOOFF; CALL ECHOON; statements so that the statements executed will not echo to the output file. The files staging.mac and staging2.mac are like matrix.mac and matrix2 except that they are for prospective commands. These commands are documented inside the routine and not in the b34shelp.dat file. Basic rules of the B34S Matrix Command: 1. All matrix statements MUST end in $ or ;. x=dsin(q); 2. Mixed mode math is not allowed. For example assuming x is real*8 x=x*2; is not allowed because x is real*8 and 2 is an integer. The reason mixed mode is not allowed is that the processor would not know what to do with the result. The correct form is x=x*2.; or x=idint(x)*2; if you want an integer result and x was real*8 before the command. 3. Structured objects can only be used on the right of an expression or in a subroutine call as input. For example mm=mean(x(,3)); calculates the mean of col 3 while nn=mean(x(3,)); calculates the mean of row 3. 4. Structured objects can be used on the left of an assignment statement to load data. The commands x=3.0; x(2)=4.0; add another element to x. x=rn(matrix(4,4:)); x(,2)=0.; places 0.0 in col 2 while x(3,)=99.; places 99.0 in row 3. The following code shows advanced structured index processing. This code is available in matrix.mac at overview_2 /$ Illustrates Structural Index Processing b34sexec matrix; x =rn(matrix(6,6:)); y =matrix(6,6:); yy =matrix(6,6:); z =matrix(6,6:); zz =matrix(6,6:); i=integers(4,6); j=integers(1,3); xhold=x; hold=x(,i); call print('cols 4-6 x go to hold',x,hold); y(i, )=xhold(j,); call print('Rows 1-3 xhold in rows 4-6 y ',xhold,y); y=y*0.0; j2 =xhold(j,); y(i, )=j2 ; call print('Rows 1-3 xhold in rows 4-6 y ',xhold,y); z(,i)=xhold(,j); call print('cols 1-3 xhold in cols 4-6 z ',xhold,z); j55 =xhold(,j); z=z*0.0; z(,i)=j55; call print('cols 1-3 xhold in cols 4-6 z ',xhold,z); yy=yy*0.0; yy(i,)=xhold; call print('rows 1-3 xhold in rows 4-6 yy',xhold,yy); zz=zz*0.0; do ii=1,3; jj=ii+3; zz(,jj)=xhold(ii,); enddo; call print('Note that zz(,j)=xhold(i,) will not work'); call print('rows 1-3 xhold in cols 4-6 zz',xhold,zz); zz=zz*0.0; do ii=1,3; jj=ii+3; zz(jj,)=xhold(,ii); enddo; call print('Note that zz(j,)=xhold(,i) will not work'); call print('cols 1-3 xhold in rows 4-6 zz',xhold,zz); oldx=rn(matrix(20,6:)); newx= matrix(20,5:); i=integers(4); newx(,i)=oldx(,i); call print('Col 1-4 in oldx goes to newx',oldx,newx); oldx=rn(matrix(20,6:)); newx= matrix(20,5:); i=integers(4); newx(1,i)=oldx(1,i); call print('This puts the first element in col ',oldx,newx); newx=newx*0.0; newx(i,1)=oldx(i,1); call print('This puts the first element in row ',oldx,newx); newx=newx*0.0; newx( ,i)=oldx( ,i); call print('Whole col copied here',oldx,newx); oldx=rn(matrix(10,5:)); newx= matrix(20,5:); i=integers(4); newx(i,1)=oldx(i,1); call print('This puts the first element in row ',oldx,newx); newx=newx*0.0; newx(i,)=oldx(i,); call print('Whole row copied',oldx,newx); * we subset a matrix here ; a=rn(matrix(10,5:)); call print('Pull off rows 1-3, cols 2-4', a,a(integers(1,3),integers(2,4))); b34srun; 5. Functions or math expressions are not allowed on the left hand side of an equation. Assume the user wants to load another row. The command x(norows(x)+1,)=v; in the sequence x=matrix(3,3:1 2 3 4 5 6 7 8 9); v=vector(3:22 33 44); x(norows(x)+1,)=v; will not work. The correct way to proceed is: x=matrix(3,3:1 2 3 4 5 6 7 8 9); v=vector(3:22 33 44); n=norows(x)+1; x(n,)=v; to produce 1. 2. 3. 4. 5. 6. 7. 8. 9. 22. 33. 44. The command x(i+1)=value; will not work since there is a calculation implicit on the left. The correct code is: j=i+1; x(j)=value; 6. Matrix and array math is supported. If x is a 3 by 3 matrix, the command x=afam(x); will create the 3 by 3 array x. If x is a 3 by 1 array. The command mx=vfam(x); will create a matrix mx containing columns of x. If x=rn(array(3,3:)); vv=vfam(x); vv is a 3 by 3 matrix. To convert x to a vector column by column use vvnew=vector(:x); 7. Keywords should not be used as variable names. If they are the command with this name is "turned off." This can cause unpredictable results with user PROGRAMS, SUBROUTINES and FUNCTIONS. Keywords cannot conflict with user program, subroutine or function names since the users code is not loaded unless a statement of the form call load(name); 8. MATRIX command SUBROUTINES and FUNCTIONS allow passing arguments. For example: call myprog(x,y); y=myfunc(x,y); Character values can be passed and optionally changed. b34sexec matrix; subroutine test(a); call print('In routine test A= ',a); call character(a,'This is a very long string'); return; end; /$ pass in character*8 call test('junk'); call character(jj,'some junk going in'); call print(jj); /$ pass in a character*1 array call test(jj); call print(jj); b34srun; Special characters such as : and | are not allowed in USER SUBROUTINES or FUNCTION calls because of the difficulty of parsing these characters in the user routine. This restriction may change in future versions of the MATRIX command if there is demand. 9. Coding assumptions. Statements such as: y = x-z; are allowed. Statements such as y = -x+z; will not work as intended. The error message will be "Cannot classify sentence Y ...". The command should be given as y = -1.*x + z; or better still y = (-1.*x) + z; A statement y = x**2; where x is real*8 will get a mixed mode message and should be given as y = x**2.; Complex statements such as yhat = b1*dexp(-b2*x)+ b3*dexp(-(x-b4)**2./b5**2.) + b6*dexp(-(x-b7)**2./b8**2.); will not work and should have ( ) around the power expressions and -1.* . yhat = b1*dexp(-1.0*b2*x)+ b3*dexp(-1.0*((x-b4)**2.)/(b5**2.)) + b6*dexp(-1.0*((x-b7)**2.)/(b8**2.)); Examples of MATRIX language statements: The statement y=dsin(x); is an analytic statement that creates the stuctured object y by taking the sin of structured object x. The statements below defines a user subroutine moveaver to calculate a moving average. subroutine moveaver(x,nterms,moveaver); 10. The following code illustrates automatic expansion. x(1)=10.; x(2)=20.; The array x contains elements 10. and 20. Warning: The commands x(1)=10.; x(2)=20; produces an array of 0 20 since the statement x(2)=20 redefines the x array to be integer! This is an easy mistake to make! Computers do what we tell them to do! Statements such as x(0) = 20.; x(-1)= 20.; x(1) = 20.; all set element 1 of x to 20. The x(0) and x(-1) statements will generate a message warning the user. 11. Memory Management Issues. Warning: Automatic expansion inside a subroutine, program, DO loop, dowhile loop, or function can cause the program to "waste" memory since newer copies of the expanded variable will not fit into the old location. The matrix command will have to allocate a new space which will leave a "hole" in memory. B34S provides the capability of the user programming memory management as needed. The command call compress; can be used to compress the workspace in this situation. A better solution is to allocate the variable to the max shape outside the loop. In addition to space requirements, prior allocation will substantially speed up execution. If memory problems are encountered, the command call names(all); can be used to see how the variables are saved in memory and whether as the loop proceeds more space is used. In some situations the max temp number message may be reached if temps cannot be automatically freed. For example compare the following code; n=10; x=array(n:); call names(all); do i=1,n; x(i)=dfloat(i); call names(all); enddo; with n=10; call names(all); do i=1,n; x(i)=dfloat(i); call names(all); enddo; The first job will run faster and not use up memory. This job can be found in the file matrix.mac under MEMORY and should be run by users wanting to write efficient subroutines. The command n=10; call compress(n); allows the user to compress every n times call compress is called. For example: do i=1,nn; * statements here; call compress(100); enddo; Compresses every 100 times the loop calls compress. An alternative is to use the solvefree command as do i=1,2000; call solvefree(:alttemp); * many commands here ; call solvefree(:cleantemp); enddo; Due to enhancements to the memory management in B34S that were part of the 8.10G version, this option only has use if memory management is needed as part of a user model that is called by one of the nonlinear commands. For added detail on this use, see below. In the above example the first call with :alttemp sets %%____ style temp variables in place of the default ##____ style. The command :cleantemp resets the temp style to ##____ and cleans all %%____ temps, leaving the ##_____ style temps in place. If this capability is used carefully, substantial speed gains can be made. In addition the max number of temps will not be reached. Use of this feature slows down processing and is usually not needed. The command call solvefree(:cleantemp2); cleans user temps at or above the current level. This can be useful within a nested call to clean work space. The dowhile loop usually is cycled many times and needs active memory management. An example is: b34sexec matrix; sum=0.0; add=1.; ccount=1.; count=1.; tol=.1e-6; /$ outer dowhile does things 2 times call outstring(2,2,'We sum until we can add nothing!!'); call outstring(2,4,'Tol set as '); call outdouble(20,4,tol); call echooff; call solvefree(:alttemp); dowhile(ccount.ge.1..and.ccount.le.3.); sum=0.0; add=1.; count=1.; dowhile(add.gt.tol); oldsum=sum; sum=oldsum+((1./count)**3.); count=count+1.; call outdouble(2,6,add); add=sum-oldsum; /$ This section cleans temps if(dmod(count,10.).eq.0.)then; call solvefree(:cleantemp); call solvefree(:alttemp); endif; enddowhile; ccount=ccount+1.; call print('Sum was ',sum:); call print('Count was ',count); enddowhile; b34srun; Note: The command call compress; will be ignored if it is used in a program, function or subroutine that is called as part of a nonlinear estimation command such as NLLLSQ, CMAX2 etc. The reason for this restriction is to avoid the possibility of data movement that is not known to the calling command. If memory management is needed in this case, use the solvefree command. 12. Missing data Handling missing data often causes problems. Assume the following code: x=rn(array(10:)); lagx=lag(x,1); y=x-(10.*lagx); goody=goodrow(y); call tabulate(x,lagx,y,goody); Y will contain missing data in row 1. The variable goody will contain 9 non missing value observations. 13. Recursive solutions In many cases the solution to a problem requires recursive evaluation of an expression. While the use of recursive function calls is possible, it is not desirable since there is great overhead in calling the function or subroutine over and over again. The DO loop, while still slow, is approximately 100 times faster than the recursive function call. The test problem RECURSIVE in c:\b34slm\matrix.mac documents how slow the recursive function call and do loop are for large problems. Another reason that a recursive function call is not recommended is that the stack must be saved. One way to handle a recursive call is to use the SOLVE statement to define the expression that has to be evaluated one observation at a time. If the expression contains multiple expressions that are the same, a FORMULA can be defined and used in the SOLVE statement. The FORMULA and SOLVE statements evaluate an expression over a range, ONE OBSERVATION AT A TIME. This in contrast to the usual analytic expression which is evaluated completely on the right BEFORE the copy is made. Unlike an expression, a formula or SOLVE statement can refer to itself on the right. The BLOCK keyword determines the order in which the formulas are evaluated. If the expression in the SOLVE statement does not have duplicate code, it is faster not to define a FORMULA. Examples of both approaches are given next. The code: test=array(10:); test(1)=.1; b=.9; solve(test=b*test(t-1)+rn(1.) :range 2 norows(test) :block test); call print(test); works but test = b*lag(test,1)+rn(1.); will not get the "correct" answer since the right hand side is built before the copy is done. More complex expressions. The FORMULA statement requires use of the subscript t unless the variable is a scalar. The use of the FORMULA and SOLVE statements are illustrated below: Example 1. b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix ; double=array(norows(gasout):); formula double = dlog(gasout(t)*2.); call names; call print(double); test2=array(norows(gasout):); solve(test2=test2(t-1)+double(t)+double(t-1) :range 2, norows(gasout) :block double); call print(mean(test2)); b34srun; Example 2. The following two statements are the same do i=1,n; x(i)=y(i)/2.; enddo; solve(x=y(t)/2. :range 1 n); Note: The SOLVE and FORMULA statements cannot use user functions. A DO loop can use user functions. More detail on the SOLVE and FORMULA statements are given below. An alternative to the FORMULA/SOLVE approach is to call a Fortran or other execuitable directly for the recursive calculation from inside a B34S Matrix command program. For an example of this approach see section 22 below and the examples FORTRAN and FORTRAN2 in the file matrix.mac. This method is very fast and is the best way to go. 14. User defined data structures The B34S MATRIX command allows users to build custom data types. The below example shows the structure PEOPLE consisting of a name field (PNAME), a SSN field (SSN), an age field (AGE), a race field (RACE) and an income field (INCOME). The built in function SEXTRACT( ) is used to take out a field and the built in SUBROUTINE ISEXTRACT is used to place data in a structure. Both SEXTRACT and ISEXTRACT allow a third argument that operates on an element. The name SEXTRACT is "structure extract" while ISEXTRACT is "inverse structure extract." Use of these commands is illustrated below: b34sexec matrix; people=namelist(pname,ssn,age,race,income); pname =namelist(sue,joan,bob); ssn =array(:20,100,122); age =idint(array(:35,45,58)); race =namelist(hisp,white,black); income=array(:40000,35000,50000); call tabulate(pname,ssn,age,race,income); call print('This prints the age vector',sextract(people(3))); call print('Second person',sextract(people(1),2), sextract(people(3),2)); * make everyone a year older ; nage=age+1; call isextract(people(3),nage); call print(age); * make first person 77 years old; call isextract(people(3),77,1); call print(age); b34srun; Data structures are very powerful and, in the hands of an expert programmer, can be made to bring order to complex problems. 15. Advanced programming Concepts and Techniques for Large Problems Programs such as Speakeasy which are meant to be used interactively have automatic workspace compression. As a result a Speakeasy LINKULE programmer has to check for movement of defined objects anytime an object is created or freed. So as to increase speed, B34S does not move the variables inside the allocator unless told to do so. If a DO loop terminates and the user is not in a SUBROUTINE, temp variables are freed. If a new temp variable is needed, B34S will try to place this variable in a free slot. If a variable is growing, this may not be possible. Hence it is good programming practice to create arrays and not rely on automatic variable expansion. In a subroutine call, a variable passed in is first copied to another location and set to the current level + 1. Thus there are names storage implications of a subroutine call. In a large program the command call compress; will manually clean out all temp variables and compress the workspace. While this command takes time, in a large job it may be required to save time and space. For example: temp variables are named ##1 ...... ##999999. If the peak number of temp variables gets > 999999, then B34S has to reuse old names and as a result slows down checking to see if a name is currently being used. A call to COMPRESS will reset the temp variable counter as well as free up space. If compress is called from a place it cannot run, say in a program subroutine or function that is being called by a b34s command such as cmax2, it will be ignored and no message will be given. The compress command will also be ignored if it is called under a running function, directly or indirectly. This means that a call to compress from a subroutine may or may not compress depending on whether the subroutine was called from a user function. The MATRIX command termination message gives space used, peak space used and peak and current temp # usage. Users can monitor their programs with these measures to optimize performance. In the opinion of the developer, the B34S MATRIX command DO loop is too slow. The problem is that the DO loop will start to run without knowing the ending point because it is supported at the lowest programming level. In contrast, Speakeasy requires that the user have a DO loop only in a SUBROUTINE, PROGRAM or FUNCTION where the loop end is known in theory. Ways to increase DO loop speed are high on the "to do" list. Faster CPU's may be the answer. The LF95 compiler appears to make faster DO loops than the older LF90 compiler. This suggests that the cache may be part of what is slowing things down. The test problem SOLVE6 illustrates some of these issues. Times and gains from the SOLVE statement vary based on the compiler used to build the B34S. On a Gateway P6 400 machine LF90 4.50i LF95 5.5b SOLVE time 9.718 9.22 DO time 41.69 13.73 Gain of SOLVE 4.3897 1.49 LF90 appears to make a very slow DO loop!! LF95 is faster. In simple formulas the FORMULA and SOLVE commands are useful. With large complex sequences of commands, the DO loop cost may have to be "eaten" by the user since it is relative low in comparison to the cost of parsing the expression. A major advanatge of the DO loop is that the logic is 100% clear is most cases. Speed can be increased by using variables for constants. This is because at parse time all scalars are made temps. Doing this outside the loop speeds things. Slow code do i=3,1000; x(i)=x(i)*2.; enddo; better code two=2.0; do i=3,1000; x(i)=x(i)*two; enddo; Vectorized code i=integers(3,1000); x=x(i)*2.; Compact vectorized code x=x(integers(3,1000))*2.; If all elements need to be changed the fastest code is x=x*2.; In the vectorized examples parse time is the same no matter whether there are 10 elements in x or 10,000,000. For speed gains from the use of masks, see # 18 below. 16. DO, IF and DOWHILE nested statement limits Do loop, dowhile loop and if statement termination should be hit. If this is not done, the max if statement limit or do statement limit can be exceeded depending on program logic. This "limitation" comes from having IF and DO loops outside programs, subroutines or functions. When the do loop or if structure starts to run the program does not know the end. The code loop continue; if(dabs(z1-z2).gt.1.d-13)then; z2=z1; z1=dlog(z1)+c; go to loop; endif; will never hit endif; The b34s parser will not know the position of this statement and the max IF statement limit could be hit if the IF structure was parsed many times. A better approach is not to use an IF structure in this situation. The correct code is: loop continue; if(dabs(z1-z2).le.1.d-13)go to nextstep; z2=z1; z1=dlog(z1)+c; go to loop; nextstep continue; 17. Mask Issues Assume an array x where for x < 0 we want y=x**2. while for x GE 0.0 we want y=2*x. A slow way to do this would be: do i=1,norows(x); if(x(i) .lt. 0.0)y(i)=x(i)**2.; if(x(i) .ge. 0.0)y(i)=x(i)*2. ; enddo; since the larger the X array the more parsing is required since the do loop cycles more times. A vectorized way to do the same calculation is to define two masks. Mask1 = 0.0 if the logical expression is false, = 1.0 if it is true. Fast code would be mask1= x .lt. 0.0 ; mask2= x .ge. 0.0 ; y= mask1*(x**2.0) + mask2*(x*2.0); Faster code would be y= (x .lt. 0.0)*(x**2.0) + (x .ge. 0.0 )*(x*2.0); Complete problem: b34sexec matrix; call print('If X GE 0.0 y=20*x. Else y=2*x':); x=rn(array(20:)); mask1= x .lt. 0.0 ; mask2= x .ge. 0.0 ; y= mask1*(x*2.0) + mask2*(x*20.); call tabulate(x,y,mask1,mask2); b34srun; Compact code (placing the logical calculation in expression) is: b34sexec matrix; call print('If X GE 0.0 y=20*x. Else y=2*x':); x=rn(array(20:)); y= (x.lt.0.0)*(x*2.0) + (x.ge.0.0)*(x*20.); call tabulate(x,y); b34srun; Logical mask expressions can be used in function and subroutine calls to speed calculation. 18. N Dimensional Objects While the Matrix command saves only 1 and 2 dimensional objects, it is possible to save and address n dimensional objects in 1 d arrays. n dimensional objects are saved by col. The commands: nn=index(i,j,k:); x=array(nn); call setndimv(index(i,j,k),index(1,2,3),x,value); will make an 3 dimensional(i,j,k) object x and place value in the 1 2 3 position. The function call yy=getndimv(index(i,j,k),index(1,2,3),x); or yy=x(index(i,j,k:1,2,3)); can be used to pull a value out. For example to define the 4 dimensional object x with dimensions 2 3 4 5 nn=index(2,3,4,5:); x=array(nn:); To fill this array with values 1.,...,norows(x) x=dfloat(integers(norows(x))); to set the 1 2 3 1 value to 100. call setndim(index(2,3,4,5),index(1,2,3,1),x,100.); Examples: b34sexec matrix; x=rn(array(index(4,4,4:):)); call print(x,getndimv(index(4,4,4),index(1,2,1),x)); do k=1,4; do i=1,4; do j=1,4; test=getndimv(index(4,4,4),index(i,j,k),x); call print(i,j,k,test); enddo; enddo; enddo; b34srun; b34sexec matrix; xx=index(1,2,3,4,5,4,3); call names(all); call print(xx); call print('Integer*4 Array ',index(1 2 3 4 5 4 3)); call print('# elements in 1 2 3 4 is 24',index(2 3 4:)); call print('Position of 1 2 in a 4 by 4 is 5',index(4 4:1 2):); call print('Integer*4 Array ',index(1,2,3,4,5 4 3)); call print('# elements in 1 2 3 5 is 30',index(2,3,5:)); call print('Position of 1 3 in a 4 by 4 is 9',index(4,4:1,3):); b34srun; b34sexec matrix; mm=index(4,5,6:); xx=rn(array(mm:)); idim =index(4,5,6); idim2=index(2,2,2); call setndimv(idim,idim2,xx,10.); vv= getndimv(idim,idim2 ,xx); call print(xx,vv); b34srun; 19. Complex Math Issues If x=complex(1.5,1.5); y=complex(1.0,0.0); a=x*y; produces a=(1.5,1.5); to zero out imag part of a use a=complex(real(x*y),0.0); Assume x is a real*8 array and y=2., the statement newx=x**y; squares all elements. If y is not equal to a positive integer greater than 1. then x must be made complex prior to the calculation. Now assume x is a matrix. If y is a positive integer, then x can be real. If y is not an integer, then both x and y must be complex*16. The calculation proceeds as follows. First do a eigenvalue factorization of x as x = c * dlamda * inv(c) where c is the eigenvectors of x and dlamda is a diagonal matrix with eigenvalues along the diagonal. We note that x**y = c * (dlamda**y) * inv(c) which has transformed what would have been a very difficult calculation into an element by element operation along the diagonal. RG option: To speed up calculation x is inspected. If the imag part is all 0.0, the EISPACK RG routine is used. This is substantially faster than the EISPACK CG which is used when x is a complex number. The RG calculation seems to differ in accuracy from MATLAB. It appears that MATLAB is using a complex eigenvalue analyis to form the power. To make B34S run simular to MATLAB, using RG is not the default. If the user wants to force rg to be used, code b34sexec options debugsubs(b34smatpower2); b34srun; prior to calling b34sexec matrix; 20. Inversion Issues. Assume X is a n by n real*8 or complex*16 matrix. The command invx=inv(x); will invert x using the LINPACK LU factorization routines. If x is not full rank, the progam will stop with an error message. The optional argument rcond in invx=inv(x,rcond); will return the condition. If it is known that x is symetric or positive definate, the key words :smat or :pdmat can be used to speed up the calculation 3 or more times. The default is the LU factorization using LINPACK routine DGECO/DGEDI and ZGECO/ZGEDI. The optional argument :gmat will force use of the LAPACK routines DGETRF/ZGETRF and DGETRI/ZGETRI. The switch :pdmat2 will call the LAPACK routines DPOTRF/DPOTRI in place of LINPACK. For example invx=inv(x); invx=inv(x:gmat); invx=inv(x:smat); invx=inv(x:pdmat); invx=inv(x:pdmat2); A number of jobs can be run to illustrate the speed gains. default uses LINPACK DGECO/DGEDI and ZGECO/ZGEDI gmat uses LAPACK DGETRF/ZGETRF and DGETRI/ZGETRI smat uses LINPACK DSICO/DSIDI and ZSICO/ZSIDI pdmat uses LINPACK DPOCO/DPODI and ZPOCO/ZPODI pdmat2 uses LAPACK DPOTRF/DPOTRI and ZPOTRF/ZPOTRI The LAPACK library has routines DGESVX and ZGESVX that allows solutions of the system X*A=B where x is n by n, a is n by m and b is n by m using refinement and or balancing of the system. While it is not space efficient if b is set as the identify matrix, such routines can be used to refine the inverse. The optional key words :refine and :refinee allow solution of the inverse where the solution is refined and or refined and equilibrated. invx=inv(x:refine); invx=inv(x:refinee); The LAPACK rcond estimator differs slightly from the LINPACK rcond estimator. For a symetric positive definate matrix the Cholesky routines r=pdfac(x); xinv=pdinv(r); can be used. Rank problems can be detected with optional arguments. r=pdfac(x,rcond); r=pdfac(x,rcond,ibad); and solutions of equations can be calculated with a=pdsolv(r,b); The Cholesky r can be updated and down dated using the commands pdfacdd and pdfacud. The commands pdfac, pdinv, pdsolv, pdfacdd and pdfacud work with real*4, real*8, real*16, complex*16 and complex*32 matrixes. While the above solvers all use LINPACK, it is well known that the QR method can be used to obtain r. Assuming x is n by k, the command r1 = qrfac(x); produces the same r as r2=pdfac(transpose(x)*x); Using the QR routines LINPACK DQRDC and ZQRDC routines, and their real*16 and complex*32 counterparts qqrdc and cqqrdc, it is possible to solve the OLS problem as: qr=qrfac(x,pivot); b=qrsolve(qr,pivot,y,info); where qrsolve uses the LINPACK DQRSL / ZQRSL or QQRSL and CQQRSL routines QRFAC and QRSOLV works for real*4,real*8, real*16, complex*16 or complex*32 data. Real and complex VPA (variable precision arimatic) For a real*8 matrix, the generalized inverse can be obtained by ginv=pinv(x,irank); ginv=pinv(x,irank,toll); where: irank = an estimate of the rank of x toll = tolerance that is used to set the singular values to zero. At present pinv works for a real*8 matrix x. IMSL routine DLSGRR is used for the calculation. In many applications one may want to determine easily if a matrix is full rank and take corrective action without placing the inverse in the code. The call call gmfac(x,l,u,info); Factors n by n matrix x such that x = L*U where L is lower triangular with 1.0 on the diagonal and U is upper triangular. In contrast to x=inv(xx); which uses LINPAC DGECO/DGEFA/DGEDI ZGECO/ZGEFA/ZGEDI, and for real*16 and complex*32 QGECO/QGEFA/QGEDI CQGECO/CQGEFA/CQGEDI GMFAC uses the LAPACK routines DGETRF and ZGETRF. GMFAC optionally will return info > 0 if U(i,i)=0. GMFAC uses the LAPACK routines DGETRF/ZGETRF and DGETRI/ZGETRI. GMFAC will noty run on real*16 and complex*32 data types. The commands call gminv(x,xinv); call gminv(x,xinv,info); call gminv(x,xinv,info,rcond); invert a general matrix using LAPACK. This code may be faster than inv( ) if the rank of the matrix is greater than 200 by 200. If the optional argument info is present, the routine will not stop if there is a problem. This allows the user to take automatic corrective action. The routine gminv is the fastest large general matrix routine. It does not do refinement by default. The rcond option takes time and usually is not needed. The rcond value from LAPACK is not the same as LINPACK. The routine GMINV uses LAPACK DGETRF/ZGETRF and DGETRI/ZGETRI and optionally DGECON/DGECON if the condition is needed. The command call gmsolv(x,b,ans,info); where x is a n by n matrix, b a n by k matrix solves the system ans*x=b. If the optional argument info is present, the program will not stop if there is a rank problem. The LAPACK routines DGETRF/DGETRS and ZGETRF/ZGETRS are usually used. If the key words :refine or :refinee are present, the LAPACK routines DGESVX and ZGESVX will be used to refine the solution. This will take substantially more time. Unless the optional key words are used, gmsolv is the fastest way to solve the general system ans*x=b where x is greater than or equal to 200 by 200. The larger b, the more the gain in speed. The command s=svd(x,ibad,job,u,v); Calculates singular value decomposition of x which must be real*8 or real*16, complex*16 or complex*32. LINPACK routines DSVDC and ZSVDC are used. For real*16 and complex*32, these have been converted to QSVDC and CQSVDC respectively. For added detail on these options, please look at the help files and the example files. Inversion options under the matrix command have been designed to be both easy to use and flexible. If the series are real*16 or complex*32, only the LINPACK routines are available since LAPACK is not currently available for these data types. The inv( ) command also works for VPA data. Substantial accuracy gains can be obtained. For further detail, see sections 23 & 24 below. 21. Fortran and other Language Interfaces While the B34S Matrix language is "vectorized" and can easily handle most tasks, recursive systems that involve DO and DOWHILE loops are quite slow. An alternative is to code the desired calculation in the user language of choice and link to this program inside a B34S matrix command subroutine. While one possible implementation of this facility might be via a W2K DLL, this approach was rejected as being not portable and overly complex. The implementation discussed below allows the user to use any language to develop the program and communicate with the b34s processor with files. The below listed examples illustrate this technique. If there is sufficient user demand, at a later point a user DLL for the matrix command might be developed. The downside is that such an implementation would require the user directly access the matrix commmand named storage array. It is the experience of the developer of B34S that only the most experienced programmers are capable of this complexity. A programmer without the proper training could easily "kill" or worse still, damage the B34S MATRIX command resulting in a hard-to-detect error being generated. The file IO approach will not allow direct access to the B34S matrix command arrays and is safer but slower. If most of the cpu time is in the calculation, not in passing the data, this cost will be minimal. Example of a user fortran program being called. The below listed example calls the program _test.exe on W2K which in turn writes a file of 1000 sin values. These are read into the matrix command. Except for the compile command this job is 100% portable between Linux and W2K. The user is NOT required to write in FORTRAN. Any user programming language or user external program is allowed provided it can read and make files for the IO into the B34S matrix command. Simple Example Program logic: 1. Open file _test.f 2. Copy lines in the 2-D character*1 array test into this file. 3. Compile the fortran. 4. Run the program _test and place output in testout 5. Open testout in the B34S matrix command and read the character first line. The number of elements line into valiable n. Allocate a 1d array testd of length n. Read data into testd. Print testd. b34sexec matrix; call open(70,'_test.f'); call rewind(70); /$ 1234567890 call character(test," write(6,*)'This is a test # 2'" " n=1000 " " write(6,*)n " " do i=1,n " " write(6,*) sin(float(i)) " " enddo " " stop " " end "); call write(test,70); call close(70); call dodos('lf95 _test.f'); call dounix('lf95 _test.f -o_test'); call dodos('_test > testout':); call dounix('./_test > testout':); call open(71,'testout'); call character(test2,' '); call read(test2,71); call print(test2); testd=0.0; n=0; call read(n,71); testd=array(n:); call read(testd,71); call print(testd); call close(71); call dodos('erase testout'); call dodos('erase _test.f'); call dounix('rm testout'); call dounix('rm _test.f'); b34srun; Complex Example Program Logic 1. Fortran program logic: Read data from data.dat into array data1. Read number of parameters in the model into npar. Read Model npar parameters into array parm. Calculate the function value and write to file testout. 2. Matrix program test writes the parameters as they change to a file and calls the compiled fortran program which will return with a new func value. Things to be aware of: The commands call dodos(' '); call dounit(' '); were not given in the form call dodos(' ':); call dounit(' ':); since there is no screen writting. By not using the : the flash is avoided. The matrix command write used for data was call write(y,72,'(3e25.16)'); in place of the more general call write(y,72); because the line got too long on Linux. The lines call out.... were added to show progress. These are only seen if the program is running in the Display Manager. b34sexec options ginclude('b34sdata.mac') member(lee4); b34srun; b34sexec matrix ; call loaddata ; * The data has been generated by GAUSS by with settings $ * a1 = GMA = 0.09 $ * b1_n = GAR = 0.5 ( When Negative) $ * b1 = GAR = 0.01 $ * call echooff ; /$ Setup fortran call open(70,'_test.f'); call rewind(70); call character(fortran, /$234567890 " implicit real*8(a-h,o-z) " " parameter(nn=10000) " " dimension data1(nn) " " dimension res1(nn) " " dimension res2(nn) " " dimension parm(100) " " call dcopy(nn,0.0d+00,0,data1,1)" " call dcopy(nn,0.0d+00,0,res2 ,1)" " open(unit=8,file='data.dat') " " open(unit=9,file='tdata.dat') " " read(8,*)nob " " read(8,*)(data1(ii),ii=1,nob) " " read(9,*)npar " " read(9,*)(parm(ii),ii=1,npar) " " read(9,*) res2(1) " " close(unit=9) " " " " do i=1,nob " " res1(i)=data1(i)-parm(3) " " enddo " " " " func=0.0d+00 " " do i=2,nob " " res2(i) =parm(1)+(parm(2)* res2(i-1) ) +" " * (parm(4)*(res1(i-1)**2) ) " " func=func+(dlog(dabs(res2(i))))+ " " * ((res1(i)**2)/res2(i)) " " enddo " " func=-.5d+00*func " " close(unit=8) " " open(unit=8,file='testout') " " write(8,fmt='(e25.16)')func " " close(unit=8) " " stop " " end "); call write(fortran,70); call close(70); maxlag=0 ; y=doo1 ; y=y-mean(y) ; * compile fortran and save data; call dodos('lf95 _test.f' ); * call dounix('lf95 _test.f -o_test'); call dounix('fortlc _test'); call open(72,'data.dat'); call rewind(72); call write(norows(y),72); call write(y,72,'(3e25.16)'); call close(72); v=variance(y) ; arch=array(norows(y):) + dsqrt(v); i=2; j=norows(y); * parm=array(:.0001 .0001 .0001 .0001); * parm(1)=v; * parm(3)=mean(y); count=0.0; call echooff; program test; call open(72,'tdata.dat'); call rewind(72); npar=4; call write(npar,72); call write(parm,72,'(e25.16)'); arch(1)=0.0d+00 ; call write(arch(1),72,'(e25.16)'); call close(72); call dodos('_test'); call dounix('./_test '); call open(71,'testout'); func=0.0; call read(func,71); call close(71); count=count+1.0; call outdouble(10,5 ,func); call outdouble(10,6 ,count); call outdouble(10,7, parm(1)); call outdouble(10,8, parm(2)); call outdouble(10,9, parm(3)); call outdouble(10,10,parm(4)); return; end; ll =array(4: -.1e+10, .1e-10,.1e-10,.1e-10); uu =array(4: .1e+10, .1e+10,.1e+10,.1e+10); rvec=array(4: .1 .1, .1, .1); parm=rvec; * call names(all); call cmaxf2(func :name test :parms parm :ivalue rvec :maxit 2000 :maxfun 2000 :maxg 2000 :lower ll :upper uu :print); *call dodos('erase testout'); *call dodos('erase _test.exe'); *call dounix('rm testout'); *call dounix('rm _test'); b34srun; 22. Polynomial Matrix Operations A polynomial matrix is one where the coeffiients are themselves coefficients. A two by two system with max order 3 could be saved in form B(1,1)(L) B(1,2)(L) B(2,1)(L) B(2,2)(L) where the zero order terms (constant) are saved in the term. The VAREST command saves the matrix in a form where the constant is placed last. This is NOT :BYVAR format which would have occured if call olsq(y y{1 to maxlag} x{1 to maxlag} were used. B(1,1)(L) B(1,2)(L) c(1) B(2,1)(L) B(2,2)(L) c(2) For a two variable system with 6 lags the coefficients are saved in a 2 by ((2*6)+1) matrix. VAREST also saves [I - B(L)] which when inverted gives the phi weights. The matrix polynomial routines POLYMINV (used to calculate the inverse of a matrix), POLYMMULT (used to calculate a multiplication) and POLYMDISP (used to print or display such a matrix) use the convention: B(1,1)(0) B(1,2)(0) B(1,1)(k) B(1,2)(k) B(2,1)(0) B(2,2)(0) B(2,1)(k) B(2,2)(k) which is termed :BYORDER The command POLYMCONV can be used to convert from one system to another. Each matrix in :BYORDER form has a three element integer variable of the form (nrow,ncol,degree+1) that allows it to be decoded. If nrow=ncol then the matrix can be inverted. A matrix in :BYVAR form does not need an index to decode it but must be saved as a n by ((n*order)+1) system. For example a 2 variable VAR with mar order 5 could be saved as a 2 by 11. The first row would be 5 lags of x(1) and 5 lags x(2) plus the constant. For further detail see the VAREST command example. A simple setup is: b34sexec matrix; call loaddata; call load(buildlag); call load(varest); call echooff; ibegin=1; iend=296; nlag=2; nterms=10; x=catcol(gasin,gasout); call varest(x,nlag,ibegin,iend,beta,t,sigma,corr,residual,1, a,ai,varx,varxhat,rsq); call print(beta,t,sigma,corr); call tabulate(varx,varxhat,rsq); call polymdisp(:display a ai); call polyminv(a ai psi ipsi nterms); call polymdisp(:display psi ipsi); b34srun; 23. Real*16 and Complex*32 Data types While the usual data types in the MATRIX command are real*8 and complex*16, there is a limited real*16 and complex*32 capability. In addition there are improvements to accuracy in real*8, real*16, complex*16 and complex*32 by modification the the BLUS routines. If extream accuracy is needed, the VPA option dicussed in the next section can be used. Until this message is removed, this capability is assumed to be in "beta" form. Many commands have been converted to support these increased accuracy data types. Examples: Option 1. Works for all commands that use routines that involve BLUS routines. The command call real16on(:real16math); will perform math with real*8 objects using real*16 math and complex*16 objects using complex*32 math. The command call real16on; uses the IMSL routines dqadd and dqmult to increase accuracy. It is faster than call real16on(:real16math). These options can be turned off with the command call real16off; For example the default test case takes 2.04, with real16on it takes 3.14 while with real16on(:real16math) the time is 5.95. In most cases this added accuracy is not needed. For real*16 and complex*32 objects, the command call real32on; uses added accuracy for qdot, qsum, qasum, qaxpy and qscal and added accuracy for cqdot, cqsum, cqasom, cqaxpy and cqscal call real32off; turns off this feature. The command call real32_vpa; uses vpa math to increase real*16 accuracy. This will run slowly but variable precision math is supported. This allows vpa math to support a number of otherwise real*16 commands. At a later date this may enhance complex*32 objects. For not it is experomental. Option 2. Real*16 and complex*32 variables can be created from real*8 and complex*16 variables with the r8tor16 and c16toc32 commands. The commands r16tor8 and c32to16 can be used to convert series back to the default datatypes. A series can be created to be a specific data type with the command kindas( ). Assume x is real*8 and xr16 is real*16. The user wants one_r8 to be real*8 and oner_16 to be real*16. The following commands can be used. one_r8=kindas(x,1.0); oner_16=kindas(xr16,1.0); While array and matrix math is 100% available, only a subset of commands are available. More detail is available under the help commands of the specific commands. See the matrix example r16c32 and the examples math5 and math6 for applications. As of 24 June 2003, INV, EIG, SEIG, SVD and a number of production commands such as DEXP, DLOG, SUMSQ, SUM etc have been converted. While LINPACK, and EISPACK have been converted to support real*16 and complex*32, FFTPACK and LAPACK have not. Warning: While real*8 and compolex*16 data can be converted to real*16 and complex*32 with the commands r8tor16( ) and c16toc32 respectively, much accuracy will be lost. For more accuracy it is it necessary to ready into real*16 or complex*32 directly. For an exampe, of how this id done see the Filippelli (filippelli.dat) data which is in stattest.mac. 24. Variable Precision Arithmetic. The B34S has the capability of variable precision math where the number of digits calculated is up to 1780. For more detail on this facility see the help documents for subroutine VPASET and function VPA that provide the interface into this facility. Full matrix and array math is provided as well as the inverse or real and complex VPA objects. Unlike a numnber of other software systems, this facility is 100% integrated in the b34s system. For example, once a vpa number is built with the vpa(function), calculations can be made in the usual manner as will be illustrated below. Real, integer and complex objects have been implemented. The facility allows hugh numbers, both real and integer, to be used in calculations. Given the default settings of MBASE is 10**7 and NDIGMX = 256, integers less than 10**1792 can be used. In contrast, the range for integer*4 is -2,147,483,648 - 2,147,483,647. For integer*8 these become -9,223,372,036,854,775,808 - 9,223,372,036,854,775,807. This facility was built with the FM_ZM Library version 1.2 built by David M. Smith. The basic reference is: Algorithm 693, ACM Transactions on Mathematical Software, Vol. 17, No. 2, June 1991, pages 273-283. although a newer version of the libraty was obtained from the web. The below listed program calculates 2.0/4.11 a number of ways and shows the various accuracy obtained. b34sexec matrix; call echooff; * Accuracy differences depending on data precision; call print(' 2.0/4.11 using different precisions':); call fprint(:clear :col 32 :string ' 10 20 30 40 50' :print :clear :col 32 :string '12345678901234567890123456789012345678901234567890' :print); call fprint(:clear :col 1 :string 'str => vpa' :col 30 :display vpa('2. ')/vpa('4.11') 'e70.52' :print :clear :col 30 :display vpa('2.00')/vpa('4.11') 'e50.32' :print); call fprint(:clear :col 1 :string 'real*8 => vpa' :col 30 :display vpa(2.00)/vpa(4.11) 'e50.32' :print); call fprint(:clear :col 1 :string 'real*8 => real*16' :col 18 :display r8tor16(2.)/r8tor16(4.11) '(e50.32)' :print); call fprint(:clear :col 1 :string 'str => real*16' :col 18 :display real16('2.00')/real16('4.11') '(e50.32)' :print); call fprint(:clear :col 1 :string 'real*8 => real*8' :col 18 :display array(:2.00/4.11) '(e50.32)' :print); call fprint(:clear :col 1 :string 'real*4 => real*4' :col 18 :display sngl(2.00)/sngl(4.11) '(e50.32)' :print); b34srun; The Above job shows 2./4.11 using various precisions. The VPA result to 52 digits is: .4866180048661800486618004866180048661800486618004866M+0 and shows the repeating pattern that will continue. When the data (2.0 and 4.11) was read with a string input, no accuracy was lost with real*16 given the format e50.32. This degree of accuracy was not obtained with real*16 if the data was read as real* firsdt anf then converted to real*16. The above job was edited to display only 72 columns and is listed below. 2.0/4.11 using different precisions 10 20 30 40 1234567890123456789012345678901234567890 str => vpa .4866180048661800486618004866180048661800 .48661800486618004866180048661800M+0 real*8 => vpa .48661800486618001080454992664677M+0 real*8 => real*16 0.48661800486618001080454992664677E+00 str => real*16 0.48661800486618004866180048661800E+00 real*8 => real*8 0.48661800486618000000000000000000E+00 real*4 => real*4 0.48661798200000000000000000000000E+00 Even for this simple case, the real*4 result began to differ at the 6th digit (although with rounding the failure was at 10). The real*8 result failed at digit 17 as expected. When the real*16 data input was by string there was no loss of accuracy up to the 32nd digit. However, when the data was first read as real*8 and converted to real*16 accuracy problems emerged by the 17th digit. The calculation was limited by the precision of the data read. This finding was verified when we moved real*8 data into VPA and got the same result as the real*8 into real*16. The str into vpa is the "true" answer. The next example show inverse gains: /; /; Shows gains in accuracy of the inverse with vpa /; b34sexec matrix; call echooff; n=3; call vpaset(:ndigits 1750); x=rn(matrix(n,n:)); r16x=r8tor16(x); vpax=vpa(x); call print('Real*4 tests',sngl(x),inv(sngl(x)),sngl(x)*inv(sngl(x))); call print('Real*8 tests',x, inv(x), x*inv(x)); call print('Real*16 tests',r16x,inv(r16x),r16x*inv(r16x)); call print('VPA tests',vpax,inv(vpax),vpax*inv(vpax)); b34srun; Edited output produces: Real*4 tests Matrix of 3 by 3 elements (real*4) 1 2 3 1 2.05157 1.27773 -1.32010 2 1.08325 -1.22596 -1.52445 3 0.825589E-01 0.338526 -0.459242 Matrix of 3 by 3 elements (real*4) 1 2 3 1 0.521061 0.675528E-01 -1.72205 2 0.179445 -0.402323 0.819689 3 0.225948 -0.284424 -1.88285 Matrix of 3 by 3 elements (real*4) 1 2 3 1 1.00000 0.919681E-08 0.759197E-07 2 0.585772E-07 1.00000 0.822609E-07 3 0.878866E-08 0.560976E-08 1.00000 Real*8 tests X = Matrix of 3 by 3 elements 1 2 3 1 2.05157 1.27773 -1.32010 2 1.08325 -1.22596 -1.52445 3 0.825589E-01 0.338525 -0.459242 Matrix of 3 by 3 elements 1 2 3 1 0.521061 0.675528E-01 -1.72204 2 0.179445 -0.402323 0.819689 3 0.225948 -0.284424 -1.88285 Matrix of 3 by 3 elements 1 2 3 1 1.00000 -0.555112E-16 0.00000 2 0.00000 1.00000 0.00000 3 -0.138778E-16 -0.277556E-16 1.00000 Real*16 tests R16X = Matrix of 3 by 3 elements (real*16) 1 2 3 1 2.05157 1.27773 -1.32010 2 1.08325 -1.22596 -1.52445 3 0.825589E-01 0.338525 -0.459242 Matrix of 3 by 3 elements (real*16) 1 2 3 1 0.521061 0.675528E-01 -1.72204 2 0.179445 -0.402323 0.819689 3 0.225948 -0.284424 -1.88285 Matrix of 3 by 3 elements (real*16) 1 2 3 1 1.00000 -0.144445E-33 0.00000 2 0.00000 1.00000 0.00000 3 0.00000 -0.240741E-34 1.00000 VPA tests VPAX = Matrix of 3 by 3 elements VPA - FM 1 2 3 1 .205157M+1 .127773M+1 -.132010M+1 2 .108325M+1 -.122596M+1 -.152445M+1 3 .825589M-1 .338525M+0 -.459242M+0 Matrix of 3 by 3 elements VPA - FM 1 2 3 1 .521061M+0 .675528M-1 -.172205M+1 2 .179445M+0 -.402323M+0 .819689M+0 3 .225948M+0 -.284424M+0 -.188285M+1 Matrix of 3 by 3 elements VPA - FM 1 2 3 1 .100000M+1 -.139488M-1757 .000000M 0 2 .168219M-1758 .100000M+1 .000000M 0 3 -.138187M-1758 .173950M-1758 .100000M+1 and shows the worse accuracy of the off diagonal of the real*4 case was 0.822609E-07 while the worse VPA error was .168219e-1758. The problem consists of random numbers and is designed to be easy. Matrix Programming Language key words CALL Call a subroutine call print('This is a string'); calls the print command. B34S MATRIX commands that do not return an argument across an equals are executed by the CALL sentence. The CALL sentence first looks in named storage for a routine with this name. If this is not found, then the built in routines are used. While it is possible to have a user routine with the same name as a built in routine, this is not a good idea. CONTINUE go to statement name continue; is a go to statement target. Note name must be le 8 characters Example: if(x.eq.0.0)go to test; call print('x is greater than 0.0'); test continue; DO Starts a do loop do i=1,10; Begins a DO loop. An alternative is: do i=1,10,1; Another alternative is for i=1,10; Notes on do loops: The code: do i=1,10; do j=i,10; s(i,j)=b(i)*a(j); enddo; enddo; is valid. As written, both do loops will completely execute. If in place of the above, the code had been: do i=1,10; do j=i,10; s(i,j)=b(i)*a(j); if(s(i,j).le..0001)go to done; enddo; done continue; call print('This is the end of loop one'); enddo; the results would not be as intended since B34S does not know to return to the statement do i=1,10; and will instead try to continue with the statement do j=i,10; since it may not "know" the exact location of the inner loop enddo; statement because it may not have found it. The solution is to manually terminate the inner loop by setting j outside the range. Corrected code would be: do i=1,10; do j=i,10; s(i,j)=b(i)*a(j); if(s(i,j).le..0001)go to done; enddo; done continue; j=0; call print('This is the end of loop one'); enddo; Example: do i=1,n; x(i)=y(i+1); enddo; A faster code would be i=integers(1,n); j=i+1; x(i)=y(j); Notes on do loop variables. In Fortran it is not recommended that DO loop variables be used outside the loop. In B34S b34sexec matrix; do i=1,2; call print('in loop i = ',i); enddo; call print('out of loop i =,i); b34srun; Produces i=3 at the "out of loop" position. This is the same as Fortran. To check compile c test fortran do i=1,2 write(6,*)'In loop i was ',i enddo write(6,*)'Out of loop i was ',i end Note how closely B34S follows the Fortran standard and the language. DOWHILE Starts a dowhile loop dowhile(x.gt.0.0); Starts a DOWHILE loop. Example: b34sexec matrix; sum=0.0; add=1.; count=1.; tol=.1e-6; dowhile (add.gt.tol); oldsum=sum; sum=oldsum+((1./count)**3.); count=count+1.; add=sum-oldsum; enddowhile; call print('Sum was ',sum:); call print('Count was ',count); b34srun; Warning: Be sure you do not have an infinate loop. ENDDO ENDS a do loop enddo; Ends a DO loop. next i; Can be used in place of enddo; Example: do i=1,n; x(i)=y(i+1); enddo; ENDDOWHILE ENDS a dowhile loop enddowhile; Ends a DOWHILE loop. Example: b34sexec matrix; sum=0.0; add=1.; ccount=1.; count=1.; tol=.1e-6; /$ outer dowhile does things 2 times call outstring(2,2,'We sum until we can add nothing!!'); call outstring(2,4,'Tol set as '); call outdouble(20,4,tol); call echooff; dowhile(ccount.ge.1..and.ccount.le.3.); sum=0.0; add=1.; count=1.; dowhile(add.gt.tol); oldsum=sum; sum=oldsum+((1./count)**3.); count=count+1.; call outdouble(2,6,add); add=sum-oldsum; enddowhile; ccount=ccount+1.; call print('Sum was ',sum:); call print('Count was ',count); call compress(1000); enddowhile; b34srun; END End of a program, function or Subroutine. end; Ends a PROGRAM, SUBROUTINE or FUNCTION. Example: subroutine test(x); call print('The mean of x is',mean(x)); return; end; EXITDO Exit a DO loop exitdo; Exits a do loop. Example: b34sexec matrix; call echooff; do j=1,4; do i=1,10; if(i.eq.8)exitdo; if(i.ge.0)then; call print('at 1 in if i was ',i:); if(i.ge.4)exitif; call print('at 2 in if Should never be gt 3 i was ',i:); endif; call print('in do loop ',i); enddo; enddo; b34srun; EXITIF Exit a IF loop exitdo; Exits a do loop. Example: b34sexec matrix; call echooff; do j=1,4; do i=1,10; if(i.eq.8)exitdo; if(i.ge.0)then; call print('at 1 in if i was ',i:); if(i.ge.4)exitif; call print('at 2 in if Should never be gt 3 i was ',i:); endif; call print('in do loop ',i); enddo; enddo; b34srun; FORMULA Defive a recursive formula. formula x=y(t-1); Defines a formula. Formulas are only executed for observation t in a SOLVE statement. Formula definations are saved at level 2. Formula results are saved at the current level and can be used in the usual analytical statements provided that they have been executed by a solve statement. More extensive help in given later in the help document. Brief example: * archvar and resid start out as variables =0.0; * formula statement updates ONLY for obs t; * For t=2, this value of u is used to get archvar; archvar=array(norows(y):); resid =array(norows(y):); formula archvar = a0 + a1 * (resid(t-1)**2.) ; formula resid=y(t) - b1 - b2*x1(t) - b3*dsqrt(archvar(t)); solve( archlogl=(-.5)*(dlog(archvar(t))+((resid(t)**2.)/archvar(t)) :range 2 norows(y) :block archvar resid); FOR Start a do loop for i=1,10; Alternate do loop setup. Example: for i=1,n; x(i)=y(i+1); next i; is the same as do i=1,n; x(i)=y(i+1); enddo; NEXT i End of do loop next i; Alternate end of DO loop Example: for i=1,n; x(i)=y(i+1); next i; GO TO Transfer statement go to n; Transfers control to statement n CONTINUE; Note n must be le 8 characters Example: if(x.eq.0.0)go to test; call print('x is greater than 0.0'); test continue; Note: Statements such as if(k.eq.0)then; * statements here ; if(jj.gt.0)go to done; endif; should be avoided since the statement endif; will not be found and the # of if statements will be exceeded. Better code is bad=0; if(k.eq.0)then; * statements here; bad=1; endif; if(bad.eq.1)go to done; or if(k.eq.0)then; * statements here; if(jj.gt.0)exitif; endif; FUNCTION Beginning of a function. function somename(args); is the first line of a user function. Functions can have functions as arguments and themselves can be used as arguments. The command call compress; will be ignored if found in a function or a subroutine or a program called by a running function. Examples: function tt(y); t=sum(y); return(t); end; testmean=tt(y)/dfloat(norows(y)); call mysub(tt(y),x,z); IF( ) Beginning of an IF structure Note: The WHERE statement operates on non scalar objects while the IF statement operates on scalar objects. if(x.eq.9)y=dabs(x); Simple IF statement. X must be a scalar. If the mask JJ (must be 0.0 or 1.0) was set the code: jj(1)=0.0; jj(2)=1.0; if(jj(i))call print('i was 2'); can be used. The commands NLPMIN1, NLPMIN2 and NLPMIN3 use mask technology. The statements: if(x.eq.9)then; call stop; endif; will STOP the program and get out of the MATRIX command if x=9. Note that IF statements ( ) must resolve to 0.0 or 1.0. A check for 0.0 of the form if(x.ne.0.0)y=p/x; will work in versions of B34S since November 7, 2004. An alternative is: if(x.ne.0.0)then; y=p/x; endif; MASKS are a feature related to IF statements but much faster. Since a logical expression resolves to be 0.0 or 1.0, a mask can be built with a expression such as mask = x .gt. 1.0 ; Masks are a way to vectorize what would be an IF. For example: b34sexec matrix; call print('If X GE 0.0 y=20*x. Else y=2*x':); x=rn(array(20:)); y= (x.lt.0.0)*(x*2.0) + (x.ge.0.0)*(x*20.); call tabulate(x,y); b34srun; will run faster than b34sexec matrix; call print('If X GE 0.0 y=20*x. Else y=2*x':); x=rn(array(20:)); do i=1,norows(x); if(x(i).lt.0.0)y(i)=x(i)*2.0; if(x(i).ge.0.0)y(i)=x(i)*20.; enddo; call tabulate(x,y); b34srun; due to DO loop overhead. Note: Statements such as if(k.eq.0)then; * statements here ; go to done; endif; should be avoided since the statement endif; will not be found and the # of if statements will be exceeded. Better code is bad=0; if(k.eq.0)then; * statements here; bad=1; endif; if(bad.eq.1)go to done; Examples of code to change an element of an array using a mask. x=integers(1,10); xx=x; /$ /$ Note that Where sets one element to 99 rest to 0.0; /$ where(x.eq.5)x=99; /$ This may not be what is desired. /$ This is the right way to do calculation using masks xx=(xx.eq.5)*99+(xx.ne.5)*xx; call print(x,xx); ENDIF End of an IF( )THEN structure endif; Must be the end of an if( )then; structure. Example: if(x.eq.0.0)then; y=10.; v=y*dsin(q); endif; PROGRAM Beginning of a program, program somename; begins a program. Programs use global variables. Example: program doit; call loaddata; call olsq(x,y :print); call graph(%res); return; end; RETURN( ) Returns the result of a function. return(result); Next to last statement in a user function. Example: function tt(y); t=sum(y); return(t); end; RETURN Next to last statement before end. return; must be the next to last statement in a PROGRAM, SUBROUTINE or FUNCTION. Example: program doit; call loaddata; call olsq(x,y :print); call graph(%res); return; end; SOLVE Solve a recursive system of equations. solve( ); solves a recursive system. solve(vv=x(t) :range 1 10); Solves recursively an expression. If formulas are involved, the form is solve(vv=x(t) :range 1 10 :block x); Note: :range i j is OK :range i, j is OK :range i, norows(gasout) is ok :range (i+6), j is not ok For more detail see extensive example below: b34sexec matrix; /$ Unlike RATS, SOLVE and FORMULA statements can /$ refer to themselves recursively n=1000; v=1.0; ar1=array(n:)+missing(); ar1(1)=99.+rn(v); solve(ar1=ar1(t-1)+rn(v):range 2 n); call graph(ar1); call tabulate(ar1); b34srun; SUBROUTINE Beginning of subroutine. subroutine somename(args); is the start of a subroutine. Subroutines use local variables. Example: subroutine test(x); call print('The mean of x is',mean(x)); return; end; WHERE( ) Starts a where structure. Note: The WHERE statement operates on non scalar objects while the IF statement operates on scalar objects. where(x.gt.0.0)y=x; Assuming x exists. where elements of x > 0.0 y=x, otherwise y=oldvalue. Variables x and y must be the same structure. The "mask" is done at the copy step. Commands of the form where(s.gt.0.0)y=dsqrt(s); will not work as intended since the dsqrt(s) is done BEFORE the mask is applied. Only simple replacement is allowed. Statements such as where(x.ge.0.0)z(,1)=q; are not allowed since z(,1) is a temp variable. The statements where(x.ge.0.0)x=missing(); where(x.ge.10.)x=dqsrt(20.); are allowed but care must be used. Since x and missing() and dsqrt(20.) are not the same structure, here if ( ) is "false" x is set = 0.0. For example, in the first statement where x ge 0.0, x is set to missing(). If x lt 0, x is set to 0.0. The second statement sets x to dsqrt(20.) if x was ge 10. Otherwise x is set to 0.0. Note that depending on whether x existed or not the statement does not return the same vector. This is an explicit design decision. Like Speakeasy, where( ) returns the existing value if the logical statement is false and zero if the variable did not exist! Assume x does not exist. Given where(x.ge.0.0)newx=missing(); Here if x ge 0.0, then newx = missing(), otherwise newx = 0.0. Logical masks are an alternative to some of the where capability. For example: x=a.gt.y; Here where a is > y, x = 1.0, x = 0.0 otherwise. Example: /; Here for the first where( ) the two objects /; across the equals sign are not the same structure /; If the ( ) is false x2bad resolves to 0.0 whether or /; not it existed prior to the where( ) being found. /; /; The second where( ) has objects the same structure across /; the =. Both objects exist. Here the old x value is /; maintained. The logic here is /; test = x*(x.ne.y)+dummy*(x.eq.y) b34sexec matrix; x=array(:1,-2,3,-4,5,-6,7,-8,9,-10); y=array(:0,-2,1,-4,6,-6,2,-8,5,-10); x2bad=x; x2good=x; dummy=array(norows(x):)+ -9999.; where(x.eq.y)x2bad =-9999.; where(x.eq.y)x2good =dummy; test = (x*(x.ne.y))+ (dummy*(x.eq.y)); call tabulate(x,y,dummy,x2bad,x2good,test); b34srun; Edited Results are: => X=ARRAY(:1,-2,3,-4,5,-6,7,-8,9,-10)$ => Y=ARRAY(:0,-2,1,-4,6,-6,2,-8,5,-10)$ => X2BAD=X$ => X2GOOD=X$ => DUMMY=ARRAY(NOROWS(X):)+ -9999.$ => WHERE(X.EQ.Y)X2BAD =-9999.$ => WHERE(X.EQ.Y)X2GOOD =DUMMY$ => TEST = (X*(X.NE.Y))+ (DUMMY*(X.EQ.Y))$ => CALL TABULATE(X,Y,DUMMY,X2BAD,X2GOOD,TEST)$ Obs X Y DUMMY X2BAD X2GOOD TEST 1 1.000 0.000 -9999. 0.000 1.000 1.000 2 -2.000 -2.000 -9999. -9999. -9999. -9999. 3 3.000 1.000 -9999. 0.000 3.000 3.000 4 -4.000 -4.000 -9999. -9999. -9999. -9999. 5 5.000 6.000 -9999. 0.000 5.000 5.000 6 -6.000 -6.000 -9999. -9999. -9999. -9999. 7 7.000 2.000 -9999. 0.000 7.000 7.000 8 -8.000 -8.000 -9999. -9999. -9999. -9999. 9 9.000 5.000 -9999. 0.000 9.000 9.000 10 -10.00 -10.00 -9999. -9999. -9999. -9999. *********************************************** Documentation of built-in commands called by CALL command. For futher examples, see problems in matrix.mac ABFSPLINE - Automatic Backfitting of a Spline Model call abfspline(y x1 x2 :print); Controls estimation of adaptive backfitting Model following methods suggested by Hastie-Tibshirani (1990 page 262). The above specification assumes a degree = 3 fit to each term. Alternative setups are: call abfspline(y x1[order,2] x2 :print); call abfspline(y x1[predictor,2] x2 :print); for a degree 2 fit on x1. call abfspline(y x1[order,1] x2 :print); for no smoothing on x1 call abfspline(y x1[logit,0] x2 :print); if x1 is of the 0_1 type. The Hastie and R. J. Tibshirani GPL R MDA Fortran library was extensively modified to improve performance and add features and is contained in sourc18.f. The developer of B34S released the library utility.f as GPL to allow stand alone use of some B34S utility routines. With the addition of the linpack library, the Hastie-Tibshirani routines can be run stand alone provided the user write a very small main program to read data. Some LINPACK routines are included both in sourc3.f and utility.f. Needed BLAS routines are given only in sourc3.f.The sourc18.f library contains the routines for the b34s matrix commands MARSPLINE, GAMFIT, ACEFIT and ABFSPLINE. Sone routines that are needed for B34S but not needed for stand alone use are disabled in utility2.f that should be linked in. MARS, MARSPLINE, GAMFIT, ACEFIT and ABFSPLINE are all related models that attempt to model nonlinear data with various spline procedures. For further detail see the MARS, ACEFIT, GAMFIT and MARSPLINE commands. Lags can be entered as x{1} or x{1 to 20} Basic references of these techniques.: - Hastie-Tibshirani "Generalized Additive Models," Chapman & Hall 1990. - Stokes, Houston H. "Specifying and Diagnostically Testing Econometric Models," second edition 1997 Quorum Books. Chapter 14. Third edition in draft form as of 2006. - Stokes, Houston H and Hugh Neuburger, "New Methods in Financial Modeling," 1998 Quorum Books. Chapter 4. :print Print header and minimal output. :trace Trace solution. This is usually not needed. :thresh r8 Sets threshold for Forwartd selection. Default= .001 :maxit i4 Sets maximum iterations. :rankto r8 Sets threshold for prune of a multicolinear basis. Default .1d-12 :sample mask - Specifies a mask real*8 variable that if = 0.0 drops that observation. Unless the mask is the number of obs after any lags, an error message will be generated. The sample variable must be used with great caution when there are lags. A much better choice is the :holdout option. :holdout n - Sets number of observations to hold out Note: :sample cannot be used with :holdout. :mi i1 Sets maximum number of variables per basis function. Max = 3. MI=1 => additive model. MI > 1 => up to MI-variable interactions allowed. Default = 1 :nk i2 Sets maximum number of basis functions. Default = 5. :df r1 Sets the number of degress of freedom charged for unrestricted knot optimization. Default=2. :weight Uses the last series on the model sentence as a weight variable vector. :forecast xmatrix => Allows users to supply observations of the right hand side variables outside the sample period so that forecasts can be calculated. The same number of observations must be supplied for all right hand series. Due to the way that splines are calculated, it is imperative that any values of the x variables NOT lie outside the ranges of the original data. The forecast sentence produces the %fore variable and the %foreobs variable. Not Implemented yet. The model specification involves specificatioon of the type of variable and optionally a lag or lags. The model specification allows the lags to be set in the command. Only vectors can be supplied in this release. If no[ ] is supplied, [order] is assumed. A variable is of the type "order" if it si possible to fit a spline. A 0-1 right hand side variable is not an order variable and fitting a spline to this variable make no sense. The specification call abfspline(y y[order]{1} x[order]{0 to 3} z[predictor]{1} )$ is the same as call abfspline(y y[order]{1} x[order] x[order]{1} x[order]{2} x[order]{3} z[predictor]{1})$ Variables Created %YVAR - Name of left hand variables. %NAMES - Names of exogenous variables. %TYPEVAR - = 0 for continuous, NE 0 for categorical var. %LAG - Lags of independent variables. %COEF - Final Model Coefficients. Constant in location one. Size nk+1 %MINVAR - Minimum of input variables. %MAXVAR - Maximum of input variables. %TYPEK - =0 if coef * max(var -knot,0) =1 if coef * max(knot-var,0) %VARINK - Variable # of that knot %CKNOT - Character*1 array nk,28 holding positional indicator of catagorical variable right hand sides. Set to 0000000 if not used. %KNOT - Knot %PARENT - Index number of parent in interaction otherwise 0 %K - # on right %NOB - # of observations in model %RSS - Residual sum of sq. %SUMRE - Sum absolute residuals %REMAX - Maximum absolute residual %RESVAR - Residual Var. %YHAT - Estimated Y %Y - Y variable. Same # obs as YHAT %RES - Residual %VARRIMP - Relative variable importance. %fore - Forecast %foreobs - Observations of the forecast. If there are lags, must have to increase %foreobs by maxlag. This assumption may change is later releases. For now it is the obs number. Simple Example: b34sexec options ginclude('b34sdata.mac') member(trees); b34srun; b34sexec matrix; call loaddata; call load(dispmars :staging); call echooff; call olsq(volume girth height :print); call mars(volume girth height :nk 20 :df 2. :mi 3 :print); call dispmars; call tabulate(%res,%y,%yhat); call abfspline(volume girth height :nk 21 :df 2. :print :trace); call print(%coef); call tabulate(%res,%Y,%yhat); b34srun; ACEFIT Alternating Conditional Expectation Model Estimation call acefit(y x[orderable] z[orderable]{2} :options); Implements the ace algorithm under matrix to provide estimation of ACE (alternating condition expectation) models following work by Brieman, L and Friedman J. (1985). Chapter 7 of Hastie and Tibshtiani (1990) provides a good reference. For another approach see the GAMFIT command. The ACEFIT command optionally can use the AVAS (Additivity and Variance Stabilization) approach. As noted in Hastie-Tibshirani (1990 page 193) "The AVAS procedure seeks transformations that achieve additivity and a homogenious varianxce and is more directed towards regresison problems than ACE." While AVAS may be more desirable for regresison models, its theoretical support is not as strong as for the ACE approach. Brieman, L. and Friedman J. "Estimating Optimal Transformations for Multiple Regression and Correlation (with discussion)," Journal of American Statistical Association, 80, (1985) 580-619. Hastie, T. J. and Tibshirani, R. J. (1990) "Generalized Additive Models," New York: Chapman and Hall Recent papers in the area include: Fan, Jianqing and Jiancheng Jiang. "Nonparametric Inference for Additive Models," Journal of the American Statistical Association, 100, # 471 (2005) 890-907. where the generalized likelighood ratio test (GLR) is discussed. This test has not been implemented but can be implemented by interested users. Assume y = f(x1,...,x2) gamfit transforms the independent variables while acefit transforms both independent and dependent variables. Hastie and Tibshirani make the point that a model of the form y=exp(x1+x2**2)e cannot be estimated in additive form by gamfit but a simple additive model can be found that describes log(y). For example log(y)=x1+x2**2 + ln(e) Acefit procedure: Assume G(y) is the transformed dependent variable. The ACE procedure forces var{G(y)} = 1. The ACE procedure minimizes E{G(y)-f(X)}**2 subject to var{G(y)}=1. Assume one input variable x. yhat = ((G(y))**-1){a+sum(f(x))} where f(x]=) is the transformation for the input variable x and the transformation for the dependent variable is assumed to be invertable.. Logic of ACE: 1. For fixed G, the minimizing f is f(x)=E{G(y)|x} 2. For the minimizing f in step 1, the minimizing G is G(y)=E(f(x)|Y}. In this step new_(y)=estimated_g(y)/var{estimated_g(y)}**.5 Steps 1 and 2 alternate after assuming G(y) so that it has unit variance at each step to avoid a trivial zero solution. In words, the ace algorithm alternates between smoothing g(y) on x to get a new f(x), and f(x) on y to get a new g(y), until the mean-squared error does not change. Since the B34S implementation of ace saves all yhat vectors and residual vectors, it is up to the user to select the best model to use. The below listed examples show one criteria using the sum of squares of the residuals. However the user may want to weight the later performance more than the earlier performance of the model. The code to select best ace model (shown below) is placed after the call acefit command: /; Get best model ibest=1; rss_base=sumsq(%res(,ibest)); if(%ns.gt.1)then; do i=2,%ns; rss_try=sumsq(%res(,i)); if(rss_try.lt.rss_base)then; ibest=i; rss_base=rss_try; endif; enddo; endif; ace_res=%res(,ibest); Logic of AVAS In theory AVAS is more suitable for regession models in that it involves an asymptotic variance stabilizing transformation. For more detail see Stokes (200x). Variables created %res - Residuals saved for last %nob %ns matrix %y - Y variable %yhat - Predicted y saved as a %nob,%ns array matrix %yvar - Y variable name %names - Names in Model %lag - Lag %vartype - Variable type %dist - Error Distribution %nob - Effective number of observations. %k - Number of right hand side variables. %ns - Number of passes. %rsq - Vector of R**2 for ns runs. %ty(n,ns) - Transformed y. %tx(n,p,ns) - Transformed x. [ ] Specifications. Allowed values are: order e => usual case. This is default for y and x. circular => periodic in range 0.0 to 1.0 with period 1. monotone => Transform must be monotone linear => transform is linear cat => not orderable. If the transformatiion is supplied, then the corresponding codes are fix_order fix_circular fix_monotone fix_linear fix_cat Examples: Call acefit(y x1 x2[order] x3[order]{1} x4[order]{1 to 6} :print); Note: while x1 is allowed x1{1} is not since [ ] is missing. Options supported :print Show output :itprint Show Iterations :avas Use AVAS approach to get transformations. :span r1 Sets span. Default = 0.0. Set as a fraction of observations in window. 0.0 => automatic (variable) span selection. For small samples (n < 40) or if there are substantial serial correlations between obserations close in x - value, then a prespecified fixed span smoother (span > 0) should be used. Reasonable span values are 0.3 to 0.5. :alpha r2 Sets alpha. Default = 0.0. Controls high frequency (small span) penality used with automatic span selection (bass tone control). alpha.le.0.0 or alpha.gt.10.0 => no effect.) :ns ns Number of solutions. Default = 3. :ty ty Supplied y transformation. ty(n,ns) :tx tx(n,p,ns) Supplied x transform :maxit i1 Maximum number of iterations. Default=20 :nterm i2 Maximum number of terminal iterations. Default = 3 :tol delrsq Sets termination threshold. Default=.1e-3. Iteration stops when R**2 changes less than delrsq in i2 iterations. :weight w Set weight for each obs. Series w must have same # of observations as left hand variable. :spans r3 Sets a three element array. Spans values are for the three running linear smoothers. spans(1) : tweeter span. spans(2) : midrange span. spans(3) : woofer span. Default => array(:.05,.2,.5) This parameter should not be adjusted under normal circumstances. call acefit(y x[orderable]{1 to 6} z[cat,4] :print); The model specification involves specificatioon of the type of variable and optionally a lag or lags. The model specification allows the lags to be set in the command. Only vectors can be supplied in this release. If no[ ] is supplied, [orderable] is assumed. The specification call acefit(y y[orderable]{1} x[orderable]{0 to 3} z[predictor]{1} )$ is the same as call acefit(y y[orderable]{1} x[orderable] x[orderable]{1} x[orderable]{2} x[orderable]{3} z[predictor]{1})$ Discussion of variable types and how to use command. Examples: b34sexec options ginclude('b34sdata.mac') member(gam); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call echooff; call acefit(y[cat] age[order] start_v[order ] numvert[order] :print); call gamfit(y age[predictor,3] start_v[predictor,3] numvert[predictor,3] :link logit :dist gauss :maxit index(2000,1500) :tol array(:.1d-13,.1d-13)); b34srun; /; /; ACEFIT Problem showing plots for various NS values /; b34sexec options ginclude('b34sdata.mac') member(gam_3); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call olsq(cpeptide age bdeficit : print); call echooff; call acefit( cpeptide[order ] age[order] bdeficit[order] :maxit 20 :nterm 10 :ns 2 :tol .1e-8 :print); call names(all); call tabulate(%rsq,%ssres); call print(%y); call print(%yhat,%res); do i=1,%ns; call graph(%res(,i)); enddo; b34srun; /; /; Experimental AVAS Option /; b34sexec options ginclude('b34sdata.mac') member(gam_3); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call olsq(cpeptide age bdeficit : print); call echooff; call acefit( cpeptide[order ] age[order] bdeficit[order] :avas :maxit 20 :nterm 10 :tol .1e-8 :print); call names(all); call tabulate(%rsq,%ssres); call print(%y); call print(%yhat,%res); do i=1,%ns; call graph(%res(,i)); enddo; b34srun; /; /; ACEFIT Vs GAMFIT on Gas Data /; b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call gamfit(gasout gasout[predictor,3]{1 to 4} gasin[predictor,4]{1 to 4} :print); call acefit(gasout gasout[order]{1 to 4} gasin[order]{1 to 4} :print); b34srun; /; /; Best ACE Model against OLS, GAM and MARS /; b34sexec options ginclude('b34sdata.mac') member(gam_3); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call olsq(cpeptide age bdeficit : print); ols_res=%res; call echooff; call acefit(cpeptide[order ] age[order] bdeficit[order] :maxit 20 :nterm 10 :ns 2 :tol .1e-8 :print); call names(all); call tabulate(%rsq,%ssres); call print(%y); call print(%yhat,%res); do i=1,%ns; call graph(%res(,i)); enddo; /; Get best model ibest=1; rss_base=sumsq(%res(,ibest)); if(%ns.gt.1)then; do i=2,%ns; rss_try=sumsq(%res(,i)); if(rss_try.lt.rss_base)then; ibest=i; rss_base=rss_try; endif; enddo; endif; ace_res=%res(,ibest); /; Gam Models call gamfit(cpeptide age[predictor,3] bdeficit[predictor,3] :dist gauss :maxit index(2000,1500) :tol array(:.1d-13,.1d-13) :print); call print(%tss,%rss,%sigma2); call tabulate(%coef,%z,%nl_p,%ss_rest); gam_res=%res; call mars(cpeptide age bdeficit :nk 40 :mi 2 :print ); mars_res=%res; Models=c8array(:'OLS','ACE','GAM','MARS'); fit =array(:sumsq(ols_res),sumsq(ace_res), sumsq(gam_res),sumsq(mars_res)); call tabulate(models,fit, :heading 'Residual Sum of Squares for Various Models'); call graph(ols_res,ace_res,gam_res mars_res :nolabel :heading 'Test of various nonlinear Models'); call tabulate(ols_res,ace_res,gam_res mars_res); b34srun; ACF_PLOT Simple ACF Plot subroutine acf_plot(series,nacf,title); /$ Simple ACF Plot routine /$ Series = Input series /$ nacf = # NACF and PACF /$ Title = Title /$ /$ DATA_ACF is a more complex command /$ /$ *************************************** Example: b34sexec options ginclude('gas.b34')$ b34srun$ b34sexec matrix; call loaddata; call load(acf_plot); call acf_plot(gasout,24,'gasout'); b34srun; ADDCOL Add a column to a 2d array or matrix. call addcol(x,jbegin); Adds col at jbegin. The command for adding more than one col is: call addcol(x,jbegin,number); To add a col at right, give: call addcol(x); Note that jbegin and number are integer*4. ADDROW Add a row to a 2d array or matrix. call addrow(x,ibegin); Adds row at ibegin. The command for adding more than one row is: call addrow(x,ibegin,number); To add at bottom, give command: call addrow(x); Note that ibegin and number are integer*4. AGGDATA Aggregate Data under control of an ID Vector. call aggdata(id,x,newx,newid); Aggregates data in accordance with ID variable id Id variable to determine subgroup. ID must have been sorted and be lined up with x. x Series to be aggregated newx Mean of elements in group newid Group id of new series Series created %nelm # of observations in the group %nnzero # of non zero observations in the group %varx variance of elements in group Notes: The series %nelm allows one to subset the x easily. Example: b34sexec matrix; id=10.; x=20.1; call aggdata(id,x,newx,newid); call print(id,x,newx,newid,%nelm,%nnzero,%varx); id=array(6:10. 10. 11. 11. 11. 12.); x= array(6:1 2 3 4 5 6); call tabulate(id,x); call aggdata(id,x,newx,newid); call tabulate(newx,newid,%nelm,%nnzero,%varx); b34srun; ALIGN Align Series with Missing Data The align command trims series that are the same length initially but contain missing data. This command works for series like the goodrow( ) function works for a matrix. Align works for real*8, real*4 integer*4 and character*8 call align(x1, x2); After this command runs x1 and x2 are still the same length but now contain only non missing data. x1 and x2 must be 1D or 2d objects. To line up time series data starting in different periods use the command: call tslineup(ts1,ts2,ts3); which will place missing data where there are no observations. Example: b34sexec matrix; n=10; x=rn(array(n:)); y=rn(x); call tabulate(x,y); i=integers(1,n,2); x(i)=missing(); call tabulate(x,y); call align(x,y); call tabulate(x,y); b34srun; Advanced Time Series Example /; /; Shows line up and purging time series data. /; Due to possible missing data inside the series the /; timestart and timebase have not been set. However a /; date variable can be added to preserve the date of each /; observation /; b34sexec matrix; call tsd(:get c :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call tsd(:get c96c :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call tsd(:get cd :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call names(:); /; do i=1,norows(%names%); /; call print(argument(%names%(i))); /; enddo; call names; call tabulate(c c96c cd); call tslineup(c c96c cd); call tabulate(c c96c cd); call align(c c96c cd); call tabulate(c c96c cd); call names; /; Using a date variable call clearall; call tsd(:get c :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a1); call tsd(:get c96c :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a2); call tsd(:get cd :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a3); call names(:); /; do i=1,norows(%names%); /; call print(argument(%names%(i))); /; enddo; call names; call tabulate(c a1 c96c a2 cd a3); call tslineup(c a1 c96c a2 cd a3); call tabulate(c a1 c96c a2 cd a3); call align( c a1 c96c a2 cd a3); call tabulate(c a1 c96c a2 cd a3); call names; b34srun; ARMA ARMA estimation using ML and MOM. The ARMA command estimates univariate BJ models using ML and method of moments. Only one AR and MA factor is allowed. This command can be used to select relatively simple models from inside a user selected framework. If many series are to be filtered quickly, this command should be considered. The more complex command AUTOBJ will identify models with AR, MA, SAR and SMA factors. This command is based on the BJIDEN and BJEST routines available as B34S commands. The underlying code for this comamnd is the Peck Box Jenkins program that was developed under the supervision of George Box at UW in the late 60's and early 70's. Many accuracy improvements have been made by Houston H. Stokes. call arma(x :options): Estimates an ARIMA model on series x using the method of moments & nonlinear least squares. Forecasts and residuals can be calculated. Both unrestricted and restricted models can be fit. Box-Jenkins-Reinsel (1994) page 220 - 223 discusses the method of moments approach using the Newton-Raphson algorithm. The ARMA command uses the IMSL Library routines DN2LSE and DN2PE. Options supported to estimate unrestricted models: :nar n - Sets n as the max AR order provided all terms up to n are to be estimated. In this case the keyword :arorder is not needed. :arorder ivec - Sets AR terms to be estimated for restricted model. :nar is not set in this case. :arparms rvec - Sets initial AR parameter values. Usually not required. :nma m - Set for max MA order provided all terms up to m are to be estimated. In this case :maorder is not needed. :maorder ivec - Sets MA terms to be estimated for restricted models. :nma is not set in this case. :maparms rvec - Sets initial MA parameter values. Usually not required. :relerr r - Stopping criterion for method of moments (MM) estimation. If r =0.0, default = 100*amach(4). :maxit n - Maximum number of iterations for MM of estimation. Default = 300. :refine r - Removes parameters whose |t| is LT r :nomm - Do not use MM starting values for unrestricted models. :nonlls - Do not use NLLS for unrestricted model. :maxbc n - Sets maximum backforecasting. Default = 20. :tolbc r - Sets convergence tolerance for backforecasting. Backcasting terminates when abs value of backcast < tolbc. Usually set as a fraction of the SD of series. default = 0.0 => tolbc=.01*series sd. :tolss r - Sets convergence tolerance. Default = 0.0. :warn - Turns on nlls warning messages. If this option is used, a common message regarding convergence can usually be ignored. :forecast n nf - Sets base and # of forecasts :foreprob r - Sets Probability limit for forecasts. Default = .95 :itprint - Prints from IMSL routines MM estimates and forecasts. This is usually not needed. :print - Print results of estimation. Variables created if options selected: %numar - Number of AR parameters %arparms - AR parameters %arorders - AR orders %numma - Number MA parameters %maparms - MA parameters %maorders - MA orders %fcast - Vector of forecasts %foreobs - Vector of Forecast obs %fconf - Forecast conf. Int %fpsi - Forecast psi weights %seriesm - Series mean %coef - constant, ar parameters, ma parameters %se - Coefficient Standard Errors %t - Coefficient t scores %cname - Coefficient name %corder - Coefficient order %const - = %seriesm*(1-par(1)-..-par(nrap) %nres - nob - (max(arorder,maorder)+2) %res - Residual vector of length %nres %resobs - Observation # of residual %y - Y vector lined up same as %res %yhat - Estimated y %avar - Random shock variance %yvar - Y variable name %rss - Residual sum of squares %sumabs - Sum of |e(t)| %maxabs - Maximum |e(t)| %yvar - Y variable Unless it fails to solve, the method of moments starting values will substantially speed up calculations. The switch :nomm can be used to turn off MM starting values if there are problems. A better choice would be to make the model simplier. To estimate an unrestricted ar(4) model call arma(gasout :nar 4 :print); To estimate an unrestricted arma(2,1) model call arma(gasout :nar 2 :nma 1 :print); To estimate a restricted model with AR terms at lag 2 and 3. call arma(gasout :arorder idint(array(:2 3)) :print) Example 1. AR model on gasin series: b34sexec options include('c:\b34slm\gas.b34'); b34srun; b34sexec matrix; * Model Discussed in Box-Jenkins and in Stokes (1997); call loaddata; call arma(gasin :nar 3 :forecast 296 24 :itprint :print); call graph(%res); call graph(%y,%yhat); call graph(acf(%res)); b34srun; Example 2. ARMA model on real m1 b34sexec options include('c:\b34slm\b34sdata.mac.b34') memb34(res79); b34srun; b34sexec matrix; call loaddata; diff2rm=dif(fmscom,2,1); call arma(diff2rm :nar 2 :nma 1 :itprint :print); call graph(%res); call graph(%y,%yhat); call graph(acf(%res)); call arma(diff2rm :nar 2 :maorder idint(array(:3,4,7)) :itprint :print); call graph(%res); call graph(%y,%yhat); call graph(acf(%res)); b34srun; AUTOBJ - Automatic Estimation of Box-Jenkins Model The ARMA command estimates univariate BJ models using ML and method of moments. Since only one AR and MA factor is allowed, this command can be used to select relatively simple models from inside a user selected framework. If many series are to be filtered quickly, this command should be considered. Models with very many terms can be estimated. The more complex command AUTOBJ will automatically identify models with AR, MA, SAR and SMA factors without the user having to specify the model. This use of time series AI allows filtering of a large number of quite different series possible. A limit of 10 terms can be in the model but up to 6 factors can be estimated. These limits are due to the Box- Jenkins philosophy that suggests parsimonious models be used. The AUTOBJ command is based on the BJIDEN and BJEST routines available as B34S commands. The underlying code is based on the Peck Box Jenkins program that was developed under the supervision of George Box at UW starting in the late 60's. In addition to automatic model selection using the :autobuild option, the AR amd MA parameters can be specified in "manual" mode of operation.. call autobj(x :options); x series to filter. If the user wants to impose differencing, this should be done outside the command or inside the command with the command :rdif or :sdif. Other wise using automatic model building, differencing will be selected if the AR parameter is above the :roottol value which defaults to .8. :autobuild - Automatically selects the arima model starting from a "generic" arima(1,1) model on appropriately differenced data. :rawacfpacf - Give Raw ACF and PACF prior to model being fit.. :difrawacf - Gives difference as well as raw acf and pacf if :rawacfpacf set. :assumptions - Lists assumptions. Not usually used. :seasonal n - Sets the seasonal period. If this is not present seasonal differencing will not be attempted. :seasonal2 n - Sets the second seasonal period. If seasonal2 is set, seasonal must be set. Used with hourly and weekly data. :longar n - Sets initial default AR order. Default=1. Range 0-2. This is not allowed if seasonal2 is set. :longma n - Sets initial default MA order. Default=1. Range 0-2. This option is not allowed if seasonal2 is set. :nodif - Suppress automatic differencing selection. :rdif - Forces Regular Differencing. :sdif - Forces Seasonal Differencing. :trend - Estimate a trend if there is differencing. :noest - No estimation will be performed. This option requires that the model has been saved. :cleanmod - On the last step, the model will be cleaned of parameters that have |t| values LT droptol. This option makes a very parsimonious model. :forcedstart - Forces a default starting value of .1 to be set. This is usually not needed. :nosearch - Turns off spike hunting. :spikelimit i - Sets limit to look for spikes. Default = max(12,2*seasonal) :spiketol r - Sets t for spike inclusion. Default = droptol. If this is set too low the program will cycle since a term will be added which will not be significant due to the |t| not meeting the droptol. :arlimit r - Sets a value to check for |t| of adjacent ACF terms. If r is set smaller, it is more likely AR terms will be added. Change this value with caution. Default = 1.3. :startvalue r - Sets default parameter start value for automatic model building. Default = .1 :print - Print results. :printres - Print residuals. :printit - Print iterations :printsteps - Prints Model selection steps for automatic model building. :backforecast - Use backforecasting. This option allows residuals to be calculated for all data points. It can result in instable estimation. This option should be used with care. :maxtry n - Maximum tries at auto model selection. Default = 4. :roottol r - Set auto model differencing tolerance. Default = .8 :droptol r - Sets drop tolerance. Default = 1.7 :eps1 r - Sets max change in relative sum of squares before iteration stops. Default = 0.0 => this criterian not used. :eps2 r - Sets relative max change in each parameter. Default = .004 :maxit i - Sets maximum number of iterations allowed. Default = 20 :nac i - Sets # autocorrelations printed. Max = 999. :npac i - Sets number of partial autocorrelations printed. :holdout n - Sets number of observations to hold out Options to override auto selection of the model. Note: Specify AR and MA in this order if present. :ar ivec - set AR orders. Can specify up to three factors. For example: :ar index(1 2 3) index(12) :ma ivec - set ma orders. Can specify up to three factors. For example: :ma index(1 2 3) index(12) :arparm rarray - Initial ar values. Usually not needed. :maparm - Initial ma values. Usually not needed. :dif ivec - set differencing orders. Can specify up to three factors. For example :dif index(1 1) :dif index(1 1) index(1 12) :dif index(1 1) index(1 12) index(1 48) Note: :dif index(1 1 1 12) not supported! :forecast index(i1 i2) - Sets forecast number and origin. Limit for number = 100 :smodeln - Sets model save name. If :noest is in effect,this sets the model name to used to make forecasts. Variables created if options selected: %numar - Number of AR factors %numma - Number MA factors %numdif - Number difference factors ********************************************** Defined if %numar > 0 %arparms - AR parameters %arse - SE of AR parameters %arord - AR orders %narfact - Number of parameters in each factor ********************************************** Defined if %numma > 0 %maparms - MA parameters %mase - SE of MA parameters %maord - MA orders %nmafact - Number of MA parameters in each factor ********************************************** Defined if %numdif > 0 %diford - Dif Orders (6 element array) ********************************************** %coef - constant, ar parameters, ma parameters %se - Coefficient Standard Errors %t - Coefficient t scores %cname - Coefficient names 123456 AR - 1 AR - 2 MA - 1 MA - 2 give info on the factor %corder - Coefficient order Defined if Forecasting ********************************************* %fcast - Vector of forecasts %foreobs - Vector of Forecast obs %fse - Forecast standard error %fpsi - Forecast psi weights %nres - nob -(max(arorder,maorder)+2) %res - Residual vector of length %nres. %resobs - Observation # of residual %y - Y vector lined up same as %res. %yhat - Estimated y %yvar - Y variable name %rss - Residual sum of squares %sumabs - Sum of |e(t)| %maxabs - Maximum |e(t)| Notes: If :ar or :ma is found, auto identification will not be performed. If auto identification is used, the beginning values will often be close to the final values because of the "hidden" identification estimation runs. The switch :printsteps will show these estimations although usually this is not needed. The following statement will detect if the program ran: if(kind(%res).eq.-99)then; call print('AUTOBJ failed'); endif; Example # 1 Identify the Gas model: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(rtest); /$ /$ This roottol setting forces no differencing /$ /$ call autobj(gasout :print :nac 24 :npac 24 /$ :roottol .99 :autobuild ); /$ This turns off differencing call autobj(gasout :print :nac 24 :npac 24 :nodif :autobuild ); call rtest(%res,gasout,48); /$ Default let program decide call autobj(gasout :print :nac 24 :npac 24 /$ :printsteps :spiketol 2.0 :autobuild ); call rtest(%res,gasout,48); b34srun; Example # 2 Identify Retail Data b34sexec options ginclude('b34sdata.mac') member(retail); b34srun; b34sexec matrix; call loaddata; call load(rtest); call autobj(applance :autobuild :seasonal 12 :nac 36 :print :assumptions /$ /$ maxtry limits model /$ :printsteps :maxtry 2 /$ :forecast index(20,norows(applance)) ); call names(all); call tabulate(%cname,%corder,%coef,%se,%t); call print(%yvar,%numar,%numma,%numdif); if(%numdif.ne.0)call print(%diford); if(%numar.ne.0) call print(%narfact,%arord,%arparms,%arse); if(%numma.ne.0) call print(%nmafact,%maord,%maparms,%mase); b34srun; AUTOCOV - Autocovariance of a series call autocov(series,auto,nn); series = data auto = autocovariance nn = # of elements in auto Note: AUTOCOV is a Matrix Command subroutine contained in matrix2.mac. Before it is run it must be loaded with call load(autocov); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call echooff; call loaddata; call load(autocov); call autocov(gasout,aa,norows(gasout)/2); aatest=acf(gasout,norows(gasout)/2); call tabulate(aa,aatest); call graph(aatest :heading 'ACF'); call graph(aa :heading 'Autocovariance'); b34srun; BACKSPACE - Backspace a unit call backspace(n); backspaces unit n Example: b34sexec matrix; /$ /$ Notes: After the call copyf unit 6 has hit an /$ end of file. /$ The call backspace(6); makes this file /$ able to be written. The call to echooff; /$ is needed since the call to rewind /$ will be echoed in the output /$ file before the backspace is given and /$ cause problems!! /$ x=rn(matrix(4,4:)); xi=inv(x); call print(x,xi); call open(77,'b34sout.out'); call rewind(77); call echooff; call copyf(6,77); call backspace(6); call echoon; b34srun; BDS BDS Nonlinearity test. call bds(x,eps1,m,dim,bdsu,bdsv,probu,probv) Calculates BDS test for series x. Eps1 should be in range .5 to 2.0. Eps used is sd*eps1. If sd = 200 and eps1 = .5 , then eps = 100. M = dimension of test. Upper limit = 17. X must be filtered such that there is no autocorrelation remaining. If this is not done, the BDS test will give a false positive reading. DIM = a vector for the dimension of the test. DIM goes from 2 .. M. BDSU = U form of test. BDSV = V form of test. PROBU = probability associated with BDSU PROBV = probability associated with BDSV. The BDS test is based on subroutines from Patterson & Ashley which in turn based their routines on LeBaron (1997). If : is added to the argument list the results will be printed. A short form of the command is call bds(x,eps1,m:); Example: b34sexec options ginclude('b34sdata.mac') member(blake); b34srun; b34sexec matrix; call loaddata; call print('Results should be:' ' 2 3 4 5 ' ' -.086613 -1.6219 -1.8737 -1.2281'); call bds(blake,.5,5,mm,bdsu,bdsv,pbdsu,pbdsv); call tabulate(mm,bdsu,bdsv,pbdsu,pbdsv); b34srun; B_G_TEST Breusch-Godfrey (1978) Residual Test call b_g_test(iorder,x,res,gbtest,gbprob,iprint,iprint2) subroutine b_g_test(iorder,x,res,gbtest,gbprob,iprint,iprint2); /; /; Implements Breusch- Godfrey (1978) Test /; See Greene (2000) page 541 /; /; iorder => Max order of the test /; x => original x matrix /; res => residual from original equation /; gbtest => Breusch-Godfrey (1978) test Stat /; gbprob => Probability of stat /; iprint => ne 0 prints results /; iprint2 => ne 0 prints stage 2 results /; +++++++++++++++++++++++++++++++++++++++++++++++++++ /; /; Use: call olsq(y x1 x2 x3 :savex); /; do iorder=1,4; /; call b_g_test(iorder,%x,%res,gbtest.gbprob,1,0); /; enddo; /; Example: /; /; Test Case From Greene (2000) page 541 /; b34sexec options ginclude('greene4.mac') member(a13_1); b34srun; b34sexec matrix; call loaddata; call load(b_g_test); call echooff; call olsq(realnvst realgnp realint :print :savex); call print(' ':); do iorder=1,4; call B_G_test(iorder,%x,%res,gbtest,gbprob,1,0); enddo; b34srun; BGARCH Calculate function for a BGARCH model. call bgarch(res1,res2,arch1,arch2,y1,y2,func, maxlag,nbad :options); The BGARCH subroutine supports a general way to setup a BGARCH (bivariate GARCH) model and avoid the overhead of recursive calls. Fixed correlation and time varrying correlation models are possible. The BGARCH command works with two series. If more than two series are desired, use the Fortran implementation. The purpose of the BGARCH command is to provide aflexible way to input a general BGARCH model. If more complex models are desired, the best way to proceed for a recursive system is to hard code the model in Fortran. An example below shows these alternative ways to proceed. The BGARCH subroutine calculates the function which is then maximized with CMAXF2 or the in more complex cases with the nonlinear programing with nonlinear constraints command NLPMIN1. The latter approach allows nonlinear restrictions on the parameters but does not give SE's. By use of a bootstrap SE's can be obtained at substantial computer cost. BGARCH modeling in RATS often has a problem which result in the message "useable observations" that arises because during the iteration phase in the second moment equation the value goes LE 0 causing problems with the LOG and the division. If BGARCH is used with the CMAXF2 command it is possible to restrict the parameters of the second moment equation such that this does not occur. The b34s BGARCH subroutine is slower than Rats, but provides complete instrumentation of the solution process and will not give the "useable observations" message that indicates that only a reduced number of datapoints are using in estimating the model. Required BGARCH Subroutine arguments res1 - first moment residual for series 1 res2 - first moment residual for series 2 arch1 - second moment residual for series 1 arch2 - second moment residual for series 2 y1 - Series 1 y2 - Series 2 func - function maxlag - maxlag of model for purposes of ML sum. nbad - number of bad datapoints :rho - rho parameter or 3 parameters in :tvrho :tvrho - Name for rho series for tvrho. This series must be allocated and must be the same length as y1. If res1, res2, arch1 or arch2 are allocated prior to the call to BGARCH, the initial values placed in these series are used. If BGARCH allocates these series, all values are set to 0.0. Options supported :ar11 arparm arorder - AR parameters & orders series 1 for equation 1. :ar12 arparm arorder - AR parameters & orders series 2 for equation 1. :ar22 arparm arorder - AR parameters & orders series 2 for equation 2. :ar21 arparm arorder - AR parameters & orders series 1 for equation 2. :ma11 maparm maorder - MA parameters & orders series 1 for equation 1. :ma12 maparm maorder - MA parameters & orders series 2 for equation 1. :ma22 maparm maorder - MA parameters & orders series 2 for equation 2. :ma21 maparm maorder - MA parameters & orders series 1 for equation 2. :gar11 garparm garorder - GAR parameters & orders for second moment eq for series 1 to series 1. :gar21 garparm garorder - GAR parameters & orders for second moment eq for series 1 to series 2. :gar12 garparm garorder - GAR parameters & orders for second moment eq for series 2 to series 1. :gar22 garparm garorder - GAR parameters & orders for second moment eq for series 2 to series 2. :gma11 gmaparm gmaorder - GMA parameters & orders for second moment eq for series 1 to series 1. :gma21 gmaparm gmaorder - GMA parameters & orders for second moment eq for series 1 to series 2. :gma22 gmaparm gmaorder - GMA parameters & orders for second moment eq for series 2 to series 2. :gma12 gmaparm gmaorder - GMA parameters & orders for second moment eq for series 2 to series 1. :mu11 muparm muorder - Mu parameters and order for second moment eq for series 1 mapping to series 1. :mu21 muparm muorder - Mu parameters and order for second moment eq for series 1 mapping to series 2. :mu22 muparm muorder - Mu parameters and order for second moment eq for series 2 mapping to series 2. :mu12 muparm muorder - Mu parameters and order for second moment eq for series 2 mapping to series 1. :rho rhoname - Pass D1 array with one element for constant correlation model, three elements for tvrho model. :tvrho series - Pass a series name for time varrying rho. This is the rho vector. It must be allocated prior to the call. Its size is the same as data1. :negrho - The default is to assume a positive rho for the time varrying rho. The negative rho constraints the rho to be negative. While usually rho is positive, if there are convergence problems impose the negative constraint. :constant cparm - Constant. If no constant is desired, do not pass this parameter to the maximize command. cparm must be a 4 element array. It it is not present zero is assumed. :dorange irange - Sets do range. Usually this is not needed. Default is 1 to noob. Form of BGARCH Model Constant correlation case: max sum(gdet -0.5*((res1(t)**2/ arch1(t)) + (res2(t)**2/ arch2(t)) -2*rho*res1(t)*res2(t)/sqrt(arch1(t)*arch2(t))) /(1.0-rho**2)) where gdet = -0.5*(log(arch1(t))+log(arch2(t)) + log(1.0-rho**2)) Time varrying case: max sum(gdet -0.5*((res1(t)**2/ arch1(t)) + (res2(t)**2/ arch2(t)) -2*rho*res1(t)*res2(t)/ dsqrt(arch1(t)*arch2(t)))/(1.0-rho(t)**2)) rho = q0 +q1*rho(t-1) +q2*res1(t-1)*res2(t-1)/ dsqrt(arch1(t-1)*arch2(t-1)) rho = dexp(rho(t))/(1.0+dexp(rho(t)) gdet = -0.5*(log(arch1(t))+log(arch2(t)) + log(1.0-rho(t)**2)) where: res1(t)=y(t)-cparm(1) -arparm11(1)*y1(t-arorder11(1))-... -arparm12(1)*y2(t-arorder12(1))-... -maparm11(1)*res1(t-maorder11(1))-... -maparm12(1)*res2(t-maorder12(1))-... -muparm11(1)*dsqrt(arch1(t-muorder11(1)))-... -muparm12(1)*dsqrt(arch2(t-muorder12(1)))-... res2(t)=y(t)-cparm(2) -arparm22(1)*y2(t-arorder22(1))-... -arparm21(1)*y1(t-arorder21(1))-... -maparm11(1)*res1(t-maorder11(1))-... -maparm21(1)*res2(t-maorder21(1))-... -muparm21(1)*dsqrt(arch1(t-muorder21(1)))-... -muparm22(1)*dsqrt(arch2(t-muorder22(1)))-... arch1(t)=cparm(3) +gmaparm11(1)*(res1(t-gmaorder11(1))**2) + +gmaparm12(1)*(res2(t-gmaorder12(1))**2) + +garparm11(1)* arch1(garaorder11(1)) + ... +garparm12(1)* arch2(garaorder12(1)) + ... arch2(t)=cparm(4) +gmaparm22(1)*(res2(t-gmaorder22(1))**2) + +gmaparm21(1)*(res1(t-gmaorder21(1))**2) + +garparm22(1)* arch2(garaorder22(1)) + ... +garparm21(1)* arch2(garaorder12(1)) + ... Note: If overflows occur the parameters of the model may have to be restricted in such a way that they do not get near 0.0 during the solution iterations. Since the order in which the equations are solved is res1 and res2, if muorder(1)=0, then the system will have to be coded with DO loops. Examples of alternative coding are contained in BGARCH_B and BGARCH_C jobs in matrix.mac. Sample Jobs Job # 1 is a Diagonal Constant Correlation Model b34sexec scaio readsca /$ file('/usr/local/lib/b34slm/findat01.mad') file('c:\b34slm\findat01.mad') dataset(d_HKJA); b34srun; b34sexec matrix; call loaddata; count=0.0; call echooff; program test; /$ Here we have only diagonal elements zero=0.0d+00; call bgarch(res1,res2,arch1,arch2,data1,data2, func,7,nbad :ar11 array(:p6) index(6) :constant array(:zero,zero,a0,b0) :gma11 array(:a1) index(1) :gar11 array(:a2) index(1) :gma22 array(:b1) index(1) :gar22 array(:b2) index(1) :dorange index(8,469) :rho array(:rho)); count=count+1.0; /$ Optional Visual Solution info call outdouble(10,1 , func); call outdouble(10,2 , count); call outdouble(10,3, p6); call outdouble(10,4, a0); call outdouble(10,5, b0); call outdouble(10,6, a1); call outdouble(10,7, a2); call outdouble(10,8, b1); call outdouble(10,9, b2); call outdouble(10,10, rho); return; end; call print(test); j=integers(1,469); data1 = ln_hk(j); data2 = ln_ja(j); arch1 = data1*0.0 ; arch2 = data1*0.0 ; res1 = data1 ; res2 = data2 ; /$ a0 = .1, a1 = .1, a2 = .4 /$ b0 = .1, b1 = .2, b2 = .6 /$ p6 = .1, rho = 0.1 call cmaxf2(func :name test :parms p6 a0 b0 a1 a2 b1 b2 rho :ivalue array(:.1 .1 .1 .1 .4 .1 .6 .1) :maxit 300 :gradtol .1e-4 :lower array(:-.5 ,.1d-12,.1d-12,.1d-12,.1d-12, .1d-12,.1d-12,.1d-12) :upper array(:.1d+30,.1d+30,.1d+30,.1d+30,.1d+30, .1d+30,.1d+30,.1d+30) :print); b34srun; Job # 2 Is Constant Correlation but NOT diagonal /$ BGARCH Constant Correlation Example 9.2, 9.22 /$ page 369 /$ b34sexec scaio readsca /$ file('/usr/local/lib/b34slm/findat01.mad') file('c:\b34slm\findat01.mad') dataset(M_IBMLN2); b34srun; /$ /$ See Tsay(2001) page 368 Example 9.2 Equation 9.22 /$ See BGARCH_B test case /$ Uses BGARCH b34sexec matrix; call loaddata; program test; /$ /$ Rats setup info /$ /$ c1 p11 p22 p12 c2 a0 a11 b11 b12 b0 a21 a22 /$ b21 b22 rho /$ a1t=r1(t)-c1-p11*r1{1}-p22*r1{2}-p12*r2{2} /$ a2t=r2(t)-c2 /$ gvar1=a0+a11*a1t(t-1)**2+b11*h1(t-1)+ /$ b12*h2(t-1) /$ gvar2=b0+a21*a1t(t-1)**2+a22*a2t(t-1)**2+ /$ b21*h1(t-1) + b22*h2(t-1) /$ gdet=-0.5*(log(h1(t)=gvar1(t))+log(h2(t)= /$ gvar2(t))+log(1.0-rho**2)) /$ garchln = gdet-0.5/(1.0-rho**2)* /$ ((a1t(t)**2/h1(t))+(a2t(t)**2/h2(t)) /$ -2*rho*a1t(t)*a2t(t)/sqrt(h1(t)*h2(t))) call bgarch(res1,res2,arch1,arch2,data1,data2, func,3,nbad :ar11 array(:p11 p22) index(1 2) :ar12 array(:p12) index(2) :gma11 array(:a11) index(1) :gar11 array(:b11) index(1) :gar12 array(:b12) index(1) :gma22 array(:a22) index(1) :gma21 array(:a21) index(1) :gar21 array(:b21) index(1) :gar22 array(:b22) index(1) :rho array(:rho) :dorange index(3,888) :constant array(:c1 c2 a0 b0)); count=count+1.0; /$ Optional instrumentation call outdouble(10,1 , func); call outdouble(10,2 , count); call outdouble(10,3, c1); call outdouble(10,4, p11); call outdouble(10,5, p22); call outdouble(10,6, p12); call outdouble(10,7, c2); call outdouble(10,8, a0); call outdouble(10,9, a11); call outdouble(40,1, b11); call outdouble(40,2, b12); call outdouble(40,3, b0); call outdouble(40,4, a21); call outdouble(40,5, a22); call outdouble(40,6, b21); call outdouble(40,7, b22); call outdouble(40,8, rho); return; end; call print(test); /$ c1 = 1.4, c2 = 0.7, p11 = 0.1, p22 = 0.1, p12 = -0.1 /$ a0 = 3.0, a11=0.1, a21=0.02, a22=0.05 /$ b0=2.0, b11=.8, b12=.01, b21=.01, b22=.8, rho = 0.1 count=0.0; j=integers(1,888); data1=ibmln(j); data2=spln(j); call echooff; call cmaxf2(func :name test :parms c1 p11 p22 p12 c2 a0 a11 b11 b12 b0 a21 a22 b21 b22 rho :ivalue array(:1.4, .1, .1, -.1, .7 3.0, .1, .8, .01, 2.0, .02, .05,.01, .8, .1) :maxit 30000 :maxfun 30000 /$ /$ Rats Names /$ c1 p11 p22 p12 c2 /$ a0 a11 b11 b12 b0 /$ a21 a22 b21 b22 rho /$ :lower array(:.1d-12,.1d-12,.1d-12,-.2, .1d-12, .1d-12,.1d-12,.1d-12,-.06, .1d-12, .1d-12,.1d-12,-.1, .1d-12,.1d-12) :upper array(:.1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3) :print); b34srun; Job # 3 is a Time-varying Correlation Model /$ b34sexec scaio readsca /$ file('/usr/local/lib/b34slm/findat01.mad') file('c:\b34slm\findat01.mad') dataset(m_ibmln2); b34srun; /$ /$ stablemod = 1 /$ Forces GARCH parameters GE 0.0 /$ Tsay RATS code allows "unstable" models due to /$ unconstrained estimator /$ stablemod = 1 can cause problems in convergence since /$ parameters are at theirt zero point /$ /$ => stablemod=0 => -3678.3455 /$ => stablemod=1 => -3685.0870 %b34slet stablemod=0; b34sexec matrix; call loaddata; program test; call bgarch(res1,res2,arch1,arch2,ibmln,spln,func,3,nbad :ar11 array(:p1) index(1) :ar12 array(:p3) index(2) :gar11 array(:b1) index(1) :gma11 array(:a1) index(1) :gar12 array(:f1) index(1) :gma22 array(:a11) index(1) :gar22 array(:b11) index(1) :gma21 array(:d11) index(1) :gar21 array(:f11) index(1) :rho array(:q0,q1,q2) :tvrho rho :dorange index(3,888) :constant array(:c1 c2 a0 a00)); count=count+1.0; /$ Optional visual output to monitor solution progress call outdouble(10,1 , func); call outdouble(10,2 , count); call outdouble(10,3, c1); call outdouble(10,4, p1); call outdouble(10,5, p3); call outdouble(10,6, c2); call outdouble(10,7, a0); call outdouble(10,8, a1); call outdouble(10,9, b1); call outdouble(40,1, f1); call outdouble(40,2, a00); call outdouble(40,3, a11); call outdouble(40,4, b11); call outdouble(40,5, f11); call outdouble(40,6, d11); call outdouble(40,7, q0); call outdouble(40,8, q1); call outdouble(40,9, q2); /$ /$ Trap > 0 value and reset /$ if(func.gt.0.0)func=-10.d+9; return; end; call print(test); count=0.0; /$ c1 = 1.4, p1 = 0.1, p3 =-.1 , c2 = .07, a0 = 2.95 /$ a1 = .08 b1 = .87 f1 =-.03 a00= 2.05 a11=.05 /$ b11= .92 f11=-.06 d11=.04 q0 = -2.0 q1 = 3.0 /$ q2 = .1 j=integers(888) ; data1=ibmln(j) ; data2=spln(j) ; res1 =array(norows(data1):); res2 =array(norows(data1):); arch1=array(norows(data1):) + 45.; arch2=array(norows(data2):) + 31.; rho =array(norows(data2):) + .8 ; call echooff; call cmaxf2(func :name test :parms c1 p1 p3 c2 a0 a1 b1 f1 a00 a11 b11 f11 d11 q0 q1 q2 /$ /$ c1, p1, p3, c2, a0 /$ a1, b1, f1, a00, a11 /$ b11 ,f11, d11, q0, q1 /$ q2 /$ Rats Answers reported in Tsay (2001) /$ Note that Tsay allows GARCH parameters to be < 0 !!!! /$ This make problem unstable!!!!! /$ See f1 & f11 /$ /$ 1.3178 .076103 -.068349 .673403 2.79865 /$ .08364 .8642 -.01995 1.7101 .05401 /$ .9139 -.05811 .03711 -2.0239 3.983 /$ .08755 /$ Rats input values /$ :ivalue array(: 1.4, 0.1, -.1 , .07, 2.95, /$ .08, .87, -.03, 2.05, .05, /$ .92, -.06, .04, -2.0, 3.0, /$ .1) /$ Good Values that are close to rats input values except /$ for GARCH parameters which are not allowed to go < 0.0 %b34sif(&stablemod.eq.1)%then; :ivalue array(: 1.4, .08, -.07, .7, 2.95, .08, .87, .01, 2.05, .05, .92, .01, .04, -2.0, 3.0, .1) :lower array(:.1d-12, .1d-12, -.4, .1d-12, .1d-12, .1d-12, .1d-12, .1d-12 .1d-12, .1d-12, .1d-12, .1d-12, .1d-12, -6., .1d-12 .1d-12) %b34sendif; %b34sif(&stablemod.eq.0)%then; /$ /$ These values "beat Tsay" but model is not stable!!! /$ Stokes feels that GARCH mdoels should be estimated /$ with constraints suggested by theory!! This is not /$ possible with older versions of RATS /$ :ivalue array(: 1.3, .08, -.07, .7, 2.8 , .08, .87, -.01, 1.7 , .05, .91, -.01, .04, -2.0, 4.1, .08) /$ These values suggested by Tsay cause problems /$ :ivalue array(: 1.4, 0.1, -.1 , .07, 2.95, /$ .08, .87, -.03, 2.05, .05, /$ .92, -.06, .04, -2.0, 3.0, /$ .1) :lower array(:.1d-12, .1d-12, -.4, .1d-12, .1d-12, .1d-12, .1d-12, -.02 .1d-12, .1d-12, .1d-12, -.06 .1d-12, -4., .1d-12 .1d-12) %b34sendif; :upper array(:.1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+3, .1d+1, .1d+3 .1d+3) :maxit 30000 :maxfun 30000 :maxg 10000 :print); b34srun; Notes: The jobs BGARCH_A, BGARCH_B and BGARCH_C show BGARCH, Fortran and RATS jobs for the same problem. These jobs show exactly what is being estimated. For further detail, see Tsay (2002) whose data we use and who developed these models. BLUS BLUS Residual Analysis call blus(itype,x,olse,ibase,bluse,bluse2,eigb, sumeig,sumsqb,olsbeta,blusbeta,ibad,x1,teststat,iprint); Will perform BLUS Analysis on the OLS residuals. It is assumed that the data has been sorted against series x1. The BLUS subroutine uses routines BLUSBASE, BLUSTEST and BLUSRES. Usually all that is required is to call BLUS. Help files for all 4 routines are shown. This routine does not have a right side limit of 20 variables like the "historical" Theil inspired BLUS code that is under the regression command. The command call load(blus); will load all routines. subroutine blus(itype,x,olse,ibase,bluse,bluse2,eigb, sumeig,sumsqb,olsbeta,blusbeta,ibad,x1,teststat,iprint); /$ /$ Routine to calculate BLUS residuals tests /$ Routine mimics what is available in RA card /$ in regresion command. /$ /$ Routines BLUSBASE BLUSTEST and BLUSRES are needed. /$ /$ Routine built 25 June 2003 by Houston H. Stokes /$ /$ itype = 0 DW test /$ itype = 1 MVN test /$ itype = 2 Het Base /$ itype = 3 Parabola base /$ x = n by k x matrix. OLSQ command saves /$ this if :savex is effect (input) /$ olse = OLS Error. usually %res (input) /$ ibase = Integer vector of the base for the BLUS /$ calculation /$ bluse = BLUS residual vector /$ bluse2 = BLUS residual vector with base marked /$ as missing /$ eigb = eigenvalues from blus /$ sumeig = sum dsqrt of eigenvalues /$ sumsqb = sum of blus residuals squared /$ olsbeta = OLS Beta (input) /$ blusbeta= BLUS Beta /$ ibad = 0 all ok, = 1 base singular, /$ = 2 error on input /$ x1 = vector used for the sort. /$ Needed if itype = 3 /$ teststat= test statistic /$ iprint = 1 print results; subroutine blusbase(iopt,itype,n,k,ibase,nbase); /$ /$ Gets BLUS base /$ /$ iopt = 0 get number of bases for itype in nbase /$ iopt = 1 get base number nbase for itype /$ /$ Example: if N = 20 and k = 4 there are 5 bases /$ [1 2 3 4] [1 2 3 20] [1 2 19 20] /$ [1 18 19 20] [17 18 19 20] /$ itype = 0 DW and MVN base /$ itype = 1 DW and MVN base /$ itype = 2 Het Base /$ itype = 3 Parabola base /$ n = # of observations /$ k = # right hand side variables /$ ibase = Blus base /$ nbase = # of bases if iopt=0, bane subroutine blustest(bluse,x,ibase,itype,test); /$ /$ Construct Tests on BLUS Residuals /$ /$ Routine built 15 May 2003 /$ /$ bluse = Blus residuals /$ x = Vector used for the sort. Needed if /$ itype=3 /$ ibase = BLUS base integer*4 vector of k elements /$ itype = 0 DW /$ = 1 mvn /$ = 2 F /$ = 3 parabola /$ test = test value /$ call blusres(x,olse,ibase,bluse,bluse2,eigb, sumeig,sumsqb,olsbeta,blusbeta,ibad); /$ /$ Routine to calculate BLUS residuals /$ Routine mimics what is available in RA card /$ and BLUS capability in regresion command. /$ x = n by k x matrix. OLSQ command saves /$ this if :savex is effect (input) /$ olse = OLS Error. usually %res (input) /$ ibase = Integer vector of the base for /$ the BLUS calculation /$ bluse = BLUS residual vector /$ bluse2 = BLUS residual vector with base marked as missing /$ eigb = eigenvalues from blus /$ sumeig = sum dsqrt of eigenvalues /$ sumsqb = sum of blus residuals squared /$ olsbeta = OLS Beta (input) /$ blusbeta= BLUS Beta /$ ibad = 0 all ok, = 1 base singular, /$ = 2 error on input /$ /$ ********************************************** /$ Example of old and newer way to get same answers: b34sexec data heading('Theil(1971) Table 5.1'); * For detail see pages 214-216; * Matrix Command shows BLUS Calculation; * Code discussed in Stokes ( ) 3rd Edition ; build x1,x2, y; gen x1=kount(); gen x2=dsin(x1/2.0); gen y =x1+ 10.0*dsin(x1/2.)+act_e; input act_e; datacards; 1.046 -.508 -1.630 -.146 -.105 -.357 -1.384 .360 -.992 -.116 -1.698 -1.339 1.827 -.959 .424 .969 -1.141 -1.041 1.041 .535 b34sreturn; b34srun; /$ b34sexec list; b34srun; b34sexec regression residualp blus=both noint; comment('Illustrates BLUS analysis with Theil Data'); model y=x1 x2; ra resid=allblus vars(x1); b34srun; b34sexec matrix; call loaddata; call load(blus); program fulltest; iprint=1; call olsq(y x1 x2 :noint :print :savex); do itype=0,3; call blus(itype,%x,%res,ibase,bluse,bluse2,eigb,sumeig, sumsqb, %coef,blusbeta,ibad,x1,teststat,iprint); enddo; return; end; /$ call echoon; call echooff; call fulltest; b34srun; BPFILTER Baxter-King Filter. call bpfilter(data,datat,datadev,highfreq, lowfreq,nterms :); Uses Baxter-King MA band-pass filter to decompose data into trend (datat) and deviations from trend (datadev). Data must be real*8. If data is a matrix or 2d array, each column is transformed. data = real*8 data datat = trend datadev = deviations from trend highfreq = real*8 var highest freq to pass. Note: highfreq set in periods. lowfreq = real*8 var lowest freq to pass. Note: lowfreq set in periods. nterms = integer var set to number of terms in filter Note: If series in data is N observations, nterms at the beginning and end of series are set = 0. The optional paremeter : = will set these to missing. Example 1: call bpfilter(x,tx,devx,6,32,20); Example 2: /$ Illustrates passing gasout through Baxter-King MA /$ filter. goodrow and catcol used to line up data /$ for plots and redefine the series !! /$ b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; highfreq=6.; lowfreq=32.; nterms=20; call bpfilter(gasout,tr,dev,highfreq,lowfreq,nterms:); call tabulate(gasout,tr,dev,); x=goodrow(catcol(gasout,tr,dev)); gasout=x(,1); tr =x(,2); dev =x(,3); call tabulate(gasout,tr,dev); call graph(gasout,tr,dev); b34srun; The bpfilter command "hard wires" the bpf subroutine. BREAK Set User Program Break Point. call break; If any key has been hit, and this command is executed, the program will terminate after a question has been asked to confirm. Alternative call: call break('We are at point A now'); Message can be up to 40 characters. BUILDLAG Builds NEWY and NEWX for VAR Modeling call buildlag(x,nlag,ibegin,iend,newx,newy); This routine builds lags of x for VAR modeling new y is also built. x(n,k) - n,k matrix of data values nlag - Number of lags ibegin - Begin Data point iend - End Data Point newx - nob,(nlags*k) matrix of x variables newy - nob,k matrix of left hand variables nob=iend-ibegin+1-nlag Example: b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call load(buildlag); x=catcol(gasin,gasout); nlag=2; ibegin=1; iend=10; call print(x); call buildlag(x,nlag,ibegin,iend,newx,newy); call print(newx,newy); b34srun; CCFTEST - Display CCF Function of Prewhitened data call ccftest(res1,y,nccf,lags,title); res1 => First Moment Residual y => Input Series nccf => Number ccf terms lags => lags title => title High resolution graphs are made. List of CCF values also given. ccftest is a subroutine and must be loaded with the statement call load(ccftest); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(ccftest); nn=norows(gasout)/4; call character(title,'Gasin vs Gasout'); call ccftest(gasin,gasout,nn,lags,title); b34srun; CFREQ Determine Cumulative Frequency Distribution call cfreq(series,cseries,cc); series = Input series cseries = Sorted input series cc = Cumulative frequency Note: CFREQ is a Matrix Command subroutine contained in matrix2.mac. It must be loaded with call load(cfreq); before it is used. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(cfreq); call cfreq(gasout,sgasout,cc); call tabulate(gasout,sgasout,cc); b34srun; See test cases cfreq and quantile in matrix.mac CHAR1 Place a string in a character*1 array. call char1(cc,'text'); Places text in ' ' in a character literal object cc. There is currently no limit on the number of cols of text inside ' '. This text can be placed in an array. For example: call char1(c,'ABCDEFGHI'); cc=array(3,3:c); call print(cc); results in ABC DEF GHI call character( ) can be used in place of call char1. If cc is a character*8 variable of any length, the statement call char1(newc,cc); places cc in newc, a chartacter*1 object. The variable cc can be > 72 characters. If more than two arguments are supplied, a 2D array is created where the length is automatically padded. Advanced options: Note that the B34S matrix command converts any string of length LE 8 to a character*8 object. The command call char1(cc,'a'); places the character a in a 1 element character*1 array since 'a' became a temp with elements 'a ' and the command automatically looked for the actual length. If the alternative setup call char1(cc,'a':1); was used, cc would be a character*1 object with one element. However call char1(cc,'a':2); would create a 2 element character*1 object. If the actual length of the input string is > 8, its actual length is used. Examples of Structured use of character arrays: b34sexec matrix; call character(cc,'1234567890qwertyuiop'); i=integers(7); ccc=cc(i); i=i+3; cccp3=cc(i); call print(cc,ccc,cccp3); * get a large character array; call character(clarge,rtoch(array(1000:))); call names(all); b34srun; b34sexec matrix; call char1(c1,'This is a long string what do you think'); call char1(c2,'This is '); call print(c1,c2); call char1(x ,'This is a long string what do you think' 'so it this ' 'But this is not'); call names(all); call print(c1,c2,x); b34srun; b34sexec matrix; /$ /$ Job shows creating char*8 and char*1 variables /$ and moving data between the variable types /$ call character(cc_3, '012'); call character(cc, '012':3); call character(cc0, '0' :1); call character(cc1, '1' :1); call names(all); call print(cc(2),cc0); if(cc(2).eq.cc0)call print('yes-error'); call print(cc(1),cc0); if(cc(1).eq.cc0)call print('yes-right1'); call print(cc(2),cc0); if(cc(2).ne.cc0)call print('yes-right2'); call print(cc(1),cc1); if(cc(1).ne.cc1)call print('yes-right3'); cc=array(:0.,1.,2.); call print(cc); if(cc(2).eq.0.)call print('yes-error'); if(cc(1).eq.0.)call print('yes-right1'); if(cc(2).ne.0.)call print('yes-right2'); if(cc(1).ne.1.)call print('yes-right3'); b34srun; CHARACTER Place a string in a character*1 array. call character(cc,'text'); Places text in ' ' in a character literal object cc. For detail on this command see the help file for call char1. CHTOHEX Convert a character to a hex value call chtohex(ch,hex); ch = Character*1 character vector of size n hex= character*1 character matrix of size 2*n Extended example b34sexec matrix; /$ Looking at Printable Characters ; i=integers(33,127); call igetchari(i,cc); call names(all); call tabulate(i,cc); call igetichar(cc,iitest); call chtohex(cc,hexcc); /$ Repack character*2 array save as character*1; /$ Next two statments work the same /$ hexcc2= array(norows(hexcc)/2,2:hexcc); hexcc2=c1array(norows(hexcc)/2,2:hexcc); hex1=hexcc2(,1); hex2=hexcc2(,2); call hextoch(hexcc,cctest); xx=transpose(hexcc2); call print(xx,hexcc2); call hextoch(xx,cctest2); call names(all); /$ get hexcc2 in a printable variable; blank=c1array(norows(hex1):); call names(all); c8var=catcol(hex1, hex2,blank,blank, blank, blank,blank,blank); call names(all); /$ call print(c8var); c8var=c8array(norows(c8var):transpose(c8var)); call tabulate(i,cc,iitest,hex1,hex2, cctest,cctest2,c8var); b34srun; CHECKPOINT Save workspace in portable file. call checkpoint; Will save the workspace with a default name. Alternative options can be passed with :keywords. The checkpoint command works the same as the save command except that it automatically uses the :speakeasy option. Keywords supported include: :file - to pass a file name. Default name is 'matrix.psv'. :var - to restrict saving to a list of variables. Do not place , between names. If variable is known at the local and global level, the local copy is saved. This means that formula results, not formulas are saved. If :var is not present, all objects will be saved. :speakeasy - Only pass data, no programs. If this option is used, the save file can be read by the Speakeasy(r) program. The call checkpoint; command automatically assumes this option. As a result real*16 and complex*32 variables are saved as real*8 and complex*16 respectively. If call save; is used, then this conversion is not made. While real*16 and complex*32 variables are preserved, this save file will not work with Speakeasy! :ndigits4 - Sets save format e12.4 :ndigits8 - Sets save format e16.8. :ndigits16 - Sets save format e24.16. This is the default. :ndigits32 - Sets save format e40.32. If real*16 data is to be saved, it is highly recommended that this option be used to preserve accuracy. Examples: call checkpoint(:var x y z); call checkpoint(:var x y z :file 'myrun.psv'); call checkpoint(:file 'myrun.psv'); call checkpoint(:var x y :file 'mygood.psv' ); If you are running with Speakeasy, it is suggested that you use the ending *.psv. The SAVE and RESTORE commands use a subset of the Speakeasy EXPORTALL & IMPORTALL format and are designed to facilitate moving objects from one system to another. Since B34S MATRIX programs, subroutines and functions will not work on Speakeasy, the keyword :speakeasy MUST be used to save into a file that will be read by Speakeasy(r). Since Speakeasy does not at present support real*16 and complex*32, these data types are automatically saved as real*8 and complex*16 respectively. VPA data can not be directly saved in a savefile. However VPA data can be hidden in a real*8 variable so VPA numbers can be saved with checkpoints etc using the command call vpaset(vpa r8 :saveasr8); The variable r8 can be reloaded into a VPA variable with call vpaset(r8 vpa :saveasvpa); The first four elements give kind, nr8, norows, nocols. For related commands see restore and save. CLEARALL Clears all objects from workspace. call clearall; Clears data, programs,subroutines and functions. Use with caution! See related, and safer command, cleardata. CLEARDAT Clears data from workspace. call cleardat; Clears all data. Use with caution. See related, and more dangerous command clearall. CLOSE Close a logical unit. call close(n); Closes unit n. Example: call close(72); CLS Clear screen. call cls; Clears the screen. Alternatives: call cls(arg); arg > 0 => clear row. arg LE 0 => clear window. Examples: call cls(2); clears row 2 in current window. call cls(-1); clears current window. CMAXF1 Constrained maximization of function using zxmwd. The CMAXF1 function provides a quick way to maximize a constrained function using the Quasi-Newton Method. If the functional value is multiplied by -1.0, a minimum can be obtained. A simple setup for a maximum / minimum is: call cmaxf1(func :name test :parms x1 x2 :ivalue rvec :lower lvalues :upper uvalues :print); where func is a scalar computed with the user MATRIX program test and x1 and x2 are parameters. Initial guess values for x1 and x2 are in the real vector rvec. For example the minimum of func = -3.*x2**2. + 4*x1**2 - x2 + 2.*x1; with answers -.2500, .1667 and func = -.3333 where -1. LE x1 LE 0. and 0. LE x2 LE 1. can be found with the commands: b34sexec matrix; program test; func=(-1.0)*((-3.)*x2**2. + 4*x1**2 - x2 + 2.*x1); call outstring(3,3,'Function to be minimized'); call outdouble(36,3,func); return; end; rvec=array(2:-1.2 1.0); ll=array(2:-1.,0.0); uu=array(2:.0 ,1.0 ); call cmaxf1(func :name test :parms x1 x2 :lower ll :upper UU :ivalue rvec :print); b34srun; The function name (func) the program name (test) and the parms are required to be passed. If there is a concern that the function has more than one minimum, the NLSTART command can be used to investigate a larger number of starting values. This feature of CMAXF1 makes it quite valuable. For example: b34sexec matrix; program test; func=-3.*x2**2. + 4*x1**2 - x2 + 2.*x1; return; end; n=2; k=10; a=array(n:-2. 2.); b=array(n:.5 2.); ll=array(2:-1.,0.0); uu=array(2:.0,1.0 ); call nlstart(a,b,k,s); do i=1,k rvec=s(,i); call cmaxf1(func :name test :parms x1 x2 :lower ll :upper UU :ivalue rvec :print); enddo; b34srun; ********************************************************** Required: func - Function name :name pgmname - User program to determine func :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. :lower ll - Vector of lower values for parameters. :upper uu - Vector of upper values for parameters Optional keywords for CMAXF1 are: :print - Print results :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :nsig i - Sets number of digits of accuracy for convergence. Default = 4. :nstart n - Number of starting points. Default = min(2**n+5,100) where n = number of parameters. CMAXF1 automatically creates the following variables. %coef - a vector containing the parameters. %nparm - a vector with coefficient names. %nsig - estimate of # of significant values. %func - final value of function. CMAXF2 Constrained maximization of function using dbconf/g. The CMAXF2 function provides a way to maximize a constrained function using the Quasi-Newton Method. If the functional value is multiplied by -1.0, a minimum can be obtained. CMAX2 uses IMSL routines dbconf & dbcong. A simple setup for a maximum / minimum is: call cmaxf2(func :name test :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); If the gradiant is known the call is call cmaxf2(func grad :name test test2 :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); where func is a scalar computed with the user MATRIX program test and x1 and x2 are parameters. Initial guess values for x1 and x2 are in the real vector rvec. For example the minimum of FUNC = 100.*(x2-x1*x1)**2. + (1.-x1)**2. can be found with the commands: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. +(1.-x1)**2.); return; end; rvec=array(2:-1.2 1.0); ll=array(2:-2.,-1.0); uu=array(2:.5,2.0 ); call cmaxf2(func :name test :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); b34srun; The function name (func) the program name (test) and the parms are required to be passed. If there is a concern that the function has more than one minimum, the NLSTART command can be used to investigate a number of starting values. For example: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; n=2; k=10; a=array(n:-2. 2.); b=array(n:.5 2.); call nlstart(a,b,k,s); do i=1,k rvec=s(,i); call cmaxf2(func :name test :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); enddo; b34srun; Note that in the default mode, the commands for cmaxf1 and cmaxf2 are the same. The cmaxf2 command can optionally pass the name of the gradiant array after the func name and the name of the gradiant subroutine after the function subroutine. The set up for this optional mode is: b34sexec matrix; program test; func=(-1.0)*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); call outstring(3,3,'Function'); call outdouble(36,3,func); call outdouble(4, 4, x1); call outdouble(36,4, x2); return; end; program der; g(1)= (400.0*(x2-x1*x1)*x1) + (2.0*(1.0-x1)); g(2)= -200.0*(x2-x1*x1); return; end; call print(test,der); rvec=array(2:-1.2, 1.0); ll= array(2:-2. ,-1.0); uu= array(2:.5 , 2.0); call echooff; call cmaxf2(func g :name test der :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); b34srun; ******************************************************** Required: func - Function name. Optionally the gradiant variable name can be supplied. :name pgmname - User program to determine func and optionally the program to determine the gradiant. :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. :lower rvec - Vector of lower values for parameters. :upper rvec - Vector of upper values for parameters Optional keywords for CMAXF2 are: :print - Print results. :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :xscale vec - Vector of n elements to scale x. Default = 1.0 :fscale real - Functional scaling. Default = 1.0. :ngood int - Sets number of good digits in the function. :maxit int - Maximum number of iterations. Default = 100. :maxfun int - Maximum number of function evaluations. Default = 400 :maxg int - Maximum number of gradiant evaluations. Default = 400 :gradtol real - Scaled gradiant tolerance. Default = eps**(1/3). :steptol real - Scaled step tolerance. Default = eps**(2/3). :rftol real - Relative functional tolerance. Default = max(1.0d-20,eps**(2/3)). :aftol real - Absolute functional tolerance. Default = max(1.0d-20,eps**(2/3)). :fctol real - False convergence tolerance. Default = 100.*eps. :maxsteps real - Maximum allowable step size. Default = (1000*max(tol1,tol2)) where tol1=sqrt(sum (xscale(i)*ivalue(i))**2) for i=1,n tol2 = 2-norm of XSCALE :ihessian key - where key is 0 to initialize hessian to identity matrix. This is default. If key NE 0, hessian initialized to max(|f(XGUESS|,FSCALE)*XSCALE(i) Warning: If you are not sure how to change a parameter, use the default. CMAXF2 automatically creates the following variables %coef - a vector containing the parameters. %nparm - a vector with coefficient names %se - a vector containing parameter standard errors %t - a vector containing parameter t scores %hessian - hessian matrix %grad - estimate of gradiant at final parameter values %func - final value of function Comments: CMAXF2 uses the IMSL routines dbconf & dbcong which are based the Scittkowski routine NLPQL. Both routines use the quasi-Newton method. The solution is updated according to the BFGS approach. For further references see the IMSL documentation. CMAXF3 Constrained maximization of function using db2pol. The CMAXF3 function provides a way to maximize a function using function comparison. No smoothness is assumed. While this approach is not efficient for smooth problems, it can be useful when the function is not smooth or to get starting values. The CMAXF3 function provides a way to maximize a constrained function using the complex method. Although no SE's are given, this command is useful to obtain starting values. If the functional value is multiplied by -1.0, a minimum can be obtained. A simple setup for a maximum / minimum is: call cmaxf3(func :name test :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); where func is a scalar computed with the user MATRIX program test and x1 and x2 are parameters. Initial guess values for x1 and x2 are in the real vector rvec. For example the minimum of FUNC = 100.*(x2-x1*x1)**2. + (1.-x1)**2. can be found with the commands: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; rvec=array(2:-1.2 1.0); ll=array(2:-2.,-1.0); uu=array(2:.5,2.0 ); call cmaxf3(func :name test :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); b34srun; The function name (func), the program name (test), and the parms are required to be passed. If there is a concern that the function has more than one minimum, the NLSTART command can be used to investigate a number of starting values. For example: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; n=2; k=10; a=array(n:-2. 2.); b=array(n:.5 2.); call nlstart(a,b,k,s); do i=1,k rvec=s(,i); call cmaxf3(func :name test :parms x1 x2 :ivalue rvec :lower ll :upper uu :print); enddo; b34srun; Note that in the default mode, the commands for cmaxf1, cmaxf2 and cmaxf3 are the same. ***************************************************** Required: func - Function name. Optionally the gradiant variable name can be supplied. :name pgmname - User program to determine func and optionally the program to determine the gradiant. :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. :lower rvec - Vector of lower values for parameters. :upper rvec - Vector of upper values for parameters. Optional keywords for CMAXF3 are: :print - Print results. :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :ftol real - Relative functional tolerance. Default =max(1.0d-20,eps**(2/3)). :maxit int - Maximum number of iterations. Default = 100. CMAXF3 automatically creates the following variables %coef - a vector containing the parameters. %nparm - a vector with coefficient names %func - final value of function The iterations proceed until: 1. # of iteratiions is reached. 2. func(best)-func(worst) LE ftol*(1+dabs(f(best)) 3. sum(1,...,(n+1))(f(i)-(sum(f(j))/(n+1))**2 LE ftol Warning: If you are not sure how to change a parameter, use the default. COPY Copy an object to another object call copy((2./4.),half); Works the same as an assingment but allows the target to be calculated real time. call copy(xx,xy); xx a character*1, character*8, real*4, real*8, real*16, VPA, complex*16, complex*32 or integer*4 or integer*8 variable. xy target Note: The statement call copy(x,y(i)); will not work as intended!!! Here y(i) is a temp variable. Example: b34sexec matrix; x=2.; call copy(x,y); call print(y); vpax=vpa(rn(array(5:))); call copy(vpax,vpay); call print(vpax,vpay); i=integers(6); i8=i4toi8(i); call copy(i8,i8copy); call print(i,i8,i8copy); b34srun; Example showing a copy on the fly b34sexec matrix; /; shows passing a name to a routine at execution; /; User wants the name my_x_dat & my_Y_dat for the /; random walk series!! /; These sure look like economic series n=10000; data1= cusum(rn(array(n:))); data2= cusum(rn(array(n:))); subroutine test(data1,data2,name1,name2); call copy(data1,argument(name1)); call copy(data2,argument(name2)); call graph(argument(name1),argument(name2) :Heading 'This Model is Spurious!!' :nokey); call describe(argument(name1),argument(name2)); call olsq(argument(name1),argument(name2) :print); return; end; name1='my_y_dat'; name2='my_x_dat'; call test(data1,data2,name1,name2); b34srun; COMPRESS Compress workspace. call compress; To compress workspace. If call names(all); is given before and after this command, space compression can be observed. This command is usually never needed unless there are substaintal calculations being made. The variant n=100; call compress(n); will compress every 100 calls. call compress(:off); turns off compression even if call compress; or call compress(n); are found. call compress(:on); will turn on compression. call compress(:info); will provide information of settings. This command is useful for software developers. Note: The command call compress; will be ignored if it is used in a program, function or subroutine that is called as part of a nonlinear estimation command such as NLLLSQ, CMAX2 etc. The reason for this restriction is to avoid the possibility of data movement that is not known to the calling command. If memory management is needed in this case, use the solvefree command. The compress command will also be ignored if it is called from a function or from a subroutine that has been called by a user function. Example: /$ Illustrates call compress inside a LOOP /$ /$ Job # 1 runs saving space /$ /$ Note difference in space use /$ b34sexec matrix; call echooff; subroutine doit(n); x=rn(matrix(n,n:)); c=inv(x); return; end; count=1.; top continue; call compress; call doit(100); count=count+1.0; if(count.le.100.)go to top; b34srun; /$ /$ Job # 2 has call compress turned off /$ b34sexec matrix; call echooff; subroutine doit(n); x=rn(matrix(n,n:)); c=inv(x); return; end; count=1.; top continue; /$ call compress; call doit(100); count=count+1.0; if(count.le.100.)go to top; b34srun; CONSTRAIN Subset data based on range of values. call constrain(x,y,z:var z :lower .1 upper 10.); Returns x, y and z values where z is in the range .1 to 10. If upper is not supplied it defaults to 1.0d+32. If lower is not supplied it defaults to -1.0d+32. Meld and constrain can be used to look at planes of more than 2d objects. H. H. Stokes is in debt to Stan Cohen the developer of Speakeasy for the idea for meld and constrain. Meld in b34s works like the simular command in Speakeasy. Constrain in Speakeasy allows multiple input testing. The variable tested in constrain must be real*8. If :lower and :upper are missing :var checks z against missing. A variable not tested against can be real*8, char*8 or integer. Constrain does not work for real*16 data at this time. Test Problem: b34sexec matrix; i=array(:1. 2. 3.); j=array(:4.,5.,6.); k=array(:7.,8.,9.); call tabulate(i,j,k); call meld(i,j,k); f=i**2.+j**2.+k**2.; call tabulate(i,j,k,f); call constrain(i,j,k,f:var i :lower 2.); call tabulate(i,j,k,f); call constrain(i,j,k,f:var k :upper 8.); call tabulate(i,j,k,f); b34srun; CONTRACT Contract an array call contract(old,ibegin,iend) Will contact a character*1 array. old = Character*1 string. ibegin = Integer pointer to a substring iend = Integer pointer to end of a substring old will be changed to have elements ibegin-iend removed. Example: b34sexec matrix; call character(cc,'This is a test'); call print(cc); call ilocatestr(cc,'is',istart,iend); call contract(cc,newcc,istart,iend); call print(newcc); b34srun; b34sexec matrix; call character(cc,'This is a test'); call print(cc); call ilocatestr(cc,istart,iend); i=integers(istart,iend); subs=cc(i); call print(subs); call contract(cc,istart,iend); oldnewcc=cc; call print(cc); call character(new,'aaaissaa'); call expand(cc,new,1,8); call print(oldnewcc,cc); b34srun; COPYLOG Copy file to log file. call copylog('file') Copies a file to log unit. By use of call system, call copyout and call copylog, external programs such as RATS can be called inside a MATRIX command do loop to further process data. COPYOUT Copy file to output file. call copyout('file') Copies a file to output unit. By use of call system, call copyout and call copylog external programs such as RATS can be called inside a MATRIX command do loop to further process data. COPYF Copy a file from one unit to another call copyf(in,iout); Copies a file from, unit in to unit iout. Units in and iout must have been allocated. Units are not closed. Example: call copyf(4,77); Application calling Matlab /$ Running Matlab script under B34S Matrix /$ Datacards allows saving of a Matlab script. b34sexex options; b34srun; b34sexec matrix; datacards; x=rand(6) xi=inv(x); x*xi yy=[1 2 3 2 1] plot(yy) pause quit b34sreturn; call open(77,'test.m'); call rewind(77); call copyf(4,77); call system( 'start /w matlab /r test /logfile test.out':); call copyout('test.out'); b34srun; Discussion: The cards after "datacards;" and before "b34sreturn;" are matlab commands that are copied from unit 4, the default parmcards unit, to unit 77. CSPECTRAL Do cross spectral analysis. call cspectral( ); Does spectral analysis on two series. The command: call cspectral(x,y,sinx,siny,cosx,cosy, px,py,sx,sy,rp,ip,cs,qs,a,k,ph,freq :weights); calculates: sinx - sine transform for x siny - sine transform for y cosx - cosine transform for x cosy - cosine transform for y px - Periodogram for x py - Periodogram for y sx - Spectrum for x sy - Spectrum for y rp - real part of cross periodogram. ip - imag. part of cross periodogram. cs - cross spectrum qs - quadra spectrum a - amplitude k - coherience ph - phase freq - frequency The CSPECTRAL command has 18 arguments or 19 arguments depending on whether weights are supplied. For one series, see spectral command. CSUB Call Subroutine call csub('NAME', arguments :options) Options :lengthargs intarray( ) :list lists all supported routines Comment: The routine is for the expert user with access to subroutine argument lists. A branch will be made to b34smatcsubc in sourc16.f. This routine can someday be used for a DLL branch. This feature is not implemented at this time. The design of tyhis routine may change substantially in the future. COINT2 Cointegration Tests of Two Series call coint2( ); Does cointegration tests on two series. call coint2(x,y,xname,yname,dfx,dfy,adfx,adfy, lagx,lagy,speedx,speedy,tspeedx,tspeedy, dfx2,dfy2,adfx2,adfy2,dflag, resid0,resid1,resid2,iprint); Tests for Cointegration using Engle Procedure and two series. COINT2 is a subroutine and must be loaded with call load(coint2); Arguments x = first series y = second series xname = name of first series set with call character(xname,' ') yname = name of second series set with call character(yname,' ') dfx = Unit root test for x dfy = Unit root test for y adfx = Augmented DF test for x for lag=dflag adfy = Augmented DF test for y for lag=dflag lagx = Number of lags of x lagy = Number of lags of y speedx = Speed of adjustment of x speedy = Speed of adjustment of y tspeedx= t stat of speedx tspeedy= t stat of speedy dfx2 = Unit root test for x RES dfy2 = Unit root test for y RES adfx2 = Augmented DF test for x RES for lag=dflag adfy2 = Augmented DF test for y RES for lag=dflag dflag = Lag of DF test resid0 = Residual for Cointegrating Eq resid1 = Residual for Equation 1 resid2 = Residual for Equation 2 iprint = 0 no print, = 1 print For a discussion of the analysis see Enders (1995,365-373). Test Case: COINT2 Example: b34sexec options ginclude('b34sdata.mac') macro(coint6); b34srun; b34sexec matrix; call loaddata; call load(coint2); /$ call print(coint2); call character(xname,'Enders y Series'); call character(yname,'Enders z Series'); call echooff; lagx=1; lagy=1; dflag=4; call coint2(y,z,xname,yname,dfx,dfy, adfx,adfy,lagx,lagy,speedx,speedy,tspeedx,tspeedy, dfx2,dfy2,adfx2,adfy2,dflag,resid0,resid1,resid2,1); call print(speedx,speedy,tspeedx,tspeedy); b34srun; COINT2LM Cointegration Tests of Two Series, OLS, L1, MM call coint2LM(x,y,xname,yname,dfx,dfy,adfx,adfy, lagx,lagy,speedx,speedy,tspeedx,tspeedy, l1speedx,l1speedy,mmspeedx,mmspeedy dfx2,dfy2,adfx2,adfy2,dflag, resid0,resid1,resid2,iprint); Tests for Cointegration using Engle Procedure and two series. Gives OLS, L1 and Minimax COINT2LM is a subroutine and must be loaded with call load(coint2lm); x = first series y = second series xname = name of first series set with call character(xname,' ') yname = name of second series set with call character(yname,' ') dfx = Unit root test for x dfy = Unit root test for y adfx = Augmented DF test for x for lag=dflag adfy = Augmented DF test for y for lag=dflag lagx = Number of lags of x lagy = Number of lags of y speedx = Speed of adjustment of x speedy = Speed of adjustment of y tspeedx= t stat of speedx tspeedy= t stat of speedy L1speedx= Speed of Adjustment of x L1 estimator L1speedy= Speed of Adjustment of y L1 estimator mmspeedx= Speed of Adjustment of x Minimax estimator mmspeedx= Speed of Adjustment of y Minimax estimator dfx2 = Unit root test for x RES dfy2 = Unit root test for y RES adfx2 = Augmented DF test for x RES for lag=dflag adfy2 = Augmented DF test for y RES for lag=dflag dflag = Lag of DF test resid0 = Residual for Cointegrating Eq resid1 = Residual for Equation 1 resid2 = Residual for Equation 2 iprint = 0 no print, = 1 print Test case COINT2LM Example: b34sexec options ginclude('b34sdata.mac') macro(coint6); b34srun; b34sexec matrix cbuffer=100000; call loaddata; call load(coint2LM); call print(coint2LM); call character(xname,'Enders y Series'); call character(yname,'Enders z Series'); call echooff; lagx=1; lagy=1; dflag=4; call coint2LM(y,z,xname,yname,dfx,dfy, adfx,adfy,lagx,lagy,speedx,speedy,tspeedx,tspeedy, l1speedx,l1speedy,mmspeedx,mmspeedy, dfx2,dfy2,adfx2,adfy2,dflag,resid0,resid1,resid2,1); call print(speedx,speedy, tspeedx, tspeedy, l1speedx,l1speedy,mmspeedx,mmspeedy); b34srun; COINT2M Moving Cointegration of Two Series call coint2m(x,y,xname,yname,number,lagx,lagy, speedx,speedy,tspeedx,tspeedy); Routine to drive coint2 using windows of data COINT2M is a subroutine and must be loaded with call load(coint2m); x = Input series # 1 y = Input series # 2 xname = Name of x series yname = Name of y series number = Number of observations in moving model lagx = Number of lags of X lagy = Number of lags of y speedx = Moving Error correction coefficient for x speedy = Moving Error correction coefficient for y tspeedx = t Stat of speedx tspeedy = t stat of speedy Test Case: COINT2M Example: b34sexec options ginclude('b34sdata.mac') macro(coint6); b34srun; b34sexec matrix; call loaddata; call load(coint2); call load(coint2m); call print(coint2,coint2m); call character(xname,'Enders y Series'); call character(yname,'Enders z Series'); call echooff; number=60; lagx=1; lagy=1; call coint2m(y,z,xname,yname,number,lagx,lagy, speedx,speedy,tspeedx,tspeedy); call graph(speedx,tspeedx :heading 'Enders Y Series Moving Error Correction'); call graph(speedy,tspeedy :heading 'Enders Z Series Moving Error Correction'); call tabulate(speedx,speedy,tspeedx,tspeedy); b34srun; COINT2ME Moving Cointegration of Two Series - Extended Version call coint2me(x,y,xname,yname,number,lagx,lagy, speedx,speedy,dfx,dfy,adfx,adfy,dfres1,dfres2, adfres1,adfres2,dflag); Routine to drive coint2 using windows of data. COINT2ME is a subroutine and must be loaded with call load(coint2me); Uses expanded Arg list x = Input series # 1 y = Input series # 2 xname = Name of x series yname = Name of y series number = Number of observations in moving model lagx = Number of lags of X lagy = Number of lags of y speedx = Moving Error correction coefficient for x speedy = Moving Error correction coefficient for y tspeedx = t-Stat for speedx tspeedy = t-stat for speedy dfx = Dickey Fuller Test on Raw Data Series x dfy = Dickey Fuller Test on Raw Data Series y adfx = Augmented Dickey Fuller Test Raw Data Series x lag=dflag adfy = Augmented Dickey Fuller Test Raw Data Series y lag=dflag dfres1 = Dickey Fuller Test on RES1 Data Series dfres2 = Dickey Fuller Test on RES1 Data Series adfres1 = Augmented Dickey Fuller Test RES1 Data Series lag=dflag adfres2 = Augmented Dickey Fuller Test RES2 Data Series lag=dflag dflag = Lags for augmented DF test Test Case COINT2ME Example: b34sexec options ginclude('b34sdata.mac') macro(coint6); b34srun; b34sexec matrix; call loaddata; call load(coint2); call load(coint2me); call print(coint2,coint2me); call character(xname,'Enders y Series'); call character(yname,'Enders z Series'); call echooff; number=60; lagx=1; lagy=1; dflag=4; /$ Shows simple call /$ call coint2m(y,z,xname,yname,number,lagx,lagy,speedx, /$ speedy,tspeedx,tspeedy); /$ call coint2me(y,z,xname,yname,number,lagx,lagy,speedx, speedy,tspeedx,tspeedy,dfx,dfy,adfx,adfy,dfres1, dfres2,adfres1,adfres2,dflag); call graph(speedx,tspeedx :heading 'Enders Y Series Moving Error Correction'); call graph(speedy,tspeedy :heading 'Enders Z Series Moving Error Correction'); call graph(dfx,dfy,speedx,speedy); call graph( speedx,speedy,tspeedx,tspeedy); call tabulate(speedx,speedy,tspeedx,tspeedy,dfx,dfy, dfres1,dfres2); call tabulate(speedx,speedy,tspeedx,tspeedy,adfx,adfy, adfres1,adfres2); b34srun; COINT2M2 Moving Cointegration Two Series OLS, L1 Minimax call coint2m2(x,y,xname,yname,number,lagx,lagy, speedx,speedy,tspeedx,tspeedy,l1speedx,l1speedy, mmspeedx,mmspeedy,dfx,dfy,adfx,adfy,dfres1,dfres2, adfres1,adfres2,dflag); Routine to drive coint2 using windows of data. Uses expanded Arg list. OLS, L1 and Minimax Estimates COINT2M2 is a subroutine and must be loaded with call load(coint2m2); x = Input series # 1 y = Input series # 2 xname = Name of x series yname = Name of y series number = Number of observations in moving model lagx = Number of lags of X lagy = Number of lags of y speedx = Moving Error correction coefficient for x speedy = Moving Error correction coefficient for y tspeedx = t-Stat for speedx tspeedy = t-stat for speedy l1speedx= Moving Error correction L1 coefficient for x l1speedy= Moving Error correction L1 coefficient for y mmspeedx= Moving Error correction Minimax coefficient for x mmspeedy= Moving Error correction Minimax coefficient for y dfx = Dickey Fuller Test on Raw Data Series x dfy = Dickey Fuller Test on Raw Data Series y adfx = Augmented Dickey Fuller Test Raw Data Series x lag=dflag adfy = Augmented Dickey Fuller Test Raw Data Series y lag=dflag dfres1 = Dickey Fuller Test on RES1 Data Series dfres2 = Dickey Fuller Test on RES1 Data Series adfres1 = Augmented Dickey Fuller Test RES1 Data Series lag=dflag adfres2 = Augmented Dickey Fuller Test RES2 Data Series lag=dflag dflag = Lags for augmented DF test test Case COINT2M2 Example: b34sexec options ginclude('b34sdata.mac') macro(coint6); b34srun; b34sexec matrix cbuffer=100000; call loaddata; call load(coint2lm); call load(coint2m2); call print(coint2lm,coint2m2); call character(xname,'Enders y Series'); call character(yname,'Enders z Series'); call echooff; number=60; lagx=1; lagy=1; dflag=4; /$ Shows simple call /$ call coint2m(y,z,xname,yname,number,lagx,lagy,speedx, /$ speedy,tspeedx,tspeedy); /$ call coint2m2(y,z,xname,yname,number,lagx,lagy,speedx, speedy,tspeedx,tspeedy,l1speedx,l1speedy, mmspeedx,mmspeedy,dfx,dfy,adfx,adfy,dfres1, dfres2,adfres1,adfres2,dflag); call graph(speedx,tspeedx :nokey :heading 'Enders Y Series Moving Error Correction'); call graph(speedy,tspeedy :nokey :heading 'Enders Z Series Moving Error Correction'); call graph(speedx,l1speedx,mmspeedx :nokey :heading 'Enders Z Series Moving Error Correction'); call graph(speedy,l1speedy,mmspeedy :nokey :heading 'Enders Z Series Moving Error Correction'); call graph(dfx,dfy,speedx,speedy :nokey); call graph( speedx,speedy,tspeedx,tspeedy :nokey); call tabulate(speedx,speedy,tspeedx,tspeedy,dfx,dfy, dfres1,dfres2); call tabulate(speedx,speedy,tspeedx,tspeedy,adfx,adfy, adfres1,adfres2); call tabulate(speedx,l1speedx,mmspeedx,speedy, l1speedy,mmspeedy); b34srun; COINT3 Moving Cointegration of Three Series call coint3(x,y,z,xname,yname,zname,dfx,dfy,dfz, adfx,adfy,adfz,lagx,lagy,lagz,speedx,speedy, speedz,tspeedx,tspeedy,tspeedz,dfx2,dfy2,dfz2, adfx2,adfy2,adfz2,dflag,resid0,resid1,resid2, resid3,iprint); Tests for Cointegration using Engle Procedure and three series COINT3 is a subroutine and must be loaded with call load(coint3); x = first series y = second series z = third series xname = name of first series set with call character(xname,' ') yname = name of second series set with call character(yname,' ') zname = name of third series set with call character(zname,' ') dfx = Unit root test for x dfy = Unit root test for y dfz = Unit root test for z adfx = Augmented DF test for x lag=dflag adfy = Augmented DF test for y lag=dflag adfz = Augmented DF test for z lag=dflag lagx = Number of lags of x lagy = Number of lags of y lagz = Number of lags of z speedx = Speed of adjustment of x speedy = Speed of adjustment of y speedz = Speed of adjustment of z tspeedx = t of Speed of adjustment of x tspeedy = t of Speed of adjustment of y tspeedz = t of Speed of adjustment of z dfx2 = Unit root test for x RES dfy2 = Unit root test for y RES dfy2 = Unit root test for y RES adfx2 = Augmented DF test for x RES lag=dflag adfy2 = Augmented DF test for y RES lag=dflag adfz2 = Augmented DF test for z RES lag=dflag dflag = Sets lag on DF test resid0 = Residual for Cointegrating Eq resid1 = Residual for Equation 1 resid2 = Residual for Equation 2 resid3 = Residual for Equation 3 iprint = 0 no print, = 1 print Test Case: COINT3 Example: b34sexec options ginclude('b34sdata.mac') macro(coint6); b34srun; b34sexec matrix; call loaddata; call load(coint3); call print(coint3); call character(xname,'Enders w Series'); call character(yname,'Enders y Series'); call character(zname,'Enders z Series'); call echooff; lagx=1; lagy=1; lagz=1; dflag=4; call coint3(w,y,z,xname,yname,zname,dfx,dfy,dfz, adfx,adfy,adfz,lagx,lagy,lagz,speedx,speedy,speedz, tspeedx,tspeedy,tspeedz,dfx2,dfy2,dfz2,adfx2,adfy2, adfz2,dflag,resid0,resid1,resid2,resid3,1); call print(speedx,speedy,speedz); call print(tspeedx,tspeedy,tspeedz); b34srun; COINT3ME Moving Cointegration of Three Series call coint3me(x,y,z,xname,yname,zname,number, lagx,lagy,lagz,speedx,speedy,speedz, tspeedx,tspeedy,tspeedz,dfx,dfy,dfz,adfx, adfy,adfz,dfres1,dfres2,dfres3,adfres1, adfres2,adfres3,dflag); Routine to drive coint2 using windows of data. Uses expanded Arg list. COINT3ME is a subroutine and must be loaded with call load(coint3me); x = Input series # 1 y = Input series # 2 z = Input series # 3 xname = Name of x series yname = Name of y series zname = Name of z series number = Number of observations in moving model lagx = Number of lags of X lagy = Number of lags of y speedx = Moving Error correction coefficient for x speedy = Moving Error correction coefficient for y speedz = Moving Error correction coefficient for z tspeedx = t-Stat for speedx tspeedy = t-stat for speedy tspeedz = t-stat for speedz dfx = Dickey Fuller Test on Raw Data Series x dfy = Dickey Fuller Test on Raw Data Series y dfz = Dickey Fuller Test on Raw Data Series z adfx = Augmented Dickey Fuller Test Raw Data Series x lag=dflag adfy = Augmented Dickey Fuller Test Raw Data Series y lag=dflag dfres1 = Dickey Fuller Test on RES1 Data Series dfres2 = Dickey Fuller Test on RES2 Data Series dfres3 = Dickey Fuller Test on RES3 Data Series adfres1 = Augmented Dickey Fuller Test RES1 Data Series lag=dflag adfres2 = Augmented Dickey Fuller Test RES2 Data Series lag=dflag adfres3 = Augmented Dickey Fuller Test RES3 Data Series lag=dflag dflag = Lags for augmented DF test Test case: COINT3ME Example: b34sexec options ginclude('b34sdata.mac') macro(coint6); b34srun; b34sexec matrix; call loaddata; call load(coint3); call load(coint3me); call print(coint3,coint3me); call character(xname,'Enders y Series'); call character(yname,'Enders z Series'); call character(zname,'Enders w Series'); call echooff; number=60; lagx=1; lagy=1; lagz=1; dflag=4; call coint3me(y,z,w,xname,yname,zname,number, lagx,lagy,lagz,speedx,speedy,speedz, tspeedx,tspeedy,tspeedz, dfx,dfy,dfz,adfx,adfy,adfz, dfres1,dfres2,dfres3, adfres1,adfres2,adfres3,dflag); call graph(speedx,tspeedx :heading 'Enders Y Series Moving Error Correction'); call graph(speedy,tspeedy :heading 'Enders Z Series Moving Error Correction'); call graph(speedz,tspeedz :heading 'Enders w series Moving Error Correction'); call tabulate(speedx,speedy,speedz, tspeedx,tspeedy,tspeedz); b34srun; CSV Read and Write a CVS file call csv(:readfile 'mycsv.csv' ); call csv(:readfile 'mycsv.csv' :nonames); call csv(:readfile 'mycsv.csv' :var x); call csv(:readfile 'mycsv.csv' :var x); call csv(:writefile 'mycsv.csv' :var x1 x2 x3); Reads and writes csv files. Real*8 or character*8 data may be supplied. A row of names must proceed the data. Comments can be supplied before the names row. Options, some of which may be required. :readfile 'filename Supplies a file name of a csvfile and opens for indicated action. :writefile 'filename' Supplies a file name of a csvfile and opens for indicated action. :nodatestamp Will not put a datestamp comment in file if there is a :writefile. :comment Supply a comment file of 1-80 charactacters. :var If a :writefile then :var is required to supply variable names. Up to 255 can be supplied. If a matrix is supplied, then only one variable name is allowed. :nsmissing Sets missing to N/S for real data for a write. :missing Sets missing to blank for a write for real data. :add Will add data at the end of the CSV file. The file cannot be read back into B34S at this time but can be read into Excel but not with 100% reliability since all data is seen as just cells. The :add option allows the matrix command to "dump" results into one file that can be read into Excel for further copying into Word etc. Note that if :add is supplied the file must exist and be of the csv type. Use :add with caution. Variables created: %series created if :readfile is supplied Example of loading data into the matrix command and graphing. b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; people=c8array(:'houston','diana','will','bobby'); ii=dfloat(integers(10)); call csv(:writefile 'mycsv.csv' :comment 'This is a test' :var gasout gasin people ii); x=rn(matrix(10,5:)); call echooff; do i=1,nocols(x); call print(i,mean(x(,i))); enddo; /; call print(x); call csv(:writefile 'mycsv2.csv' :comment 'This is a test matrix' :var x ); call cleardat; call names; call csv(:readfile 'mycsv.csv'); call names; call print(%series); n= norows(%series); call tabulate(gasout,gasin,people,ii); call print(mean(gasout),mean(gasin)); do i=1,n; if(kind(eval(%series(i))).eq.8)then; g=goodrow(eval(%series(i))); call copy(g,argument(%series(i))); call print(' ':); call describe( eval(%series(i):)); call graph( eval(%series(i):)); endif; enddo; /; reading matrix call cleardat; call names; call csv(:readfile 'mycsv2.csv'); call names; /; Tests with alternative file saving of missing data x=rn(array(5:)); y=rn(array(10:)); call csv(:writefile 'mycsv3.csv' :var x y :nsmissing ); call csv(:writefile 'mycsv4.csv' :var x y :missing ); call cleardat; call csv(:readfile 'mycsv3.csv' ); call tabulate(X,Y); call cleardat; call csv(:readfile 'mycsv4.csv' ); call tabulate(X,Y); b34srun; Examples of reading into a b34s data set. Max of 98 serries. b34sexec matrix; call csv(:readfile 'mycsv2.csv'); n=norows(%series); /; space between names c=c8array(n*2:); i=integers(1,n); j=integers(1,2*n,2); c(j)=%series(i); call makedata(argument(c) :file 'new.b34'); b34srun; b34sexec options include('new.b34'); b34srun; Alternate makedata. call makedata(%series :file 'new.b34' :add :member(tt)); Example of a *.csv file File built 20/ 4/05 at 19:50:26 by b34s,,,, Real*8 and character*8 data loaded,,,,, Missing data in last line,,,,, a,b,c,d,e,names 1,4,6,1,2,Houston 2,5,7,1,2,Bobby 3,6,8,1,2,Diana 4,7,9,,2,Will DATA_ACF - Calculate ACF and PACF Plots subroutine data_acf(x,heading1,nacf); /$ /$ Display series and ACF /$ /$ x = Series to display /$ heading = Heading for series /$ nacf = Number of ACF and PACF /$ /$ Note: Can be called alone or under dataview /$ /$ *********************************************** /$ Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(data_acf); call character(cc,'ACF & PACF of GASOUT'); call data_acf(gasout,cc,60); b34srun; DATAFREQ - Data Frequency Calculate Data Frequencies for various options call datafreq(x,table :options); Required: x - series (must be real*8). table - Frequency count :key - must be set either equal, equaluser, usercutoff, userclass :equal k midpts => k equal intervals whose midpoints are in midpts where data sets xlow and xhigh. :equaluser k midpts xlow xhigh => k equal intervals whose midpoints are in midpts but xlow and xhigh are used. :usercutoff cutpts => k counts in table where there are k-1 cut points supplied :userclass classmk clhw => Class marks are input in classmk and class half width in clhw. Example: b34sexec matrix; * IMSL test cases for one-way Frequency analysis; x=array(:0.77, 1.74, 0.81, 1.20, 1.95, 1.20, 0.47, 1.43, 3.37, 2.20, 3.00, 3.09, 1.51, 2.10, 0.52, 1.62, 1.31, 0.32, 0.59, 0.81, 2.81, 1.87, 1.18, 1.35, 4.75, 2.48, 0.96, 1.89, 0.90, 2.05); call datafreq(x,table1 :equal 10 midpts1); call tabulate(table1,midpts1); xlow=.5; xhigh=4.5; call datafreq(x,table2 :equaluser 10 midpts2 xlow xhigh); call names(all); call tabulate(table2,midpts2); cutpts=array(:.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5); call datafreq(x,table3 :usercutoff cutpts); call tabulate(table3,cutpts); classmk=array(:.25 .75 1.25 1.75 2.25 2.75 3.25 3.75 4.25 4.75); clhw=.25; call datafreq(x,table4 :userclass classmk clhw); call tabulate(table4,classmk); b34srun; DATAVIEW View a Series Under Menu Control subroutine dataview(x,'xname'); /$ /$ Views data series x under User Control /$ x => series /$ xname => x series name /$ Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(dataview); call dataview(gasout,namelist(gasout)); b34srun; DES - Code / decode. This command should be regarded as experimental. call des(ch1,ch2,key,task); ch1 - in text. Must be character*8 or Character*1 of up to 16 characters. ch2 - out text key - up to 16 characters task - = 0 => code = 1 => decode Text must be in hex form. See chtohex and hextoch. b34sexec matrix; /$ 12345678901234567890123456789012 call character(line1, 'This is a test of the system '); call character(line2, 'This is line # 2 of code test'); call chtohex(line1,hexline1); call chtohex(line2,hexline2); call print(hexline1,hexline2); hexline1=c1array(4,16:hexline1); hexline2=c1array(4,16:hexline2); call print(hexline1,hexline2); in=catrow(hexline1,hexline2); call print(in); call character(key,'0101010101010101'); out=c1array(norows(in)*2,nocols(in):); in=transpose(in); do i=1,nocols(in); call des(in(,i),work ,key,0); out(,i)=work; enddo; call print(out); test=c1array(nocols(in),norows(in):); do i=1,nocols(in); call des(out(,i),work,key,1); call hextoch(work,work2); call print(work2); test(i,)=work2; enddo; call names(all); call print(test); i=integers(1,nocols(test)/2); newtest=test(,i); call print(c1array(norows(newtest)* nocols(newtest):transpose(newtest))); b34srun; Test cases in DES. DESCRIBE Calculate Moment 1-4 and 6 of a series call describe(x); call describe(x :print); Variables created are: %mean = mean %sd = small sample SD %sk = skewness %c4 = kurtosis %c6 = 6-th order cumulant %max = maximum %min = minimum %median = median %q1 = First Quartile %q3 = Third Quartile %jb_test = Jarque-Bera (1987) Normality test %jb_prob = Probability of Jarque-Bera Test %sk_adj = Adjusted Skewness %c4_adj = Adjusted Kurtosis %sk_z = z value for Skewness %sk_prob = Probability of accepting Skewness %c4_z = z value for Kurtosis %sk_prob = Probability of accepting Kurtosis Note: If missing data is found, the command returns. %sd = sqrt(sum(x(i)**2)/(n-1) - sum(x)**2) %sk = sum((x(i)-mean(x))**3.)/(N*sd**3.) %c4 = sum((x(i)-mean(x))**4.)/(N*sd**4.)-3.0 %c6 = sum((x(i)-mean(x))**6.)=15.0*%c4 -10*%sk*%sk-15. %sk_adj = ((n**2)/((n-1)*(n-2))*(m3/s**3) ((n+1)*m4 -3.(N-1)*m2*m2)/s**4 %c4_adj = ((n**2)/((n-1)*(n-2)*(n-3))* ((n+1)*m4 -3.(N-1)*m2*m2)/s**4 %jb_test = N*( ((%sk_adj*%sk_adj)/6.) + ((%c4_adj*%c4_adj)/24.)) %jb_prob = Chisq probability with DF = 2 of %jb_test %sk_z = %sk_adj*sqrt(((n-1)*(n-2))/(6*n)) %c4_z = %c4_adj*sqrt(((n-1)*(n-2)*(n-3))/ (24*n*(n+1)) Note: %sk_adj and %c4_adj and %jb_test are the same as Rats and are based on formulas from Kendall & Stuart (1958) This command works for real*8 data. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; x=rn(array(1000:)); call describe(x :print); call describe(gasin :print); call describe(gasout :print); b34srun; DUD Derivative Free Nonlinear Estimation call dud(xvar,yvar,beta,r,f,sse,seb,covb,corrb, iprint,iout); Routine based on SAS nonlinear routine dud in technical report a-102 page 8-9. Routine was implemented in Speakeasy April 1987 and in the B34S Matrix language June 1998. DUD provides derivative free nonlinear estimation. Its use is to study nonlinear estimation. For production use see NLLSQ and NL2SOL which are faster. DUD needs user subroutine resid. xvar = matrix of x variables - input yvar = left hand side variable vector - input beta = vector of initial guess on coefficients - input/output r = residual vector - output f = predicted variable vector - output sse = sum of squared residuals (sumsq(r)) - output seb = se's of the beta coefficients - output covb = covariance matrix of beta coefficients - output corrb = correlation matrix of beta coefficients - output iprint= 0 for no iteration print, =1 for iteration print - input iout = 0 for no output printing, =1 output will be given Test Cases: NLLS1, NLLS2, NLLS3 Example from NLLS1 b34sexec matrix cbuffer=10000; call echooff; call load(dud); call load(marq); program prob1; /$ /$ test marquardt method of nonlinear estimation /$ calls marquardt subroutine marq /$ user supplied resid and deriv /$ /$ imar=0 marquardt , =1 = dud /$ call message( 'enter=> deriv. method, Cancel=> deriv. free method', 'Estimation Options', itest); imar=0; if(itest.eq.23)imar=1; /$ get data call uspopdat; /$ initial values call free(deriv,resid,beta,r); resid=resid1 ; deriv=deriv1 ; /$ /$ rename routines on the fly /$ call subrename(resid); call subrename(deriv); call makeglobal(resid,deriv) ; beta(1)=3.9 ; beta(2)=.022 ; beta=vfam(beta) ; year=mfam(year) ; pop=mfam(pop) ; lamda=.1e-8 ; iprint=0 ; iout=1 ; /$call print('IMAR',imar); if(imar .eq. 0) call marq(year,pop,beta,r,f,sse,seb,covb,corrb, lamda,iprint,iout); if(imar .eq. 1) call dud(year,pop,beta,r,f,sse,seb,covb,corrb, iprint,iout); return; end; subroutine resid1(beta,f,r,sse,xvar,yvar); /$ /$ user supplied routine with model /$ sas tech report a-102 page 8-7 /$ f=vfam(beta(1)* exp(beta(2)*afam(xvar-1790.))); r=yvar-f; sse=sumsq(r); return ; end ; subroutine deriv1(der,f,beta,xvar); /$ /$ user routine to calculate derivatives /$ der=matrix(norows(f),norows(beta):); der(,1)=vfam(afam(f)/beta(1)); der(,2)=vfam(afam(xvar-1790.)*afam(f)); return; end; program uspopdat; /$ data from sas technical report page 9-2 year=dfloat(integers(179,197)); year=year*10. ; pop=array(:3.929 5.308 7.239 9.638 12.866 17.069 23.191 31.443 39.818 50.155 62.947 75.994 91.972 105.710 122.775 131.669 151.325 179.323 203.211 ); call tabulate(year pop); return; end; call print(prob1,resid1,deriv1); call prob1; b34srun; DELETECOL Delete a column from a matrix or array. call deletecol(x,jbegin); Deletes column of x at jbegin. The code for deleting more than one col is call deletecol(x,jbegin,number); The command call deletecol(x); deletes the last column. Note that jbegin and number are integer*4. DELETEROW Delete a row from a matrix or array. call deleterow(X,ibegin); Deletes row at ibegin. The code for deleting more than one row is: call deleterow(x,ibegin,number); The command call deleterow(x); deletes the last row. Note that ibegin and number are integer*4. DF Calculate Dickey-Fuller Unit Root Test. call df(x,d); Returns Dickey-Fuller Unit Root Test. x => Series to test d => DF test Added options: :adf n => augmented DF test :adft n => augmented DF with trend :zform => uses z-form of test :print => Print value and significance Table options. x can contain more than one element. :table n => Generates prob value d for DF value x using "no constant assumption." :table2 n => Generates prob value d for DF value x using "constant assumption.". :table4 n => Generates table value d for DF value x using "constant plus trend." assumption. Automatic Variable Created %DFPROB - Probability of DF test. .05 => Cannot reject unit root at 95% .10 => Cannot reject unit root at 90% Discussion: The .05 critical value for N=100 is -1.95. This suggests that if the value found was -2.0 (-1.95) we could reject (could not reject) a unit root at the 95% level. The .10 critical value is -1.61. Using this standard we can reject a unit root. The related command PP tests for a unit root using the Phillips Perron test. Notes: The DF and PP commands have a "table look up" routine that will return the Dickey Fuller values. The matrix.mac file DF1 uses Monti Carlo Methods to approximate this table if the x value passed is not .01, .025 .05 .10 .90 .95 .975 .99 Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call echooff; call print('Dickey Fuller Tests on Gasout'); call df(gasout,d :print); n=30; adf=array(n+1:); adft=array(n+1:); lag=array(n+1:); do i=0,n; call df(gasout,a1:adf i); call df(gasout,a2:adft i); j=i+1; adf(j)=a1; adft(j)=a2; lag(j)=dfloat(i); enddo; call print('Dickey-Fuller test',d); call tabulate(lag,adf,adft); b34srun; DF_GLS Elliot, Rothenberg-Stock DF_GLS Test call DF_GLS(x,lag1,notrend, trend, notrendx,trendx,iprint); Implements the Elliott-Rothenberg-Stock (1996) unit root test documented in "Efficient Tests for an Autoregressive Root" Econometrica 64(4): 813-836. See also "Introduction to Econometrics," By James Stock and Mark Watson, Addison Wesley New York 2003 page 549-550 x = series to test lag1 = Lag for DF part of test. Must be GE 1 notrend = > no trend test statistic trend = > trend test statistic notrendx = x smoothed without a trend trendx = x smoothed with a trend iprint = 2 to print steps and test, = 1 print test only Critical values: 10% 5% 1% No trend -1.62 -1.95 -2.58 Trend -2.57 -2.89 -3.48 Note: Command is a subroutine and needs to be loaded with: call load(df_gls); Example: b34sexec matrix; call load(df_gls); call print(df_gls); iprint=1; n=1000; x=rn(array(n:)); root=cusum(x); call graph(x); call graph(root); call echooff; do i=1,4; call print(' ':); call print('For lag ',i:); call print('Non unit root case':); call DF_GLS(x,i,notrend, trend, notrendx,trendx,iprint); call print(' ':); call print('----------------':); call print(' ':); call print('Unit root case':); call DF_GLS(root,i,notrend, trend, notrendx,trendx,iprint); enddo; b34srun; DISPLAYB Displays a Buffer contents call displayb(x); Will display the contents of X. X can be real*8, character*8, character*1, integer, real*4 or complex*16. This command is useful in looking at contents of database files etc. Alternative arguments are: call displayb(x,istart,iend) to display only bytes istart to iend Example: b34sexec matrix; call character(cc,'This is a test'); call displayb(cc); call character(cc2, 'This is a test with numbers 1 2 3 # $ % 7 && 8 &'); call displayb(cc2); * Put in reals we know what they are; x(1)=0.0; x(2)=1.0; * Hide an integer in a real; i1=1; i2=2; call ilcopy(4,i1,1,1,x,1,1); call ilcopy(4,i2,1,1,x,1,3); call displayb(x); b34srun; Example # 2: /$ /$ Shows moving a real*16 value in a real*8 work array /$ Uses a real*8 array to look at bits!! /$ b34sexec matrix; x=array(2:); y=10.0; y=r8tor16(y); yy=y; y=r8tor16(12.8); call print('is yy 10.? ',yy); call pcopy(2,pointer(y),1,pointer(x), 1,8); call pcopy(2,pointer(x),1,pointer(yy),1,8); call print('is yy 12.8.? ',yy); call displayb(x); call names(all); call displayb(yy); b34srun; DIST_TAB Distribution Table call dist_tab(x,10,q,qvalue,number,iprint); Gives distribution subroutine dist_tab(x,n,q,qvalue,number,iprint); /$ /$ x => input series /$ n => input # of quantile values /$ q => q /$ qvalue => qvalue /$ number => # in the group /$ iprint => NE 0 = print /$ /$ Built July 2003 /$ Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(dist_tab); call echooff; call describe(gasin :print); call dist_tab(gasin,20,q,gvalue,number,1); b34srun; DODOS Execute a command string if under dos/windows. call dodos(' '); Works the same as call system(' ' ); but only works on Windows & DOS. Note: The form call dodos(' command'); should be used if "silent" operation is desired. If the command writes any output, the form call dodos('command',:); should be used. If what is desired is for B34S to terminate and the program called to be active, the command call dodos('command',::); should be used. Example /$ Matlab command file b34sexec options open('test.m') unit=77 disp=unknown; b34srun; b34sexec options clean(77); b34srun; b34sexec options copyf(4,77); pgmcards; x=rand(6) xi=inv(x); x*xi yy=[1 2 3 2 1] plot(yy) pause quit b34sreturn; b34srun; b34sexec options close(77); b34srun; b34sexec matrix; call system('start /w matlab /r test /logfile jj':); call copyout('jj'); b34srun; DO_SPEC Display Periodogram and Spectrum call do_spec(gasout,cc,weights); Will display the periodogram and Spectrum. subroutine do_spec(x,heading1,weights); /; /; Display Periodogram and Spectrum /; /; x = Input Series /; heading1 = Heading for series /; weights = Smoothing weights /; /; Note: Can be called alone or under dataview /; /; Graphs saved in Clip Board /; *********************************************** /; Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(do_spec); weights=array(:1 2 3 2 1); call character(cc,'Analysis of Gasout'); call do_spec(gasout,cc,weights); rr=rn(array(400:)); call character(cc,'Analysis of a Random Series'); call do_spec(rr,cc,weights); b34srun; DOUNIX Execute a command string if under unix. call dounix(' '); Works the same as call system(' '); but only works on unix. Note: The form call dounix(' command'); should be used if "silent" operation is desired. If the command writes any output, the form call dounix('command',:); should be used. If what is desired is for B34S to terminate and the program called to be active, the command call dounix('command',::); should be used. DQDAG - Integrate a function using Gauss-Kronrod rules call dqadg(f x :name test :lower 0.0 :upper 2.0 :errabs 0.0 :errrel .001 :irule 1 :maxsub 500 :print); Integrates a function using Gauss-Kronrod Rules. Required: f = function value x = Integration variable test = program name :lower a => sets lower bound of integration :upper b => sets upper bound of integration Optional :errabs r1 => Sets absolute accuracy desired. Default = 0.0 :errrel r2 => Sets relative accuracy desired. Default = .001 :rule i => Sets Gauss-Kronrod rule. Default=2 If function has a peak singularity use :rule 1, if function is oscillatory, use :rule 6 1 => 7-15 points 2 => 10-21 points 3 => 15-31 points 4 => 20-41 points 5 => 25-51 points 6 => 30-61 points :maxsub i => sets # of subiterations allowed. Default=500. Variables Created: %result = value of integral %error = error estimate %alist = list on left endpoints %blist = list of right endpoints %rlist = area in the endpoints. %elist = error estimates by regions Note: This command uses IMSL routine DQDAG Example: b34sexec matrix; program test; f=x*dexp(x); return; end; call print(test); call echooff; do i=1,6; call dqdag(f x :name test :lower 0.0 :upper 2.0 :errabs 0.0 :errrel .001 :rule i :maxsub 500 :print); enddo; b34srun; DQDNG - Integrate a smooth function using a nonadaptive rule. call dqdng(f x :name test :lower 0.0 :upper 2.0 :errabs 0.0 :errrel .001 :print); Integrates a smooth function using a nonadaptive rule Required: f = function value x = Integration variable test = program name :lower a => sets lower bound of integration :upper b => sets upper bound of integration Optional :errabs r1 => Sets absolute accuracy desired. Default = 0.0 :errrel r2 => Sets relative accuracy desired. Default = .001 Note: This command uses IMSL routine DQDNG. It may not work well, if so try dqdags. Variables Created: %result = value of integral %error = error estimate Example: b34sexec matrix; program test; f=x*dexp(x); return; end; call echooff; call dqdng(f x :name test :lower 0.0 :upper 2.0 :errabs 0.0 :errrel .001 :print); b34srun; DQDAGI - Integrates over a infinite/semi-infinite interval. call dqdagi(f x :name test :lower 0.0 :upper 0.0 :errabs 0.0 :errrel .001 :maxsub 500 :print); Integrates a function over infinite/semi-infinite interval. Required: f = function value x = Integration variable test = program name :lower a => sets lower bound of integration :upper b => sets upper bound of integration Cannot have both upper lower. If lower => range = lower - Inf If upper => range = inf - upper If neither => range = -int - inf Optional :errabs r1 => Sets absolute accuracy desired. Default = 0.0 :errrel r2 => Sets relative accuracy desired. Default = .001 :maxsub i => sets # of subitervals used. Default=500. Variables Created: %result = value of integral %alist = list on left endpoints %blist = list of right endpoints %rlist = area in the endpoints. %elist = error estimates by regions %error = error estimate Note: maxsub determines an upper limit on # of intervals. This command uses IMSL routine DQDAGI Example: b34sexec matrix; program test; f=dlog(x)/(1.+(10.*x)**2.); return; end; call dqdagi(f x :name test :lower 0.0 :errabs 0.0 :errrel .001 :maxsub 500 :print); exact = -1.*pi()*dlog(10.)/20. ; error=%result-exact; call print('Exact ',exact:); call print('Error ',error:); call tabulate(%alist %blist %rlist %elist); b34srun; DQDAGP - Integrete a function with singularity points given call dqdagp(f x :name test :lower :upper 0.0 :errabs 0.0 :errrel .001 :breakp p :maxsub 500 :print); Integretes a function with singularity points given. Required: f = function value x = Integration variable test = program name :lower a => sets lower bound of integration :upper b => sets upper bound of integration :breakp p => sets vector of break points Optional :errabs r1 => Sets absolute accuracy desired. Default = 0.0 :errrel r2 => Sets relative accuracy desired. Default = .001 :maxsub i => sets # of subitervals used. Default=500. Variables Created: %result = value of integral %alist = list on left endpoints %blist = list of right endpoints %rlist = area in the endpoints. %elist = error estimates %error = error estimate Note: maxsub determines an upper limit on # of intervals. This command uses IMSL routine DQDAGP Example: program test; f=x**3.*dlog(dabs((x*x-1.0)*(x*x-2.0))); return; end; call dqdagp(f x :name test :breakp array(:1. dsqrt(2.)) :lower 0.0 :upper 3.0 :errabs 0.0 :errrel .001 :maxsub 500 :print); exact = 61.0*dlog(2.0)+77./4.*dlog(7.0) - 27.; error=dabs(%result-exact); call print('Exact ',exact:); call print('Error ',error:); call tabulate(%alist %blist %rlist %elist); b34srun; DQDAGS - Integrate a function with end point singularities call dqdags(f x :name test :lower :upper 0.0 :errabs 0.0 :errrel .001 :maxsub 500 :print); Integrates a function with end point singularities Required: f = function value x = Integration variable test = program name :lower a => sets lower bound of integration :upper b => sets upper bound of integration :breakp p => Sets vector of break points Optional :errabs r1 => Sets absolute accuracy desired. Default = 0.0 :errrel r2 => Sets relative accuracy desired. Default = .001 :maxsub i => sets # of subitervals used. Default=500. Variables Created: %result = value of integral %alist = list of left endpoints %blist = list of right endpoints %rlist = area in the endpoints. %elist = error estimates %error = error estimate Note: maxsub determines an upper limit on # of intervals Note: This command uses IMSL routine DQDAGS Example: b34sexec matrix; program test; f=dlog(x)/dsqrt(x); return; end; call dqdags(f x :name test :lower 0.0 :upper 1.0 :errabs 0.0 :errrel .001 :maxsub 500 :print); exact = -4.0; error=dabs(%result-exact); call print('Exact ',exact:); call print('Error ',error:); call tabulate(%alist %blist %rlist %elist); b34srun; DQAND - Multiple integration of a function call dqand(f x :name test :lower lower :upper upper :errabs 0.0 :errrel .001 :maxsub 500 :print); Estimates a multiple integral. A max of 20 integrals can be calculated. Required: f = function value x = Integration variable name. X must exist and be an array or vector of up to 20 elements. The size of x is n and sets the size expected for lower and upper. test = program name :lower a => sets lower bound of integration. A is a vector or array of size n. :upper b => sets upper bound of integration. B is a vector or array of size n. Optional :errabs r1 => Sets absolute accuracy desired. Default = 0.0 :errrel r2 => Sets relative accuracy desired. Default = .001 :maxsub i => sets # of evaluations allowed. I cannot be set > 256*n where n is # of elements in lower. Default = 256*n. Variables Created: %result = value of integral %error = error estimate Note: This command uses IMSL routine DQAND Example: b34sexec matrix; * This is a big problem. Note maxsub 100000 ; program test; f=dexp(-1.*(x(1)*x(1)+x(2)*x(2)+x(3)*x(3))); return; end; /$ We solve 6 problems. /$ As constant => inf and => pi()**1.5 lowerv=array(3:); upperv=array(3:); x =array(3:); call print(test); call echooff; j=integers(3); do i=1,6; cc=dfloat(i)/2.0; lowerv(j)=(-1.)*cc; upperv(j)= cc; call dqand(f x :name test :lower lowerv :upper upperv :errabs .0001 :errrel .001 :maxsub 100000 :print); call print('lower set as ',cc:); call print('results ',%result:); call print('error ',%error:); enddo; call print('Limit answer ',pi()**1.5 :); b34srun; DTWODQ - Two Dimensional Iterated Integral call dtwodq(f x y g h :name test1 test2 test3 :lower lower :upper upper :errabs 0.0 :errrel .001 :rule 1 :print); Estimates a 2 dimensional integral f= int(f(x,y))dy dx Required: f = function value x = outer integral y = inner integral g = inner integral lower bound g=g(x) h = inner integral upper bound h=h(x) test1 = program name for function. test1 creates f(x,y) test2 = program name for lower bound of inner integral test3 = program name for upper bound of outer integral :lower a => sets lower bound of outer integral :upper b => sets upper bound of outer integral Optional :errabs r1 => Sets absolute accuracy desired. Default = 0.0 :errrel r2 => Sets relative accuracy desired. Default = .001 :rule i => sets Gauss-Kronrod Rule 1 7-15 points 2 10-21 points 3 15-31 points 4 20-41 points 5 25-51 points 6 30-61 points For singular peak use 1 For oscillatory function use 6 Default = 6 :maxsub i => sets # of evaluations allowed. Should be set greater than or equal to 250. Variables Created: %result = value of integral %error = error estimate %alist = list of left endpoints %blist = list of right endpoints %rlist = area in the endpoints. %elist = error estimates Note: This command uses IMSL routine DTWODQ Warning. Be sure that the three programs supplied actually do what they are required to do. Example: /$ Fixed inner bounds test case first %b34slet prob1=1; %b34slet prob2=1; %b34sif(&prob1.eq.1)%then; b34sexec matrix; program test1; f=y*dcos(x+y*y); return; end; program test2; g=1.0; * g=(-2.)*x; return; end; program test3; h=3.0; * h=5.*x; return; end; call print(test1,test2,test3); call echooff; call dtwodq(f x y g h :name test1 test2 test3 :lower 0.0 :upper 1.0 :errabs .000 :errrel .001 :rule 6 :print); call print(' ':); call print('***************************':); call print('IMSL thinks result is -.514':); call print('results ',%result:); call print('error ',%error:); call tabulate(%alist,%blist,%rlist,%elist); b34srun; %b34sendif; /$ Problem # 2 %b34sif(&prob2.eq.1)%then; b34sexec matrix; program test1; f=y*dcos(x+y*y); return; end; program test2; * g=1.0; g=(-2.)*x; return; end; program test3; * h=3.0; h=5.*x; return; end; call print(test1,test2,test3); call echooff; call dtwodq(f x y g h :name test1 test2 test3 :lower 0.0 :upper 1.0 :errabs .001 :errrel .00 :rule 6 :print); call print(' ':); call print('***************************':); call print('IMSL thinks result is -.083':); call print('results ',%result:); call print('error ',%error:); call tabulate(%alist,%blist,%rlist,%elist); b34srun; %b34sendif; ECHOOFF Turn off listing of execution. call echooff; Turns off output to b34s file. By default all commands will echo. It is usually a good idea to turn off command echo inside a do loop unless there are problems to trap. Once a user subroutine, function or program is working correctly, it is a good idea to call echooff before calling the routine. If problems develop, then they can be easily trapped by commenting this call. Note: Matlab will echo any command without the ; and will not echo any command with a ;. This approach requires the developer to be taking out and putting in ; all over the place when problems are being tracked down. See related command call echoon; ECHOON Turn on listing of execution. call echoon; Echos output in b34s output file. By default all commands will echo. It is usually a good idea to turn off command echo inside a do loop unless there are problems to trap. See related command call echooff; EPPRINT Print to log and output file. call epprint(x); Prints to both output and error units. See also eprint and print. EPRINT Print to log file. call eprint(x); Works the same as call print( ) but prints to the error unit. See also epprint and print. ERASE Erase a file call erase('c:\junk\*.out'); Will erase files. If a file cannot be deleted an error message is given. If ' ' is blank, there is no effect. Warning. Uses system calls. An open file can be deleted without an error message. Use this power commnd with caution. EXPAND Expand an array call expand(oldcc,newcc,ibegin,iend); Expand an array of Character *1 data. oldcc - Character*1 string newcc - Character*1 string to be placed in ibegin - iend in oldcc moving old characters over. Elements in newcc from will be placed in oldcc from ibegin to iend. If length of newcc less than iend-ibegin+1, then blanks placed in file. Note: If just a replacement is needed then code such as /$ aabb at 5-8 b34sexec matrix; call character(cc,'This is a test'); call character(new,'aabb'); call print(cc); i=integers(1,4); j=i+4; cc(j)=new(i); call print(cc); b34srun; Will work. Example: b34sexec matrix; call character(cc,'This is a test'); call print(cc); call ilocatestr(cc,istart,iend); i=integers(istart,iend); subs=cc(i); call print(subs); call contract(cc,istart,iend); oldnewcc=cc; call print(cc); call character(new,'aaaissaa'); call expand(cc,new,1,8); call print(oldnewcc,cc); b34srun; For related commands see CONTRACT and the function EXTRACT. FILTER High Pass - Low Pass Filter using Real FFT call filter(xold,xnew,nlow,nhigh); Depending on nlow and nhigh subroutine filter can be a low pass or a high pass filter. A real FFT is done for a series. FFT values are zeroed out if outside range nlow - nhigh. Xnew is recovered by inverse FFT. FILTERC uses the complex FFT. FILTERC should be used in place of FILTER to avoid phase and gain loss. xold - input series xnew - filtered series nlow - lower filter bound nhigh - upper filter bound Routine built 2 April 1999. Use of filter requires the command call load(filter); Example: b34sexec matrix; /$ Uses FFT to High and Low Pass Random Series /$ /$ Illustrate with random numbers /$ call load(filter); n=500; test=rn(array(n:)); spec=spectrum(test,freq); call graph(freq,spec :plottype xyplot :heading 'Spectrum of Random series'); call filter(test,newtest,1,200); spec=spectrum(newtest,freq); call graph(freq,spec :plottype xyplot :heading 'Spectrum of Random after Low Pass'); call filter(test,high,201,500); spec=spectrum(high,freq); call graph(freq,spec :plottype xyplot :heading 'Spectrum of Random after High Pass'); b34srun; FILTERC High Pass - Low Pass Filter using Complex FFT call filterc(xold,xnew,nlow,nhigh); Depending on nlow and nhigh filter can be a low pass or a high pass filter. Complex FFT is done for a series. FFT values are zeroed out if outside range nlow - nhigh. Xnew recovered by inverse FFT. FILTERC should be used in place of FILTER to avoid phase and gain loss. xold - input series xnew - filtered series nlow - lower filter bound nhigh - upper filter bound Routine built 2 April 1999. Use of filter requires the command call load(filterc); Example: b34sexec matrix; /$ Uses FFT to High and Low Pass Random Series /$ /$ Illustrate with random numbers /$ call load(filterc); n=500; test=rn(array(n:)); spec=spectrum(test,freq); call graph(freq,spec :plottype xyplot :heading 'Spectrum of Random series'); call filterc(test,newtest,1,200); spec=spectrum(newtest,freq); call graph(freq,spec :plottype xyplot :heading 'Spectrum of Random after Low Pass'); call filterc(test,high,201,500); spec=spectrum(high,freq); call graph(freq,spec :plottype xyplot :heading 'Spectrum of Random after High Pass'); b34srun; FPLOT Plot a Function call fplot(inline('dcos(dsqrt(x**2.+y**2.))'), :args x y :rangex array(:-10.,10.) :rangey array(:-10.,10.) ); This command has not been implemented in this release. FPRINT - Formatted print facility. call fprint(:clear :display rr '(g48.32)' :print); Advanced printing capability with format control. The casual matrix programmer usually does not need this command and can use the more general call print( ); :clear => clear buffer :col n => go to col 10 :string ' ' => pass a string to buffer (As of June 2005 :string and :display work the same for character*8 and character*1. See use notes below. :display object fmt => display object using optional format. Limited to a 132 line. Types supported are: real*8 complex*16 real*4 integer*4 integer*8 real*16 character*8 character*1 complex*32 fm fp im ip zm zp :print => prints the buffer. Does not clear buffer!! Sections of buffer can be cleared by passing a blank string. :save bname => saves buffer :cr n => blank lines :unit ii => Sets unit for output. If unit not present then usual output unit is assumed. Notes: The line a='le 8 '; creates a character*8 variable while a='more than 8 characters here'; creates a character*1 variable. The command a=c1array(:'aa'); places aa in a character*1 array. Hence for best results it is a good idea to code :col i :string c1array(:':') rather than :col i :string ':' for more control. Example: b34sexec matrix; r =dsqrt(110.); ii=202; name='Diana'; call fprint(:clear :col 10 :string 'At 10' :col 20 :display r '(g16.8)' :col 40 :string 'At col 40' :print :col 60 :string 'Added string at 60' :print :clear :string 'String at 1' :print :col 40 :string 'Added at 40' :col 70 :string name :print :cr 2); b34srun; Notes: The internal print buffer of 132 lines is saved between calls. This allows fprint to be a way to format a line!! In first call :clear should be used. b34sexec matrix; call echooff; call fprint(:clear :col 1 :string 'Mars Results after Stepwise Elimination'); call fprint(:print); call fprint(:save jj); call print(jj); call ialen(jj,ii); call print('len was ',ii); jjj=integers(1,ii-11); less=jj(jjj); call print(less); b34srun; /; Shows building a vector of names /; The vector of 246 names can be passed to a routine with /; the argument(cc) function b34sexec matrix; cc=c8array(246*2:); /; shows moving from character*1 to character*8 using /; fprint buffer /; tt is longer than needed but we pick off just first /; element j=1; do i=1,246; call fprint(:clear :col 1 :string 'X000'); if(i.le.9) call fprint(:col 4 :display i '(i1)'); if(i.le.999.and.i.ge.10) call fprint(:col 3 :display i '(i2)'); if(i.gt.99) call fprint(:col 2 :display i '(i3)'); call fprint(:save cc1); tt=c8array(:cc1); cc(j)=tt(1); j=j+2; enddo; call print(cc); b34srun; FREE Free a variable. call free(x); Frees X. The free command will free at the local level and above. If the variable is defined at both the global level and the local level, it is freed at the local level. To free at the global level use the form: call free(x:); Multiple series can be listed. Example: b34sexec matrix; n=4; x=rn(matrix(n,n:)); pdx=transpose(x)*x; call names; call free(n:); call names(info); call makeglobal(pdx); call names(info); r=pdfac(pdx); call print(pdx,r); call makelocal(pdx); call names(info); r=pdfac(pdx); call print(pdx,r); pdx(1,1)=.9999; call names; call print(pdx,'We now free at the local level'); call free(pdx); call names(info); call print('We now free at the global level'); call free(pdx:); call names(info:); b34srun; FORMS - Build Control Forms The FORMS options under the MATRIX command allows access to the Interacter low-level menu generation forms routines. This command is NOT intended for the general user. To make use of this command the user has to license the Interacter Software system and obtain the supporting manuals. The forms facility allows the B34S developer to have access to a general menu writting facility. The general B34S user uses the forms facility to interactively run MATRIX commands. call forms(:start ); call forms(:cont ); call forms(:final ); -------------------------------------------------------- :start sentence -------------------------------------------------------- Required on :start as the first argument :formdefine key index(ifield) index(ix) index(iy) index(iwidth) index(itype) key type of form W single form S Full screen T tabbed ifield => field numbers ix => array of field col positions iy => array of field row positions iwidth => array of field widths itype => array for field types 1 unprotected string 2 unprotected integer 3 unprotected real 4 cycling 5 push button 6 unprotected double 7 vertical menu 8 unprotected long string 9 check box 10 check box discription add 1000 for protected fields or :formload filename key W => Form in a window S => Form Full Screen T => Form Tabbed ----------------------------- Options on :start ----------------------------- :formdefinetabs key array(:labels) index(limitf) index(limitb) key T => show tabs on top R => show tabs on right B => show tabs on bottom labels char*8 array of size ntabs limitf integer array of last field identifiers limitb array of last box identifiers :formdefinebox index(iboxnum) index(ix) index(iy) index(iw) iboxnum => array of box numbers ix => array of form box left hand col iy => array of form box top-row iw => array of form box widths ih => array of form box heights :formhelp index(ix iy iwidth) place where iformputhelp is displayed :commandn ' ' Up to 70 characters of menu window header --------------------------------------------------- :cont sentence --------------------------------------------------- required on some :cont sentence unless :formload supplied :formshowedit iexit iexit defines exit code -------------------------------------------------- optional input commands used before :formshowedit -------------------------------------------------- :formattribute ifield key forcolor backcolor ifield = 0 used for help field key B => bold F => flashing I => italics R => reverse video U => underline N => all disabled :formattribute 7 'N' 'BRED' ' ' :defaultattribute :formbox nbox iftype forcolor backcolor clearcolor i4 i4 ch1 ch1 ch1 :formframe ifield iftype forcolor backcolor i4 i4 ch1 ch1 :formpopupmenu ifield noptn :formrangedouble ifield array(:dmin dmax) :formrangeinteger ifield index(ifmin ifmax) :formrangereal ifield array(:rmin rmax) :formputstring ifield 'string' isize isize is an optional argument that sets the length of a long string. :formputinteger ifield integer for negative # use form ifield index(-99) :formputreal ifield real 'fmt' :formputdouble ifield dvar 'fmt' :formputhelp ifield 'message' :formputformat ifield 'fmt' :formputmenu ifield choices istart :formverticalmenu ifield nseen iframe Note: placed after formputmenu. :formputbutton ifield cvalue iexitk :formputbutton 12 run 21 :formputcheckbox ifield ivalue idfield 0 or 1 ------------------------------------------------- optional input commands used after :formshowedit ------------------------------------------------- :forminfolist makes variables for the currently loaded form. nfield_1 nbox_1 ntab_1 ifx_1 ify_1 ifwid_1 iftype_1 ifiden_1 Note: If called at subroutine level data made at level > 100. :formsave 'header' 'filename' :formsave can be used to convert forms built with :formdefine to use :formload :formclearfield ifield :formgetcheckbox ifield ivalue :formgetdouble ifield real8 :formgetinteger ifield ivalue :formgetmenu ifield ioptn :formgetradiobutton ifield ivalue :formgetreal ifield real4 :formgetstring ifield string ------------------------------------------------- :final sentence ------------------------------------------------- Note: The :final sentence has no options. The :final sentence triggers the menu. Notes: The forms command has the same function as the makemenu command except for the fact that it makes matrix variables rather than macro variables and that access is provided to lower level Interacter routines. Examples: 1. Illustrate the FORMS Command Capability b34sexec matrix; /$ /$ Use this job as a template /$ call echooff; subroutine testform(ii,int4,r4,check,menu,string, menu2,r8,string2); nfields=18; ioff=3; /$ /$ type codes string 1 integer 2 real 3 cycling 4 /$ push 5 double 6 vert 7 long string 8 /$ check 9 check discript 10 /$ idfield=integers(nfields); icol = index( 2 40 2 40 2 40 2 40 2 40 2 40 2 40 2 40 10 50); irow = index( 1 1 2 2 3 3 6 6 10 10 13 13 14 14 15 15 18 18)+ioff; iwidth= index(20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 10 10); itype = index( 1001 2 1001 3 10 9 1001 7 1001 1 1001 4 1001 6 1001 8 5 5); /$ /$ Defines Exit box /$ idbox =index(1); icolbox=index( 3); irowbox=index(17+ioff); iwbox =index(68); ihbox =index(3); /$ /$ Allocte a 3 by 40 character*1 array to hold character info /$ cc =c1array(3,40:); call character(hold,'Do ARIMA Model'); cc(1,)=hold; call character(hold,'Do Regression Model'); cc(2,)=hold; call character(hold,'Do Nonlinear Model'); cc(3,)=hold; call character(fmt,'(g16.8)'); call forms(:start :formdefine S idfield icol irow iwidth itype :formhelp index(2 21+ioff 68) :formdefinebox idbox icolbox irowbox iwbox ihbox :commandn 'Test Form # 1 - Shows all Options' ); call forms(:cont :formputstring 1 'This is int*4' :formputstring 3 'This is a real*4' :formputstring 5 'Check Box' :formputstring 7 'Vertical Menu Box' :formputstring 9 'String' :formputstring 10 ' ' :formputstring 11 'Cycling Menu' :formputstring 13 'Real*8 number' :formputstring 15 'Long String' :formputstring 16 ' ' 60 :formputinteger 2 index(-9) :formputcheckbox index(6 0 5) :formputhelp 2 'Enter an integer*4 here' :formrangeinteger 2 index(-99999 99999) :formputhelp 4 'Enter an real*4 here' :formputreal 4 .1 fmt :formrangereal 4 array(:-999.,999.) :formputhelp 8 'This is a vertical menu - we show 2' :formputmenu 8 cc 1 :formverticalmenu 8 2 999 :formputmenu 12 cc 1 :formputhelp 10 'Enter a short string here' :formputhelp 12 'Click to cycle' :formputdouble 14 99.9 fmt :formrangedouble 14 array(:-999.,999.) :formputhelp 14 'This is a real*8 input menu' :formputhelp 16 'This is a long string menu' /$ /$ Exit group type 5 push /$ :formputbutton 17 'Run' 21 :formputhelp 17 'Run the Menu' :formattribute 17 'N' 'byellow' ' ' :formputhelp 18 'Escape without running' :formputbutton 18 'Escape' 23 :formattribute 18 'N' 'bred' ' ' /$ :formshowedit ii /$ :forminfolist /$ /$ pull out data into b34s matrix command names /$ :formgetinteger 2 int4 :formgetreal 4 r4 :formgetcheckbox 6 check :formgetmenu 8 menu :formgetstring 10 string :formgetmenu 12 menu2 :formgetdouble 14 r8 :formgetstring 16 string2 ); call forms(:final); return; end; call testform(ii,int4,r4,check,menu,string,menu2,r8,string2); /$ forminfolist data /$ call print('nfield_1 ',nfield_1:); /$ call print('nbox_1 ',nbox1 :); /$ call tabulate(ntab_1 ifx_1 ify_1 ifwid_1 iftype_1 ifiden_1); if(ii.eq.21)then; call print('ii =',ii:); call print('int =',int4:); call print('r4 =',r4:); call print('check =',check:); call print('menu =',menu:); call print('string =',string ); call print('menu2 =',menu2:); call print('r8 =',r8:); call print('string2=',string2); endif; if(ii.eq.23)call print('Menu terminated at user request'); b34srun; ++++++++++++++++++++++++++++++++++++++++++++++++++++++++ 2. Shows Tabbed Menu b34sexec matrix; call echooff; subroutine testform(ii,int4,r4,check,menu,string, menu2,r8,string2); nfields=18; /$ type codes string 1 integer 2 real 3 cycling 4 /$ push 5 double 6 vert 7 long string 8 /$ check 9 check discript 10 idfield=integers(nfields); icol =index( 2 40 2 40 2 40 2 40 2 40 2 40 2 40 2 40 10 50); irow =index( 1 1 2 2 3 3 6 6 1 1 3 3 5 5 6 6 16 16); iwidth=index(20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 20 10 10); itype =index( 1001 2 1001 3 10 9 1001 7 1001 1 1001 4 1001 6 1001 8 5 5); idbox =index(1 2); icolbox=index(3 3); irowbox=index(15 15); iwbox =index(68 68); ihbox =index( 3 3); cc =c1array(3,40:); call character(hold,'Do ARIMA Model'); cc(1,)=hold; call character(hold,'Do Regression Model'); cc(2,)=hold; call character(hold,'Do Nonlinear Model'); cc(3,)=hold; call character(fmt,'(g16.8)'); call forms(:start :formdefine t idfield icol irow iwidth itype :formhelp index(2 20 68) :formdefinebox idbox icolbox irowbox iwbox ihbox :formdefinetabs t array(2:'first','second') index(8,16) index(1,2) :commandn 'Test Form # 1 - Shows Tabbed form with global'); call forms(:cont :formputstring 1 'This is int*4' :formputstring 3 'This is a real*4' :formputstring 5 'Check Box' :formputstring 7 'Vertical Menu Box' :formputstring 9 'String' :formputstring 10 ' ' :formputstring 11 'Cycling Menu' :formputstring 13 'Real*8 number' :formputreal 4 .1 fmt :formputdouble 14 99.9 fmt :formrangedouble 14 array(:-999.,999.) :formrangereal 4 array(:-999.,999.) :formrangeinteger 2 index(-99999 99999) :formputstring 15 'Long String' :formputstring 16 ' ' 60 :formputbutton 17 'Run' 21 :formputbutton 18 'Escape' 23 :formattribute 17 'N' 'byellow' ' ' :formattribute 18 'N' 'bred' ' ' :formputinteger 2 index(-9) :formputcheckbox index(6 0 5) :formputhelp 2 'Enter an integer*4 here' :formputhelp 4 'Enter an real*4 here' :formputhelp 8 'This is a vertical menu - we show 2' :formputmenu 8 cc 1 :formverticalmenu 8 2 999 :formputmenu 12 cc 1 :formputhelp 10 'Enter a short string here' :formputhelp 12 'Click to cycle' :formputhelp 14 'This is a real*8 input menu' :formputhelp 16 'This is a long string menu' :formputhelp 17 'Run the Menu' :formputhelp 18 'Escape without running' :formshowedit ii /$ :forminfolist :formgetinteger 2 int4 :formgetreal 4 r4 :formgetcheckbox 6 check :formgetmenu 8 menu :formgetstring 10 string :formgetmenu 12 menu2 :formgetdouble 14 r8 :formgetstring 16 string2 ); call forms(:final); return; end; call testform(ii,int4,r4,check,menu,string, menu2,r8,string2); /$ forminfolist data /$ call print('nfield_1 ',nfield_1:); /$ call print('nbox_1 ',nbox1 :); /$ call tabulate(ntab_1 ifx_1 ify_1 ifwid_1 iftype_1 ifiden_1); if(ii.eq.21)then; call print('ii =',ii:); call print('int =',int4:); call print('r4 =',r4:); call print('check =',check:); call print('menu =',menu:); call print('string =',string ); call print('menu2 =',menu2:); call print('r8 =',r8:); call print('string2=',string2); endif; if(ii.eq.23) call print('Menu terminated at user request'); b34srun; 3. Tests Loading a Production File b34sexec matrix; call forms(:start :formload 'iighco6.ifd' S); call forms(:cont :forminfolist); call names(all); call print('# of Fields ',nfield_1:); call print('# of Boxes ',nbox_1 :); call print('# of Tabs ',ntab_1 :); call tabulate(ifx_1,ify_1,ifwid_1,iftype_1,ifiden_1); b34srun; FORPLOT Forecast Plot using GRAPHP call forplot(y,yhat,se,se2,title); This command is subject to changes in the arguments. Command has to be loaded with call load(forplot); subroutine forplot(y,yhat,se,se2,title,file); /$ /$ y => Actual Data /$ yhat => Forecast /$ se => Positive SE /$ se2 => Negative SE /$ title => Title /$ /$ ********************************************** /$ Version 18 July 2001 /$ ********************************************** Example: b34sexec matrix; y=rn(array(20:)); yhat=rn(array(4:)); error=dfloat(integers(4))/2.; se =error+yhat; se2 =yhat - error; call character(title,'Test Forecast Plot'); call load(forplot); /$ Graph using graph call graph(y :pgborder :heading 'graph command' :htitle 2. 2. :pgxscaletop 'I' :pgyscaleleft 'NT' :pgyscaleright 'I' :colors black bred ); /$ Forplot using graphp call forplot(y,yhat,se,se2,title,' '); b34srun; GARCH2P GARCH Model Estimation using 2 pass method call garch2p(data,nar,nma,coef1,se1,t1,gnar,gnma, coef2,se2,t2,res1,res2,refine); Estimate ARMA / GARCH model following Enders (1995, page 150) two pass method. Use of this subroutine requires the command call load(garch2p); See GARCH2PA for automatic two pass method. There is also an interactive version with graphics under the matrix command. GARCH2PA is in the staging2.mac file. Arguments: Data => Data nar => # of ar terms for first moment nma => # of ma terms for first moment coef1 => first moment coefficients se1 => first moment se t1 => first moment t gnar => second moment # of ar terms gnma => second moment # of ma terms coef2 => second moment coef se2 => second moment se t2 => second moment t res1 => first moment residual res2 => second moment residual refine => if NE 0 refine models Test cases: ARMA_6, GARCH2P For a reference See Enders (1995, page 150). Example: b34sexec options ginclude('gas.b34'); b34srun; /$ User is controlling model b34sexec matrix; call loaddata; call load(garch2p); nar=6; nma=0; gnar=1; gnma=0; call garch2p(gasout,nar,nma,coef1,se1,t1,gnar,gnma,coef2,se2, t2,res1,res2,2.0); call graph(res1); call graph(res2); acf1=acf(res1); call graph(acf1); acf2=acf(res2); call graph(acf2); call tabulate(acf1,acf2); b34srun; GARCH2PF GARCH Model Estimation - 2 pass method with forecasts call garch2pf(data,nar,nma,coef1,se1,t1,gnar,gnma, coef2,se2,t2,res1,res2,refine,fbase1,nf1,fbase2, nf2,obs1,f1,conf1,obs2,f2,conf2); Estimate ARMA / GARCH model following Enders (1995, page 150) two pass method. Use of this subroutine requires the command call load(garch2pf); See GARCH2PA for automatic two pass method. There is also an interactive version with graphics under the matrix command. GARCH2PA is in the staging2.mac file. Arguments: Data => Data nar => # of ar terms for first moment nma => # of ma terms for first moment coef1 => first moment coefficients se1 => first moment se t1 => first moment t gnar => second moment # of ar terms gnma => second moment # of ma terms coef2 => second moment coef se2 => second moment se t2 => second moment t res1 => first moment residual res2 => second moment residual refine => if NE 0 refine models fbase1 => Forecast base for first moment nf1 => # of first moment forecasts fbase2 => Forecast base for second moment nf2 => # of second moment forecasts obs1 => Observation for forecast of first moment f1 => forecast for first moment conf1 => confidence intervals for first moment obs2 => Observation for forecast of second moment f2 => forecast for second moment conf2 => confidence intervals for second moment Test case: GARCH2PF For a reference See Enders (1995, page 150) Example: /$ /$ User attempts AR model with 10 terms /$ b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(garch2pf); * This setting is too big but tests software ; * For a more excessive example see ARMA_6 ; nar=10; nma=0; gnar=1; gnma=0; fbase1=norows(gasout); nf1=10; fbase2=fbase1; nf2=nf1; call garch2pf(gasout,nar,nma,coef1,se1,t1,gnar,gnma,coef2, se2,t2,res1,res2,2.0,fbase1,nf1, fbase2,nf2,obs1,f1, conf1,obs2,f2,conf2); call graph(res1); call graph(res2); acf1=acf(res1); call graph(acf1); acf2=acf(res2); call graph(acf2); call tabulate(acf1,acf2); call tabulate(obs1,f1,conf1,obs2,f2,conf2); b34srun; GAMFIT Generalized Additive Model Estimation call gamfit(y x[predictor,3] z[predictor,2]{2} :options); Implements the gamfit command under matrix to provide estimation of GAM (generalized additive Models) following work at Stanford by Hastie and Tibshtiani. For another approach see the GAMFIT command which ahs been implemented in "stand alone" form. GAMFIT implements code developed by Hastie- Tibshirani (1986, 1990) that is in the public domain. A basic references are: Hastie, T. J. and Tibshirani (1986) "Generatized Additive Models (with discussion)," Statistical Science, 1, 297-310 Hastie, T. J. and Tibshirani, R. J. (1990) "Generalized Additive Models," New York: Chapman and Hall The basic idea is to estimate a non parametric regression that drops the assumption of linearity. The user sets the degrees of freedom of each independent variable. A df=1 implies a linear assumption. Hastie and Tibshirani were PhD students at Stanford in the 1980's. Variables created %res - Residuals %y - Y variable %yhat - Predicted y %yvar - Y variable name %names - Names in Model %lag - Lag %vartype - Variable type %df - DF of variable %link - Linktype of Model %dist - Error Distribution %nob - Effective number of observations. %coef - Coefficient %z - z score. se = %coef/%t. %nl_p - Test for nonlinearity %dof - Degrees of freedom %rss - Residual sum of squares %tss - Total sum of squares %ss_rest - Restricted Sum of Squares %sigma2 - Scale Factor Note: testnl= (%ss_rest - %rss)/%sigma2; %nl_p =chisqprob(testnl,%dof); Reported R**2 =(%tss-%rss)/%tss; Options supported :print Show output. :info Shows iteration summary table. :noint No intercept is estimated. :punch_sur Makes a fsave file for each variable on the right having name coef_____n. Variables saved are: obsnum => Obs number smooth_x => Smoothed x lower => Lower Bound upper => Upper Bound part_res => Partial Residual :punch_res Makes a fsave file for each predictor variable with name scoef____n. Variables saved are: x s(x) s(x)-1.96*se s(x)+1.96*se Names in file are: obsnum = > obs number effect => x variable => s(x) smoothed x lower => s(x)-1.96*se upper => s(x)+1.96*se In addition a file containing y, yhat and the residual is made. This file has name gam_res. :filename=' ' Sets file name if output is requested. Unit used is 44. Default gamfit.fsv :dist type Sets error distribution. Allowed values are: gauss => gaussian (This is the default) binom => binomial poiss => Possion gamma => gamma cox => cox :tol array(:r1 r2) Sets inner and outer loop convergence. Defaults are array(:.1d-8, .1d-8) :maxit index(i1,i2) Sets Maximum number of iterations for backfitting and local scoring respectively. :link linktype Sets link function ident (default) inver logit logar cox call gamfit(y x[predictor,1]{1 to 6} z[cat,4] :link ident); The model specification involves specificatioon of the type of variable and optionally a lag or lags. Unless :noint is supplied, a constant will be automatically added to the model. The model specification allows the lags to be set in the command. Only vectors can be supplied in this release. If no [ ] is supplied, [predictor,3] is assumed. The specification call gamfit(y y[predictor,1]{1} x[predictor,2]{0 to 3} z[predictor,3]{1} )$ is the same as call gamfit(y y[predictor,1]{1} x[predictor,1] x[predictor,2]{1} x[predictor,2]{2} x[predictor,2]{3} z[predictor,3]{1})$ Examples: Call gamfit(y x1 x2[predictor,3] x3[predictor,4]{1} x4[predictor,3]{1 to 6} :print); Note: while x1 is allowed x1{1} is not since [ ] is missing. Discussion of variable types and how to use command. In the model specification inside [vtype, df] is a variable type key word and a degrees of freedom. Variable types response, weight and censoring variables must have df=0. Response is automatically added to the left hand variable which automatically has its DF set to 0.0 For a predictor df=1 means a linear fit, and df > 1 means a nonparametric fit with the desired degrees of freedom df. (A df=0 excludes the variable and should not be used.) A factor is a categorical variable, its df must be 1 less than the number of distinct values. The :dist parameter indicates the error model which can be set as gauss, binom, poiss, gamma or cox. The :link parameter sets the link function. Valid settings are: ident, inver, logit, logar or cox. The :tol parametsr specifies the convergence thresholds for the outer and inner loops of the local scoring procedure. Output contains the analysis of deviance table that includes the slope and standard error of the linear part of the fit, plus "nl-pval" a nonlinear pvalue that tests whether a function estimate is nonlinear (large p-value (GE .95) is evidence for nonlinearity). While it is hard to use qamfit to test a hypothesis due to the difficulty of interpretaion of the coefficnts on the spline smoothed data, plots of the spline function against conditional residual values, may give an indication of the presence of latent nonlinearity in the model that would suggest a specific functional form to be investigated. Example: b34sexec options ginclude('b34sdata.mac') member(gam); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call echooff; call gamfit(y age[predictor,3] start_v[predictor,3] numvert[predictor,3] :link logit :dist gauss :maxit index(2000,1500) :tol array(:.1d-13,.1d-13)); b34srun; Examples with plots and plots and file creation: /; /; Linear = OLS /; /; Shows possible gains of going nonlinear /; b34sexec options ginclude('b34sdata.mac') member(gam_3); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call load(gamplot :staging); call echooff; /; calling OLS and testing against GAMFIT call olsq( cpeptide age bdeficit :print); %olsyhat=%yhat; %olsres =%res; file='gam_3.fsv'; call gamfit(cpeptide age[predictor,3] bdeficit[predictor,3] :punch_sur :punch_res :filename file :print); call gamplot(%names,%lag,file,%olsyhat,%olsres,0); b34srun; /; Example Using Gas Data with Lags /; Illustrates call gamfit options b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec options noheader; b34srun; b34sexec matrix; call loaddata; call load(gamplot :staging); call echooff; maxlag=3; call olsq(gasout gasout{1 to maxlag} gasin{1 to maxlag} :print); %olsyhat=%yhat; %olsres =%res; file='gam_2.fsv'; call gamfit(gasout gasout[predictor,7]{1 to maxlag} gasin[predictor,8]{1 to maxlag} :print :punch_sur :punch_res :filename file ); call gamplot(%names,%lag, file,%olsyhat,%olsres,1); b34srun; GARCH Calculate function for a ARCH/GARCH model. call garch(res,arch,y,func,maxlag,nbad :options); The GARCH subroutine supports a general way to setup a GARCH/ARCH/GARCH-M model and avoid the overhead of recursive calls. The GARCH command works with one series although more than one series can be on the right. The GARCH subroutine calculates the function which is then maximized with CMAXF2 or the in more complex cases with the nonlinear programing with nonlinear constraints command NLPMIN1. The advantage of GARCH over GARCHEST is that constraints can be placed on parameters and constrained maximizer routines other than CMAXF2 can be used. In addition the parameters can optionally be observed as they change. For most GARCH applications, GARCHEST should be used. GARCHEST has been enhanced for alternative models. Since the solution depends on only func, if an alternative model not built into GARCH is needed, the func can be recalculated in the user's routine. GARCH modeling in RATS often has a problem with "useable" observations that arises because during the iteration phase in the second moment equation the value goes LE 0 causing problems with the LOG and the division. If GARCH is used with the CMAXF2 command it is possible to restrict the parameters of the second moment equation such that this does not occur. Sample jobs GARCH3,.., GARCH7 illustrate the use of the GARCH subroutine. The key sections of these jobs are listed below. In the complete jobs, RATS commands are supplied so as to benchmark the results. The job GARCHEST_3 shows GARCHEST on the McCullough-Renfro benchmark. GARCH_6 shows the same test case using the GARCH subroutine and calling CMAX2 directly. This tests case illustrates how the initial values in res1 and res2 make a difference. The b34s GARCH subroutine is slower than Rats, but provides complete instrumentation of the solution process and will not give the "useable" observations message. The GARCHEST command is 4-5 times faster than the GARCH/CMAXF2 combination and should be used for most cases. If speed is NOT an issue and a custom model is estimated, then the model should be hand coded in a matrix command subroutine. This will not be fast. Required GARCH Subroutine arguments res - first moment residual arch - second moment residual y - first moment variable func - function maxlag - maxlag of model for purposes of ML sum. nbad - number of bad datapoints If res1 and res2 are allocated prior to the call to GARCH, the initial values placed in these series are used. If GARCH allocates res1 and res2, all values are set to 0.0. Options supported :AR arparm arorder - AR parameters & orders :MA maparm maorder - MA parameters & orders :GAR garparm garorder - GAR parameters & orders :GMA gmaparm gmaorder - GMA parameters & orders :MU muparm muorder - Mu parameters and order :NOSQRT if present does not take squrt for garch-M models :CONSTANT cparm - Constant :XVAR xmatrix xparm xorder maxlagvec - X matrix parms. orders lags xmatrix - data matrix for inputs xparm - parameter names xorder - vector of orders for inputs maxlagvec - number of parameters for each input :FORECAST Produces %F_M1_M2 a two element array containing first and second moment forecast for last observation. Model estimated max -.5 * (dlog(res2) + ((res1**2)/res2) ) where res1(t)=y(t)-cparm(1)-arparm(1)*y(t-arorder(1))-... -maparm*res(t-maorder(1))-... -muparm(1)*dsqrt(arch(t-muorder(1)))-... -xparm(1)*x1(t-xorder(1))-... arch(t)=cparm(2)+gmaparm(1)*(res(t-gmaorder(1))**2) + garparm(1)* arch(garaorder(1) + ... Note: If overflows occur the parameters of the model may have to be restricted in such a way that they do not get near 0.0 during the solution iterations. Since the order in which the equations are solved is res1 and res2, if muorder(1)=0, then the system will have to be coded with DO loops. Examples of alternative coding are contained in ENDERS2 and ENDERS2B jobs in b34stest.mac. Sample Jobs GARCH3 Joint GARCH(0,1) Estimation /$ /$ Joint GARCH(0,1) Estimation using GARCH subroutine /$ b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix ; call loaddata; count=0.0; j=norows(gasout); arch = array(j:)+1.; res = array(j:); archlog= array(j:); call echooff; program test; /$ Using built in garch subroutine func=0.0; count=count+1.0; call garch(res,arch,gasout,func,2,n :ar array(:b1,b2) idint(array(:1 2)) :gma array(:a1) idint(array(:1) ) :constant array(:b0 a0) ); call outstring(4,3,'F count a0 a1 b0 b1 b2'); call outdouble(34,3,func); call outdouble(54,3,count); call outdouble(4, 4, a0); call outdouble(24,4, a1); call outdouble(44,4, b0); call outdouble( 4,5, b1); call outdouble(24,5, b2); return; end; call print(test); /$ tests a1=.05; /$ /$ Get starting values /$ call olsq(gasout gasout{1 to 2} :print); call print(%coef); call cmaxf2(func :name test :parms b0 b1 b2 a0 a1 :ivalue array(:%coef(3),%coef(1),%coef(2),%resvar,a1) :maxit 300 :gradtol .1e-4 :lower array(:-.1d+30,-.1d+30,-.1d+30,0.0,0.0) :upper array(: .1d+30, .1d+30, .1d+30,.1d+30,.1d+30) :print); call print('Number out of function ',n); call print(sumsq(res)); call tabulate(res,arch); b34srun; ******************************************************** GARCH4 Joint GARCH(1,1) Estimation b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix ; call loaddata; j=norows(gasout); count=0.0; arch = array(j:); res = array(j:); archlog= array(j:); call echooff; program test; /$ Using built in garch subroutine func=0.0; count=count+1.0; call garch(res,arch,gasout,func,2,n :ar array(:b1,b2) idint(array(:1 2)) :gma array(:a1) idint(array(:1) ) :gar array(:a2) idint(array(:1) ) :constant array(:b0 a0) ); call outstring(4,3,'Function'); call outdouble(24,3,func); call outdouble(64,3,count); call outdouble(4, 4, a0); call outdouble(24,4, a1); call outdouble(44,4, a2); call outdouble(64,4, b0); call outdouble( 4,5, b1); call outdouble(24,5, b2); return; end; call print(test); /$ tests a1=.05; a2=0.0; /$ /$ Get starting values /$ call olsq(gasout gasout{1 to 2} :print); call print(%coef); /$ call cmaxf2(func :name test :parms b0 b1 b2 a0 a1 a2 :maxit 200 :maxsteps 10. :ivalue array(:%coef(3),%coef(1),%coef(2),%resvar,a1,a2) :maxit 300 :gradtol .1e-4 :lower array(:-.1d+30,-.1d+30,-.1d+30,.1d-16,.1d-16, -.1d-16) :upper array(: .1d+30, .1d+30, .1d+30,.1d+30,.1d+30, .1d+30) :print); b34srun; ************************************************************ GARCH5 Transfer Function Model with GARCH. Rats used to test b34sexec options ginclude('gas.b34'); b34srun; /$ /$ Estimate a GARCH Transfer function. /$ RATS used to validate results. /$ b34sexec matrix ; call loaddata; j=norows(gasout); count=0.0; arch = array(j:); res = array(j:); archlog= array(j:); call echooff; program test; /$ Using built in garch subroutine to estimate a GARCH /$ Transfer function func=0.0; count=count+1.0; call garch(res,arch,gasout,func,3,n :ar array(:b1,b2) idint(array(:1 2)) :gma array(:a1) idint(array(:1) ) :gar array(:a2) idint(array(:1) ) :xvar gasin array(:gin1 gin2) idint(array(:1 3)) idint(array(:2)) :constant array(:b0 a0) ); call outstring(4,3,'Function'); call outdouble(24,3,func); call outdouble(64,3,count); call outdouble(4, 4, a0); call outdouble(24,4, a1); call outdouble(44,4, a2); call outdouble(64,4, b0); call outdouble( 4,5, b1); call outdouble(24,5, b2); call outdouble( 4,6, gin1); call outdouble(24,6, gin2); return; end; call print(test); /$ tests a1=.01; a2=.01; /$ /$ Get starting values /$ call olsq(gasout gasout{1 to 2} gasin{1} gasin{3} :print); call print(%coef); /$ call cmaxf2(func :name test :parms b0 b1 b2 gin1 gin2 a0 a1 a2 :maxit 200 :maxsteps 4. :ivalue array(:%coef(5),%coef(1),%coef(2),%coef(3), %coef(4),%resvar,a1,a2) :gradtol .1e-4 :lower array(:-.1d+30,-.1d+30,-.1d+30,-.1d+30,-.1d+30, .1d-16,.1d-16,-.1d-16) :upper array(: .1d+30, .1d+30, .1d+30, .1d+30, .1d+30, .1d+30,.1d+30, .1d+30) :print); call print(sumsq(res)); call tabulate(res,arch); b34srun; /$ /$ BHHH method used..residuals set to 0 for beginning obs /$ /$ User must replace GASOUT with user series name /$ b34sexec options open('rats.dat') unit(28) disp=unknown$ b34srun$ b34sexec options open('rats.in') unit(29) disp=unknown$ b34srun$ b34sexec options clean(28)$ b34srun$ b34sexec options clean(29)$ b34srun$ b34sexec pgmcall$ rats passasts pcomments('* ', '* Data passed from B34S(r) system to RATS', '* ') $ pgmcards$ * set seriesn = gasout compute iter = 100,isiter=100 * * garch(1,1) * smpl(series=seriesn) set u11 = 0.0 set v11 = 0.0 nonlin b0 b1 b2 gin1 gin2 a0 a1 beta1 frml regresid = seriesn-b0-b1*seriesn{1}-b2*seriesn{2} $ -gin1*gasin{1}-gin2*gasin{3} frml garchvar = a0+a1*u11{1}**2 + $ beta1 * %if(v11{1}>1.e+100,%na,v11{1}) frml garchlogl = v11(t)=garchvar(t),u11(t)=regresid(t),$ -.5*(log(v11)+u11**2/v11) linreg seriesn # constant seriesn{1} seriesn{2} gasin{1} gasin{3} compute b0=%beta(1),b1=%beta(2),b2=%beta(3),a0=%seesq, $ a1=.05 compute beta1=0.0 compute gin1=%beta(4) compute gin2=%beta(5) nlpar(subiterations=isiter) * maximize(method=simplex,recursive,iterations=iter) $ garchlogl 4 * maximize(method=bhhh,recursive,iterations=iter) $ garchlogl 4 * print * * u11 v11 smpl(series=u11) statistics u11 set rssg11 = u11(t)*u11(t) statistics rssg11 smpl(series=rssg11) compute sumsqu11 = %sum(rssg11) display 'sum of squares of u11 for garch' sumsqu11 b34sreturn$ b34srun$ b34sexec options close(28)$ b34srun$ b34sexec options close(29)$ b34srun$ b34sexec options dodos('rats386 rats.in rats.out') dounix('rats rats.in rats.out')$ b34srun$ b34sexec options npageout writeout('output from rats',' ',' ') copyfout('rats.out') dodos('erase rats.in','erase rats.out', 'erase rats.dat') dounix('rm rats.in','rm rats.out', 'rm rats.dat')$ b34srun$ ************************************************************* GARCH6 Illustrates various test problems b34sexec options ginclude('b34sdata.mac') macro(bg_test1); b34srun; /$ /$ Set dorats=1 to run RATS on the test problem /$ /$ Problem discussed in /$ "Benchmarks and Software Standards: A Case study of /$ GARCH procedures" McCullouch & Renfro /$ Journal of Economic and Social Measurement 25 (1998) /$ 59-71 /$ /$ Has Do loop and GARCH implementation /$ Do loop runs very very slowly /$ b34sexec matrix ; call loaddata; count=0.0; j=norows(returns); arch = array(j:); res = array(j:); archlog= array(j:); * one and pfive make code run faster; one=1; pfive=.5; smu=mean(returns); svar=variance(returns-smu); /$ Set starting value for h(1) if ne 0.0 /$ arch= arch+1.; /$ arch= arch+ (sumsq(returns-smu)/dfloat(j)); call echooff; program test; func=0.0; count=count+1.0; /$ Uncomment do loop and comment call garch to switch /$ mode of running /$ res=returns-mu; /$ do i=2,j; /$ arch(i)=a0+a1*(res(i-one)*res(i-one))+b1*arch(i-one); /$ func=func-(pfive*mlsum(arch(i)))- /$ (pfive*((res(i)*res(i))/arch(i))); /$ enddo; /$ /$ adjusting h(1) /$ /$ if(count.gt.1.)then; /$ arch(1)=(sumsq(res)-(res(1)*res(1)))/dfloat(j-1); /$ endif; /$ /$ Using built in garch subroutine results in faster code /$ res=returns-mu; call garch(res,arch,returns,func,1,n :gar array(:b1) idint(array(:1)) :gma array(:a1) idint(array(:1)) :constant array(:mu a0) ); call outstring(4,3,'F count mu a0 a1 b1'); call outdouble(34,3,func); call outdouble(54,3,count); call outdouble(4, 4, mu); call outdouble(24,4, a0); call outdouble(44,4, a1); call outdouble( 4,5, b1); * call print(func mu a0 a1 b1); return; end; call print(test); /$ /$ tests starting values /$ call cmaxf2(func :name test :parms mu a0 a1 b1 /$ These are benchmark starting values. /$ :ivalue array(:-.016427, .221130, .35,.50) :ivalue array(:smu, svar .01 .5) :maxit 9000 /$ :gradtol .1d-07 /$ :steptol .1d-12 :lower array(:-10., .1d-2, .1d-2, .1d-2) :upper array(: 10. 10. 10. 10. ) :print); call print(sumsq(res)); * call tabulate(res,arch); * Two pass method ; * fixedet=(returns-mean(returns))*(returns-mean(returns)); * call arma(fixedet :maxit 2000 :relerr 0.0 :nar 1 :nma 1 :print); b34srun; Example using DO loop. See GARCH_DO1 in matrix.mac b34sexec options ginclude('gas.b34'); b34srun; /$ This problem runs slow but is most general case. /$ Using DO loops can express any model. /$ Can use CMAXF2 if limit problems. b34sexec matrix ; call loaddata; /$ subset if j reduced j=norows(gasout); call print('# cases used was ',j); count=0.0; arch = array(j:); res = array(j:); archlog= array(j:); call echooff; program test; /$ Using do loop func=0.0; do ii=i,j; res(ii) =gasout(ii) - (b0 +(b1*gasout(ii-1))+ (b2*gasout(ii-2))); arch(ii) =a0 + (a1*(res(ii-1)*res(ii-1))) + a2*dmin1(dabs(arch(ii-1)),.1e+70); func=func+((-.5)*(dlog(dmax1(dabs(arch(ii)), .1e-10))+ ( (res(ii)*res(ii)) /arch(ii)))) ; * call outdouble(3,1,dfloat(ii)); * call outdouble(43,1,func); enddo; count=count+1.0; call outstring(4,3,'Function'); call outdouble(24,3,func); call outdouble(64,3,count); call outdouble(4, 4, a0); call outdouble(24,4, a1); call outdouble(44,4, a2); call outdouble(64,4, b0); call outdouble( 4,5, b1); call outdouble(24,5, b2); return; end; call print(test); i=3; /$ initial values that were set b0=2.; b1=1.7; b2=-.7; a0=.04; a1=.2; a2=.5; /$ /$ call test; /$ call stop; call maxf2(func :name test :parms b0 b1 b2 a0 a1 a2 :maxit 200 :ivalue array(:b0, b1, b2, a0, a1, a2) :print); /$ Alternative setup * call cmaxf2(func :name test :parms b0 b1 b2 a0 a1 a2 :maxit 2000 :maxfun 2000 :maxg 2000 :ivalue array(:b0, b1, b2, a0, a1, a2) :lower array(:-.1d+30,-.1d+30,-.1d+30, .1d-16, .1d-16, .1d-16) :upper array(: .1d+30, .1d+30, .1d+30, .1d+30, .1d+30, .1d+30) :print); b34srun; *********************************************************** GARCH_7 IGARCH(1,1) using NLPMIN1 - see test case GARCH_7 /$ IGARCH(1,1) using NLPMIN1 - showsgeneral case b34sexec options ginclude('b34sdata.mac') member(garchdat); b34srun; b34sexec matrix ; call loaddata; y=sp500; vstart=variance(y-mean(y)); arch=array(norows(y):)+ vstart; res= y-mean(y); call print('mean y ',mean(y):); call print('vstart ',vstart :); program test; call garch(res,arch,y,func,1,nbad :gar array(:gar) idint(array(:1)) :gma array(:gma) idint(array(:1)) :constant array(:a0 b0) ); if(%active(1)) g(1)=gar+gma-1.; func=(-1.)*func; return; end; call print(test); call echooff; call NLPMIN1(func g :name test :parms gar gma a0 b0 :ivalue array(:.5,.5,mean(y),vstart) :nconst 1 0 :lower array(: 1.d-6, 1.d-6, 1.d-6, 1.d-6) :upper array(: 1.d+2, 1.d+2, 1.d+2, 1.d+2) :print :maxit 100 :iprint final); b34srun; GARCHEST Estimate a ARCH/GARCH model. call garchest(res1,res2,y,func,maxlag,nbad :options); The GARCHEST subroutine provides a simple way to setup and estimate GARCH/ARCH/GARCH-M class models and avoid the overhead of both recursive calls and calling a user program. The GARCHEST command supports univariate and multiple input transfer function models and provides the fastest and simplest way to setup and run these complex models. The GARCH command and the call to CMAXF2 should be used for more complicated models or models where the calculation progress has to be monitored. The GARCHEST command will be faster than the GARCH/CMAX2 commands. The GARCHEST command provides added capability for alternative models that are not in the GARCH command which is really just a function that speeds the recursive calculation. If there is demand, the GARCH command can be extended. For complete model flexibility, use a DO loop implementation. Due to the recursive nature of the GARCH/ARCH class of models, vectorizing the calculation is not possible. The speed will be substantially less!! For complex nonlinear constraints use the NLPMIN1 command, which solves nonlinear programming models with nonlinear constraints. The GARCHEST command automatically calls the CMAXF2 routine to maximize the function. The GARCHEST arguments are very simular to GARCH and the options simular to ARMA to facilitate movement back and forth. The sample jobs GARCHEST and GARCHEST_2 illustrate the use of the GARCHEST command. The key sections of these jobs are listed below. In the complete jobs, RATS commands are supplied so as to benchmark the results and to show clearly what is being calculated. The job garchest_3 shows GARCHEST on the McCullough-Renfro benchmark. GARCH_6 shows the same test case using the GARCH subroutine and calling CMAX2 directly. This tests case illustrates how the initial values in res1 and res2 make a difference. GARCHEST Subroutine arguments res1 - first moment residual res2 - second moment residual y - first moment variable func - function maxlag - maxlag of model for purposes of ML sum nbad - number of bad datapoints If res1 and res2 are allocated prior to the call to GARCHEST, the initial values placed in these series are used. If GARCHEST allocates res1 and res2, all values are set to 0.0. Options supported :nar n - Sets n as the max AR order provided all terms up to n are to be estimated. In this case the keyword :arorder is not needed. :arorder ivec - Sets AR terms to be estimated for restricted model. :nar is not set in this case. :arparms rvec - Sets initial AR parameter values. Initial values usually set by using OLS coefficients. :nma m - Set for max MA order provided all terms up to m are to be estimated. In this case :maorder is not needed. :maorder ivec - Sets MA terms to be estimated for restricted models. :nma is not set in this case. :maparms rvec - Sets initial MA parameter values. :ngar n - Sets n as the max GAR order provided all terms up to n are to be estimated. In this case the keyword :garorder is not needed. :garorder ivec - Sets GAR terms to be estimated for restricted model. :ngar is not set in this case. :garparms rvec - Sets initial GAR parameter values. Usually not required. :ngma m - Set max GMA order provided all terms up to m are to be estimated. In this case :gmaorder is not needed. :gmaorder ivec - Sets GMA terms to be estimated for restricted models. :ngma is not set in this case. :gmaparms rvec - Sets initial GMA parameter values. Usually not required. :nmu m - Set for max MU order provided all terms up to m are to be estimated. In this case :muorder is not needed. :nmu needs to be set for GARCH-M models or :muorder needs to be set. :muorder ivec - Sets order of MU terms to be estimated for restricted models. :nmu is not set in this case. :muparms rvec - Sets initial MU parameter values. Usually not required. :noconst1 - No first moment constant. :noconst2 - No second moment constant. :noconst3 - No constant for etgarch. :cparms rvec - Pass 2 element initial constant values. Two elements passed even if :noconst1 or :noconst2 are set. If :etgarch is set, pass three element vector. :print - Print results of estimation. :lower rvec - Vector of lower values for parameters. Usually not needed. First moment parms have range -1.d+32 - 1.d+32. Second moment parameters are restricted to be > 0.0. :upper rvec - Vector of upper values for parameters Usually not needed. First moment parms have range -1.d+32 - 1.d+32. Second moment parameters are restricted to be > 0.0. :xvar xmatrix xparm xorder maxlagvec - xmatrix - data matrix for inputs - xparm - initial values. - xorder - vector of input orders - maxlagvec - number of parameters for each input Note that initial values must be supplied. :xscale vec - Vector of n elements to scale coef vector. Default = 1.0 :fscale real - Functional scaling. Default = 1.0. :ngood int - Sets number of good digits in the function. Default = 15. :maxit int - Maximum number of iterations. Default = 400. :maxfun int - Maximum number of function evaluations. Default = 400 :maxg int - Maximum number of gradiant evaluations. Default = 400 :gradtol real - Scaled gradiant tolerance. Default = eps**(1/3). :steptol real - Scaled step tolerance. Default = eps**(2/3). :rftol real - Relative functional tolerance. Default = max(1.0d-20,eps**(2/3)). :aftol real - Absolute functional tolerance. Default = max(1.0d-20,eps**(2/3)). :fctol real - False convergence tolerance. Default = 100.*eps. :maxsteps real - Maximum allowable step size. Default = (1000*max(tol1,tol2)) where for i=1,n tol1= sqrt(sum of (xscale(i)*ivalue(i))**2 tol2 = 2-norm of XSCALE :simplex - Use simplex (db2pol) to obtain better starting values. :print2 - Prints simplex results. Unless print2 is set, max iteration limit message will not be given. :print3 - Produces limited output for use under SCA Work Bench :ftol real - Relative functional tolerance for simplex. Default = max(1.0d-20,eps**(2/3)). :maxit2 int - Maximum number of iterations for simplex. Default = 100. :stop - Makes exceeding maxit iterations a fatal error that will terminate further processing of the matrix job and stop b34s. This option is usually not used and instead the user inspects the log. The purpose of this option is to kill a long batch job if there was an iteration limit exceeded early in a long job. Advanced Modeling options. There is a wide variaty of advances GARCH type models and various forms. Only a few are "hard wired" here. For exact detail on the format used, see the examples listed below. To estimate models not "hard coded," use the garch subroutine or directly code the models. This will be substantially slower although any model can be estimated as long as it can be coded. :fattail vd - Modifies the GARCH likelihood function for fattails. The parameter vd is calculated. If vd is NOT supplied, it is set to dfloat(n) as an initial guess. :shape vd - Sets shape. Here are fat tail distribution is set, not estimated. :shape is used for :fattail :dist=0, :dist=1 and :dist=2 only. :dist i - i=0 => Rats Formula. i=1 => Tsay formula Tsay (2002) 3.8 page 89 i=2 => GED Generalized Error See Hamilton (1994, 668) i=3 => Cauchy Distribution :nosqrt - Does not take the sqrt of the second moment when estimating ARCH-M and GARCH-M models. :igarch - Estimates a GARCH(1,1) model with the constraint that gar(1)+gma(1)=1.0. If this option is used, only :ngar is supplied. If more than a IGARCH(1,1) is estimated, the DO loop or GARCH setup must be used and NLPMIN1 should be used to set the appropriate constraint. Since as a default there is no positive upper bound, using the :igarch option might cause problems if gar(1) > 1.0 since this implies gma(1) < 0. Hence when using the :igarch option it is suggested that the :upper option be used to impose an upper bound on gar(1) of 1.0. See test job GARCH_7. :egarch vd - Estimates the Nelson (1991) model where the log of the variance is modeled. The parameter vd is calculated. If vd is NOT supplied, it is set to .01 as an initial guess. The exact form is shown in Rats User's guide (2000) Version 5 page 352. For details see below. :egarch2 vd - Estimates modified form of the S-Plus EGARCH model. This form can be translated into the more traditional form. Both :egarch and :egarch2 allow parameters to go < 0.0. Hence in estimation the lower bounds may have to be adjusted with the :lower option. :gjr gma2 - The Glosten et. al (1993) tarch specification for the gma terms breaks the effect of the squared residuals in the second moment equation into two components: one for res1(i) > 0 and one for res1(i) < 0. Initial values can be optionally set after :gjr. The :gjr option requires that gma parameters be in the model. The exact form is shown in Rats User's guide (2000) Version 5 page 352. For details see below. The GJR (tarch) is a special case of teh etgarch model in that only gma terms are impacted :tgarch gar2 - The tgarch specification for the gar terms breaks the effect of res2 in the second moment equation into two components: one for res1(i) > 0 and one for res1(i) < 0. Initial values can be optionally set after :tgarch. The :tgarch option requires that gar parameters be in the model. For an example see Tsay (2002) page 133 eq. (4.12). The :tgarch mode is a special case of the :etgarch model in that only gar terms are impacted. :tgarch2 parms - The tgarch2 specification breaks up the gma into two parts. The number of parms are ngma. Here likelihood function uses second equation squared. This model "looks" like a GJR model escept for the LF used. Basic reference "Threshold Arch Models and Asymmetries in Volatility," R. Rabemananjara & J. M. Zakoian Journal of Applied Econometrics, Vol. 8, 31-49 (1993). Also mentioned in Tsay (2002) page 133 as as alternative threshold volatility model. :tgarch3 - Same as :tgarch2 except parameter constrained to be the same. Likelihood of :tgarch2 used. :etgarch parms - Estimate the etgarch model. parms optionally sets the gar, gma and constant initial values. :noconst3 can be used to turn off etgarch constant. If present, :noconst3 must be placed before :etgarch. The etgarch specification in essence is a combination of the GJR (TARCH) and TGARCH model. This form is shown in Tsay (2002) page 168 and discussed on pages 129-133. General notes: The GARCH/ARCH class of models is wide and changing. A general purpose command such as GARCHEST cannot ever hope to be able to model all possible cases. If a desired case is not modeled, the DO loop approach, while slow, can be used. The SOLVE/FORMULA approach can also be used and should probably be tried first. These approaches may run into temp variable limits. For further detail on how to avoid these problems by managing the workspace see help documents for COMPRESS and SOLVEFREE commands. Use of these commands allows the temp variables to be cleaned while the command is running. The jobs SOLVEFREE1 and SOLVEFREE2 in matrix.mac show these alternative approaches to model estimation. Detail on GARCH modeling in finance is contained in "The Econometrics of Financial Markets" by Campbell-Lo- MacKinley. Princeton 1997. See especially chapter 12. The (2002) book by Ruey Tsay contains an excellent discussion of the modern approaches. Enders (2004) is also an excellent reference on Time Series modeling. In addition to the test cases in matrix.mac, testgar.mac contains a number of jobs that should be run. Many of these jobs contain Rats implementations that are useful to study. Variables created if options are selected: %coef - Estimated coefficients in order ar, ma, gar, gma, mu vd const1 const2 %se - Coefficient Standard Errors %t - Coefficient t scores %cname - Coefficient name %corder - Coefficient order %hessian - Hessian %resobs - Observation # of residual. First MAXLAG set to missing. First MAXLAG obs of RES1 and RES2 set to missing. %g - If EGARCH model where g(t) =dabs(res1(t)/dsqrt(res2(t))) - dqsrt(2.0d+00/pi()) - vd*res1(t)/dsqrt(res2(t)) %func - Final Functional Value %nparm - # of parameters %n_goodd - # of good digits in function %n_iter - # of iterations %n_func - # of function evaluations %n_grad - # of gradiant evaluations %sg_tol - # Scaled Gradient Tolerance %ss_tol - # Scaled Step Tolerance %rf_tol - Relative Function Tolerance %fc_tol - False Convergence Tolerance %max_ss - Maximum allowable step size %s_trust - Size of Initial Trust region %nt_drop - # of terms dropped in ML %h_cond - 1/ Condition of Hessian Matrix The following automatic variables are useful for garchf subroutine that is used to make forecasts. %nar - # AR parameters %nma - # MA parameters %ngar - # GAR parameters %ngma - # GMA parameters %nmu - # MU parameters %con - # constants. 2= both, -1 = first only, 1 = second only Model estimated: ++++++++++++++++++++++++++++++++++++++++++++++++++++++ Likelihood Function in the default case: ++++++++++++++++++++++++++++++++++++++++++++++++++++++ max -.5 * (dlog(res2) + ((res1**2)/res2) ) ****************************************************** if :fattail is set the function maximized is max tden((res1/dsqrt(res2)),df) - .5*dlog(res2) where tden(x,df) is the density of the t distrution for x at degrees of freedom df. ****************************************************** If :tgarch2 or :tgarch3 are estimated the function maximized is max -.5(dlog(res2**2)+((res1**2)/(res2**2)) ++++++++++++++++++++++++++++++++++++++++++++++++++++++ Default First Moment equation: ++++++++++++++++++++++++++++++++++++++++++++++++++++++ res1(t)=y(t)-cparm(1)-arparm(1)*y(t-arorder(1))-... -maparm*res1(t-maorder(1))-... -muparm(1)*dsqrt(res2(t-muorder(1)))-... -xparm(1)*x1(t-xorder(1))-... If a transfer function is not selected: xparm(i)=0 ******************************************************** If :nosqrt is set the first moment equation when a GARCH-M model is estimated is: res1(t)=y(t)-cparm(1)-arparm(1)*y(t-arorder(1))-... -maparm*res1(t-maorder(1))-... -muparm(1)*(res2(t-muorder(1))-... -xparm(1)*x1(t-xorder(1))-... ******************************************************** ++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Default Second Moment equation: ++++++++++++++++++++++++++++++++++++++++++++++++++++++++ res2(t)=cparm(2)+gmaparm(1)*(res1(t-gmaorder(1))**2) + garparm(1)* res2(t-garorder(1) + ... ********************************************************** If :igarch is set, the second moment equation is: res2(t)=cparm(2)+(1.0-garparm(1))*(res1(t-gmaorder(1))**2) + garparm(1)* res2(t-garaorder(1) ********************************************************** If :egarch is set, the second moment equation is: g(t) =dabs(res1(t)/dsqrt(res2(t))) - dqsrt(2.0d+00/pi()) - vd*res1(t)/dsqrt(res2(t)) res2(t)= dexp(cparm(2) +gar(1)*dlog(res2(t-garorder(1)) +gma(1))*g(t-1)) This is the Nelson (1991) form of EGARCH. The exact form is that used in Rats (2000) User's guide page 352 ********************************************************** If :egarch2 is set, the second moment equation is: g(t) = dabs( res1(t)/dsqrt(res2(t))) -vd*(res1(t)/dsqrt(res2(t)) res2(t) = dexp(cparm(2)+ +gar(1)*dlog(res2(t-garorder(1)) +gma(1))*g(t-1)) This is the S Plus form of EGARCH except for - in front of vd so leverage is seen as + ********************************************************** If :gjr is set, the second moment equation is: res2(t)=cparm(2)+gma(1)*(res1(t-gmaorder(1))**2) +gar(1)* res2(t-garorder(1) + ... if res1(t-gmaorder(1)) > 0.0 and res2(t)=cparm(2)+gma(1) *(res1(t-gmaorder(1))**2) +gma2(1)*(res1(t-gmaorder(1))**2) +gar(1) * res2(t-garorder(1) + ... otherwise. The GJR model is also called the tarch model by Enders (2004) page 141, Note: The GJR (tarch) model adjusts the gma side of the second moment equation. The :tgarch command adjusts the gar part of second moment equation. ********************************************************* If :tgarch is set, the second moment equation becomes Define (mask-) =1 if res1(t-1) < 0 res2(t)=cparm(2)- gar(1)*res2(t-1) +(mask-)*gar2(1)*res2(t-1) + gma(1)*res1(t-1)*res1(t-1) LF =-.5(ln(res2(t))+res1(t)**2/res2(t) Note: Tsay (2002) uses a (mask+). This implementation is to be consistent with :gjr. Note: The GJR (tarch) model adjusts the gma side of the second moment equation. The :tgarch command adjusts the gar part of second moment equation. The :tgarch is may be very hard to estimate due to the cinstraints imposed. Both :tgarch and :gjr are special cases of :etgarch. ************************************************** If :tgarch2 is set then res1(t)=y(t)-..cparm(1)-ar(i)*y(t-i)..-ma(i)*res1(t-i) res2(t)=cparm(2)+ gar(1)*res2(t-1) + gma(1)*res1(t-1) if res1(t-1) > 0 + gma2(1)*res1(t-1) if res1(t-1) < 0 LF =-.5*(ln(res2(t)**2)+(res1(t)**2/res2(2)**2)) =- ln(res2(t) -.5*(res1(t)**2/res2(2)**2) This is the Zakoian (1994) form of asymetric tar model. Note res2(t)= the square root of the second moment variance. ************************************************** If tgarch3 is set then res1(t)=y(t)-..cparm(1)-ar(i)*y(t-i)..-ma(i)*res1(t-i) res2(t)=cparm(2) + gar(1)*res2(t-1) + gma(1)*abs(res1(t-1))) LF =-.5*(ln(res2(t)**2)+(res1(t)**2/res2(2)**2)) =- ln(res2(t) -.5*(res1(t)**2/res2(2)**2) This is the Zakoian (1994) form of symetric tar model. Note res2(t)= the square root of the second moment variance. ********************************************************* If :etgarch is set then res1(t)=y(t)-..cparm(1)-ar(i)*y(t-i)..-ma(i)*res1(t-i) res2(t)=cparm(2)+gar(1)* res2(t-1) +gma(1)*(res1(t-1)**2)) Where res1(t-1) < 0.0 add terms +cparm(3) +gar2(1)*(res2(t-1)) +gma2(1)*(res1(t-1)**2) LF =-.5(ln(res2(t))+res1(t)**2/res2(t) Notes: This model is discussed in Tsay (2002) page 168. Tsay at that location uses a (mask+). This implementation is to be consistent with :gjr. Higher order terms have been removed to simplify notation. If overflows occur the parameters of the model may have to be restricted in such a way that they do not get near 0.0 during the solution iterations. Sample Jobs Job 1. GARCHEST Joint GARCH(0,1) Estimation b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix ; call loaddata; call garchest(res,arch,gasout,func,2,n :nar 2 :ngma 1 :print ); b34srun; -------------------------------------------------- Job 2. GARCHEST_2 Joint GARCH(1,1) Estimation b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix ; call loaddata; call garchest(res,arch,gasout,func,2,n :nar 2 :ngma 1 :ngar 1 :print); b34srun; ---------------------------------------------------- Job 3. More complex model requiring starting values. b34sexec options ginclude('b34sdata.mac') member(wpi); b34srun; b34sexec matrix ; call loaddata; * See Enders page 155 ; j=norows(pi); call olsq(pi pi{1} :print); arch = array(j:); res = array(j:); call garchest(res,arch, pi,func,1,n :maorder idint(array(:1,4)) :nar 1 :arparms array(:%coef(1)) :ngar 1 :ngma 1 :maxfun 2000 :maxg 2000 :maxit 10000 :gradtol .1e-4 :cparms array(:%coef(2),%resvar) :print); call print(sumsq(res)); call tabulate(res,arch); b34srun; --------------------------------------------------- Job 4. Fattails GARCH(1,1) see job GARCHEST_6 Simplex used for starting values b34sexec options ginclude('b34sdata.mac') member(garchdat); b34srun; b34sexec matrix ; call loaddata; * GARCH setup where use fattail; j=1; i=integers(j,norows(sp500)); y=sp500(i); vstart=variance(y-mean(y)); arch=array(norows(y):)+ vstart; res= y-mean(y); /$ un comment to see effect /$ arch=arch*0.0; call garchest(res,arch,y,func,1,n :lower array(5:.1d-6,.1d-6, 0.,0.0, 0.0) :cparms array(2:mean(y),vstart) :ngar 1 :ngma 1 :maxfun 200000 :maxit 200000 :maxg 200000 :fattail 50. :simplex :print2 :print ); call graph(goodrow(res)); call graph(goodrow(arch)); call tabulate(%resobs,res,arch); b34srun; --------------------------------------------------- Job 5. IGARCH(1,1) Done two ways. See job GARCHEST_7 b34sexec options ginclude('b34sdata.mac') member(garchdat); b34srun; /$ Job illustrates problems in GARCH estimation. /$ IGARCH(1,1) done two ways b34sexec matrix ; call loaddata; * GARCH setup where use fattail; j=1; i=integers(j,norows(sp500)); y=sp500(i); vstart=variance(y-mean(y)); arch=array(norows(y):)+ vstart; res= y-mean(y); /$ un comment to see effect /$ arch=arch*0.0; call garchest(res,arch,y,func,1,n :lower array(3:0.0, 0.0 , 0.0 ) :upper array(3:1. , 1.d+6 , 1.d+6) :cparms array(2:mean(y),vstart) :ngar 1 :maxfun 200000 :maxit 200000 :maxg 200000 :igarch :simplex :print2 :print ); call graph(goodrow(res)); call graph(goodrow(arch)); call tabulate(%resobs,res,arch); b34srun; /$ IGARCH(1,1) using NLPMIN1 - shows general case. /$ More than IGARCH(1,1) can be done!!! /$ /$ Note that SE are not available b34sexec matrix ; call loaddata; y=sp500; vstart=variance(y-mean(y)); arch=array(norows(y):)+ vstart; res= y-mean(y); call print('mean y ',mean(y):); call print('vstart ',vstart :); program test; call garch(res,arch,y,func,1,nbad :gar array(:gar) idint(array(:1)) :gma array(:gma) idint(array(:1)) :constant array(:a0 b0) ); if(%active(1)) g(1)=gar+gma-1.; func=(-1.)*func; return; end; call print(test); call echooff; call NLPMIN1(func g :name test :parms gar gma a0 b0 :ivalue array(:.5,.5,mean(y),vstart) :nconst 1 0 :lower array(: 1.d-6, 1.d-6, 1.d-6, 1.d-6) :upper array(: 1.d+2, 1.d+2, 1.d+2, 1.d+2) :print :maxit 100 :iprint final); b34srun; --------------------------------------------------------------- Job 6. EGARCH(1,1). See GARCHEST_8 job b34sexec options ginclude('b34sdata.mac') member(garchdat); b34srun; /$ Job illustrates problems in EGARCH estimation. b34sexec matrix ; call loaddata; * GARCH setup where use egarch ; * Note that for starting values for second moment we use dlog(vstart) ; * For difficult problems the upper limit array caps values such that exp( ) does not blow up ; j=1; i=integers(j,norows(sp500)); y=sp500(i); vstart=variance(y-mean(y)); arch=array(norows(y):)+ vstart; res= y-mean(y); /$ un comment to see effect /$ arch=arch*0.0; call garchest(res,arch,y,func,1,n :lower array(5:.1d-6,.1d-6,.1d-6,0.0,0.0) :upper array(5:10., 10., 20.,1.d+10, 1.d+10) :cparms array(2:mean(y),dlog(vstart)) :ngar 1 :ngma 1 :maxfun 200000 :maxit 200000 :maxg 200000 :egarch .1 :simplex :print2 :maxit2 600 :print ); call graph(goodrow(res)); call graph(goodrow(arch)); call tabulate(%resobs,res,arch); b34srun; --------------------------------------------------- Job 7. GJR GARCH(1,1)/ See job GARCHEST_9 b34sexec options ginclude('b34sdata.mac') member(garchdat); b34srun; /$ Job illustrates problems in GARCH estimation. b34sexec matrix ; call loaddata; * GARCH setup where use GJR Model ; j=1; i=integers(j,norows(sp500)); y=sp500(i); vstart=variance(y-mean(y)); arch=array(norows(y):)+ vstart; res= y-mean(y); /$ un comment to see effect /$ arch=arch*0.0; call garchest(res,arch,y,func,1,n :lower array(5:.1d-6,.1d-6,.1d-6,0.0, 0.0) :cparms array(2:mean(y),vstart) :ngar 1 :garparms array(:.1) :ngma 1 :gmaparms array(:.22) :maxfun 200000 :maxit 200000 :maxg 200000 :gjr array(:.9) :simplex :print2 :maxit2 700 :print ); call graph(goodrow(res)); call graph(goodrow(arch)); call tabulate(%resobs,res,arch); b34srun; --------------------------------------------------- Job 8. ETGARCH Model. See GARCHEST15 job b34sexec options ginclude('b34sdata.mac') member(lee4); b34srun; b34sexec matrix ; call loaddata; * The data generated by GAUSS $ * a1 = GMA = 0.09 $ * b1_n = GAR = 0.5 ( When Negative) $ * b1 = GAR = 0.01 $ call echooff ; maxlag=2 ; y=doo1 ; * y=y-mean(y) ; v=variance(y) ; arch=array(norows(y):) + v; * GARCH on a TGARCH Model ; call garchest(res,arch,y,func,maxlag,n :ngar 1 :garparms array(:.1) :ngma 1 :gmaparms array(:.0001) :maxit 2000 :maxfun 2000 :maxg 2000 /$ :steptol .1d-14 :cparms array(2:.0001,.0001) :print ); * ETGARCH on a TGARCH Model ; * arch=array(norows(y):) + dsqrt(v); call garchest(res,arch,y,func,maxlag,n :ngar 1 :garparms array(:.6) :ngma 1 :gmaparms array(:.1) :etgarch array(:.4,.1, .0001) :simplex :print2 :lower array(:.1e-7,.1e-8,.1e-8,-.01, .001, .001, -.1) :maxit 2000 :maxfun 2000 :maxg 2000 /$ :steptol .1d-4 :cparms array(2: .01,.01) :print ); b34srun ; --------------------------------------------------- Job 9. GARCHEST_A Transfer Function Model b34sexec options ginclude('gas.b34'); b34srun; /$ /$ Estimate a GARCH transfer function. /$ For a direct example using GARCH see GARCH_4 example /$ results tested with RATS in GARCH_4 /$ b34sexec matrix ; call loaddata; call olsq(gasout gasout{1 to 2} gasin{1} gasin{3} :print); /$ res =array(norows(gasout):); /$ res=gasout-mean(gasout); /$ arch=array(norows(gasout):) +%resvar ; call garchest(res,arch,gasout,func,3,n :nar 2 :arparms array(:%coef(1) %coef(2)) :ngma 1 :ngar 1 :xvar gasin array(:%coef(3) %coef(4)) idint(array(:1 3)) idint(array(:2)) :cparms array(:%coef(5), %resvar) :lower array(:-.1d+30,-.1d+30,-.1d+30, -.1d+30, .1d-16, .1d-16, -.1d+30, .1d-16) :maxsteps 4. :gradtol .1e-4 /$ :simplex :print2 :maxit2 2000 :maxit 2000 :maxfun 2000 :maxg 2000 :print); /$ call print(sumsq(goodrow(res)):); call tabulate(res,arch); call graph(goodrow(res)); call graph(goodrow(arch)); b34srun; Notes: :tgarch is very hard to estimate. :tgaropt may need to be used to get just the right form or :limits may have to be used to "turn off" specific constraints. Job GARCHEST_B shows a GARCH transfer function where there are no second order terms. This is tested against the OLSQ command. Job GARCHEST_C shows a GARCH-M transfer function model. To fully exploit the capability of the GARCHEST command it is suggested that the test jobs in matrix.mac be studied and run. GET Gets one or more variables from b34s. call get(name); Obtains the variable name from the current B34S dataset. The alternative call loaddata; gets all variables. Options :dropmiss - allows series to be subset call get(x1, x2 :dropmiss); Warning: If there are multiple calls to get in the same matrix command and there are missing data values in the B34S dataset that has been loaded, then there is the possibility that series will not be aligned. To avoid this problem use only one call get( ) statement per matrix command. Example: b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call get(gasout,gasin); call names; call graph(gasout); b34srun; GETDMF Gets a data from a b34s DFM file. This command has not been implemented yet. GETKEY Gets a key Gets a key code call getkey(i); sets i if a key has been hit call getkey(i:); waits for a key to be hit Codes returned Key/Event Code --------- ----- Backspace ( 8) KeyBackSpace Tab ( 9) KeyTab Return ( 13) KeyReturn Escape ( 27) KeyEscape Printable ASCII chars 32 -> 126 Delete (127) KeyDelete cursor up/down/right/left (128) KeyCursorUp -> (131) KeyCursorLeft shift/cursor u/d/r/l (132) KeyPageUp -> (135) KeyPageLeft ctrl /cursor u/d/r/l (136) KeyUpExtreme -> (139) KeyLeftExtreme Home / Find (140) KeyHome End/Copy / Select (141) KeyEnd Insert / Insert Here (142) KeyInsert Delete-under-cursor (e.g. Remove) (143) KeyDeleteUnder Backtab (e.g. shift/Tab) (144) KeyShiftTab keypad keys 0 to 9 (145) Keypad0 -> (159) Keypad9 keypad - (minus) (160) KeypadMinus keypad . (period) (161) KeypadPoint keypad + or , (plus/comma) (162) KeypadPlus keypad / (slash) (163) KeypadDivide keypad * (asterisk) (164) KeypadMultiply keypad # (hash) (165) KeypadHash keypad Enter (166) KeypadEnter Print (170) KeyPrint function keys 1 to 20 (171) KeyF1 -> (190) KeyF20 SHIFT/fn keys 1 to 20 (191) KeyShiftF1 -> (210) KeyShiftF20 CTRL /fn keys 1 to 20 (211) KeyCtrlF1 -> (230) KeyCtrlF20 ALT /fn keys 1 to 20 (231) KeyAltF1 -> (250) KeyAltF20 Left mouse button down (251) LeftButtonDown Middle mouse button down (252) MiddleButtonDown Right mouse button down (253) RightButtonDown Left mouse button up (254) LeftButtonUp Middle mouse button up (255) MiddleButtonUp Right mouse button up (256) RightButtonUp Mouse movement event (257) MouseMove reserved (258) Graphics window expose/resize event (259) ResizeEvent Close-window request (260) CloseRequest 8-bit ASCII chars 128-255 384 -> 511 (i.e.256+8-bit code) Alt/backspace (520) KeyAltBackspace Alt/tab (521) KeyAltTab Alt/Return (525) KeyAltReturn Alt/Escape (539) KeyAltEscape Alt/0 - Alt/9 560 -> 569 (i.e. 512+ASCII code) Alt/A - Alt/Z 577 -> 602 Example: b34sexec matrix; call echooff; i=0; start continue; call getkey(i); if(i.ne.0)then; call outstring(1,3,'Hit escape to terminate'); call outstring(1,4,'key'); call outinteger(22,4,i); if(i.eq.27)go to stop; endif; go to start; stop continue; b34srun; GETMATLAB Gets data from matlab. call getmatlab(x :file 'junk'); Reads a special file that the b34s supplied matlab m file makeb34s makes. Files created with makeb34s can be read back into MATLAB with the matlab command getb34s. If :file is not present, the default name is _b34smat.dat The commands getmatlab & makematlab pass series as a matrix. If more accuracy is desired the matrix language commands gmatlab and mmatlab (which are shown in the WRITE2 and READ2 examples) can be modified. If accuracy is increased, the matlab m files getb34s.m and makeb34s.m will have to be changed. The MATLAB sentence under the PGMCALL command allows passing of b34s data to MATLAB via vectors. In addition MATLAB commands can be appended. To get data from MATLAB to b34s use the GETMATLAB command under the MATRIX command and use the MATRIX command MAKEDATA to make the appropriate b34s data loading step so that procedures can be run.. Options: :file ' ' - Supply file name. For a related command see makematlab. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; /$ When using the MATLAB GETB34S file use full path /$ xx=getb34s('c:\junk\junk.ttt'); call loaddata; call names; xx=rn(matrix(5,5:)); call makematlab(gasout,gasin:file 'junk.ttt'); call makematlab(xx :file 'junk2.ttt'); call getmatlab(x, :file 'junk.ttt'); call getmatlab(xx2 :file 'junk2.ttt'); call print(x,xx,xx2); call names; cx=complex(xx,xx*2.); call makematlab(cx :file 'junk3.ttt'); call getmatlab(cx2, :file 'junk3.ttt'); call print(cx,cx2); b34srun; GET_FILE Gets a File Name Get a file name using a menu. call get_file(cc); Gets a File name in CC. Example: b34sexec matrix; call get_file(cc); call print('File found was ',cc); call erase(cc); b34srun; GET_NAME Gets a Variable name subroutine get_name(nn,ii); /; /; nn = name /; ii = 0 is a problem /; = 1 otherwise /; /; ***************************************** /; Note: This command has to be loaded with the command call load(get_name); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; back continue; call loaddata; call load(get_name); call load(dataview); call load(data_acf); call get_name(cc,ii); if(ii.eq.0)go to done; call character(nn,cc); call dataview(eval(cc),nn); go to back; endif; done continue; b34srun; GETRATS Reads RATS Portable file. call getrats(' '); Loads data from rats portable file. If no arguments are passed, the default name of myrun.por is used. Unless keepmiss is in effect, missing data will be removed as the default. Options: :keepmiss - Optionally keep missing data. For a related command see makerats. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; newgasi=gasin; newgaso=gasout; call makerats(gasin,newgasi,gasout,newgaso :file 'full.por'); call print(mean(gasin) mean(newgasi) mean(newgaso) mean(gasout) ); call cleardat; call getrats('full.por'); call print(mean(gasin) mean(newgasi) mean(newgaso) mean(gasout) ); call names; call tabulate(obsnum,gasin,newgasi,gasout,newgaso); b34srun; GETSCA Reads SCA FSAVE and MAD portable files. call getsca('fname'); Loads SCA fsave 'fname' into the MATRIX command. This assumes that the first member is loaded. The variant call getsca('fname' :member jones); will load member jones. If the series are of different lengths, then series of different lengths are created. Optional commands :mad allows reading of a SCA MAD file with possibly unequal data lengths. The folowing options are only needed for last datasets read with more than oner series on the row. :maxseries n1 Set to read more than 300 series. The default # of series read in a mad file with more than one series on a row is 300. :maxcwork n2 Set greater than the default of 4000 if parse space is needed. :maxptokens n3 Set to the max parse tokens in file. Can be set above default of 3000. :info Displays internal settings. For related commands see makesca and makemad. Example: b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call makemad(gasin,gasout :file 'full.mad' :member test); b34srun; b34sexec matrix; call getsca('full.mad' :mad); call names; call print('mean(gasin)' , mean(gasin) :line); call print('mean(gasout)', mean(gasout) :line); call tabulate(gasout,gasin); b34srun; GMFAC - LU factorization of n by n matrix call gmfac(x,l,u); call gmfac(x,l,u,info); Factors n by n matrix x such that x = L*U U = upper triangular matrix L is a "psychologically lower triangular matrix" (i.e. a product of lower triangular and permutation matrices) in L. This command works the same way as the MATLAB lu(x) command. In contrast to x=inv(xx); which uses LINPAC DGECO/DGEFA/DGEDI ZGECO/ZGEFA/ZGEDI unless options are set, GMFAC uses the LAPACK routines DGETRF and ZGETRF. GMFAC optionally will return info > 0 if U(i,i)=0. x - n by n matrix l - Lower triangular matrix u - Upper triangular matrix info - 0 all ok ne 0 x not full rank Example: b34sexec matrix; * Problem from MATLAB; x=matrix(3,3:8. 1. 6. 3. 5. 7. 4. 9. 2.); call gmfac(x,l,u,info); call print(x,l,u,info,l*u); cx=complex(x,dsqrt(dabs(x))); call gmfac(cx,cl,cu,info); call print(cx,cl,cu,info,cl*cu); b34srun; GMINV - Inverse of General Matrix using LAPACK call gminv(x,xinv); call gminv(x,xinv,info); call gminv(x,xinv,info,rcond); Inverts a general matrrix using LAPACK Given x - is n by n matrix xinv - inverse of x Optional Arguments. If these arguments are present program will not stop if there is a problem. This allows "code trapping" of a problem. info - 0 all ok ne 0 x not full rank rcond - if present returns the condition of the matrix if info = 0 GMINV uses LAPACK DGETRF/ZGETRF and DGETRI/ZGETRI DGECON/DGECON Note that rcond takes time to compute. The test job GMINV_2 suggests that LINPACK runs faster than LAPACK. The advantage of GMINV is that rank problems can be easily captured and code can be written to handle the exception. Rank can also be found using PINV(x,rank) for a real*8 matrix. Example 1: b34sexec matrix; n=5; x=rn(matrix(n,n:)); call gminv(x,xinv1,info); xinv2=inv(x); test1=x*xinv1; test2=x*xinv2; call print(x ,xinv1 ,xinv2 ,test1,test2); cx=complex(x,dsqrt(dabs(x))); call gminv(cx,cxinv1,info); cxinv2=inv(cx); test1=cx*cxinv1; test2=cx*cxinv2; call print(cx,cxinv1,cxinv1,test1,test2); b34srun; Example 2: Speed tests of LAPACK vs LINPACK b34sexec matrix; * Tests speed of Linpack vs LAPACK; call echooff; icount=0; n=0; upper=600; mesh=50; top continue; icount=icount+1; n=n+mesh; if(n .eq. upper)go to done; x=rn(matrix(n,n:)); ii=matrix(n,n:)+1.; call timer(base1); call gminv(x,xinv1,info); call timer(base2); error1(icount)=sum(dabs(ii-(xinv1*x))); call timer(base3); xinv1=inv(x); call timer(base4); error2(icount)=sum(dabs(ii-(xinv1*x))); size(icount) =dfloat(n); lapack(icount) =(base2-base1); linpack(icount)=(base4-base3); call free(x,xinv1,ii); call compress; go to top; done continue; call tabulate(size,lapack,linpack,error1,error2); call graph(size lapack,linpack :plottype xyplot); b34srun; GMSOLV - Solve Linear Equations system using LAPACK call gmsolv(x,b,ans,info); Solves a linear system using LAPACK Given x - n by n matrix b - n by k matrix ans - answer of inv(x)*b Optional Argument: If this argument is present the program will not stop if there is a rank problem. info - 0 all ok ne 0 not full rank :refine If present the LAPACK routines DGESVX and ZGESVX will be used to refine the solution. This will take substantially more time. Automatic variables created include: %rcond = LAPACK estimate of the condition %ferror = forward error %berr = backward error :refinee If present the LAPACK routines DGESVX and ZGESVX will be used to refine the solution. This will take substantially more time. Automatic variables created include: %rcond = LAPACK estimate of the condition %ferror = forward error %berr = backward error With this option matrix equilibrating will be performed. If :refine or :refinee are used, info must be present and tested. Routine will not stop if there are problems. GMSOLVE uses LAPACK DGETRF/ZGETRF and DGETRS/ZGETRS. Since the inverse is NOT formed, and BLAS 3 is used for large systems there is a speed gain over an implementation that explicitly forms the inverse. Since the command solves x * ans = b Assuming x is (n by n) if b is an identity matrix, then here ans will be the inverse. This tricks the program to give the inverse but is wasteful of space. If :refine is used, then the inverse may be accurate, but at higher cost!! Example: b34sexec matrix; n=5; x=rn(matrix(n,n:)); b=rn(x); call gmsolv(x,b,test1,info); test2=inv(x)*b; call print(x ,b ,test1,test2); cx=complex(x,dsqrt(dabs(x))); cb=complex(b,dsqrt(dabs(b))); call gmsolv(cx,cb,test1,info); test2=inv(cx)*cb; call print(cx,test1,test2); b34srun; GRAPH High Resolution graph. call graph(x); Allows graphing of one to nine series using high resolution plotting. If graphics not available, use plot command. Advanced Graph features using keywords: :heading 'Heading here' Can set up to 72. :pspaceon can improve looks. :htitle xsize ysize xsize = 1. => 75 characters per line. ysize = 1. => 25 characters per col. :plottype keyword obsplot - Series plotted against observation number. This is the default. xyplot - Plots first series on x axis. xyzplot - Plots three series in 3D Plot. hist2d - 2 dimensional histogram. hist2dv - 2 dimensional histogram with labels. hist2dhl - 2 dimensional histogram with high/low labels. series 1 = low value, series 2 = high value) hist3d - 3 dimensional histogram hist2dc - 2 dimensional cumulative histogram hist3dc - 3 dimensional cumulative histogram bar2d - 2 dimensional bar graph bar2dv - 2 dimensional bar graph with labels bar3d - 3 dimensional bar graph bar2dc - 2 dimensional cumulative bar graph bar3dc - 3 dimensional cumulative bar graph pie - Pie chart scatter - Scatter diagram xyscatter- Scatter diagram with first series on x axis Note: For a time plot use xyplot and pass a year variable in. The command call loaddata; will generate a julian variable bjulian_ that can be used. See the commands getyear( ) and fyear( ) commands. If a variable has time series info, then makejul( ) can be used to get the julian date vector. The next four options require a 2-D matrix be passed mesh - Plots a 2 by 2 matrix meshc - Plots a 2 by 2 matrix using a matrix of colors. meshstep - Plots a 2 by 2 matrix using a step 3-D plot meshstepc - Plots a 2 by 2 matrix using a step 3-D plot with colors **************************************************** The next two options require a 3-D matrix and do volume plots. Vold3 uses a range of 9 colors. Vold3c plots individual cells. vol3d - Plots a three dimensional real*8 matrix passed as a 1-D array. If dimensions are not the same, use :dimension index(n1,n2,n3) to set the dimensions of the matrix. Plots using one color vol3dc - Plots a three dimensional real*8 matrix passed as a 1-D array. If dimensions are not the same, use :dimension index(n1,n2,n3) to set the dimensions of the matrix. Elements of matrix in range 0.0 - 256. plot as a color. For elements = missing plot without color. If :scale is supplied data will be scaled to be in range 0.0 - 256. Example of complex graphs: b34sexec options ginclude('b34sdata.mac') member(windvel); b34srun; b34sexec matrix; call loaddata; call graph(vel :Heading 'Data looked at as a 1-D array'); call graph(vel :plottype vol3d :d3axis :d3border :grid :angle 10. :dimension index(35,41,15) :heading 'Vol3d plot of Wind Vel.'); call graph(vel :plottype vol3d :d3axis :d3border :grid :angle 30. :scale :dimension index(35,41,15) :heading 'Vol3d plot of Wind Vel.' ); call graph(vel :plottype vol3dc :d3axis :d3border :grid :scale :dimension index(35,41,15) :angle 10. :heading 'Vol3dc plot of Wind Vel.'); b34srun; **************************************************** The next ten options require 3 series contours - 3D Scatter plot. contoursx- 3D Scatter plot line to X axis. contoursy- 3D Scatter plot line to Y axis. contoursz- 3D Scatter plot line to Z axis. contour3 - Three demensional surface plot. User supplies three vectors. steped3d - Stepped plot version of countour3. contourc - Same as contour3, except that Height vector cheight is generated. steped3dc- Same as contourc except uses step plot contour2 - Two dimensional line based contour plot. contourf - Two dimensional fill based contour plot. obsplotb - Line plot with two error bars. Bars set as 2nd and 3rd series. timeplotb- Time plot with two error bars. Bars set as 2nd and 3rd series. Example: b34sexec matrix; n=100; k=20; x=rn(matrix(n,k:)); call graph(x :plottype mesh :angle 10. :d3axis :d3border :heading 'This is the data'); call graph(x :plottype meshc :heading 'The data as a surface'); x=transpose(x)*x; call graph(x :plottype mesh :heading 'This is what transpose(x)*x is'); call graph(x :plottype meshc :heading 'Transpose(x)*x in color!!'); call graph(x :plottype meshc :grid :heading 'Transpose(x)*x in color with Grid'); call graph(x :plottype mesh :angle 10. :heading 'Transpose(x)*x - angle 10.'); call graph(x :plottype meshc :angle 10. :heading 'Transpose(x)*x - angle 10.'); call graph(x :plottype mesh :rotation 90. :heading 'Transpose(x)*x rotation 90.'); call graph(x :plottype meshc :rotation 90. :grid :d3axis :d3border :heading 'Transpose(x)*x rotation 90.'); call graph(x :plottype meshstep :rotation 70. :angle 10. :grid :heading 'Transpose(x)*x rotation 70. meshstep'); call graph(x :plottype meshstepc :rotation 70. :angle 30. :grid :d3axis :heading 'Trans(x)*x rotation 70. meshstepc'); call graph(x :plottype meshstepc :rotation 70. :angle 0. :grid :heading 'Trans(x)*x rotation 70. meshstepc'); b34srun; ******************************************************* Note: For obsplotb and timeplotb the series are entered as y ylower yupper. The pie graph type requires two series. The second of which must be character for labels. Color keywords black red yellow green cyan blue magenta white gray bred byellow bgreen bcyan bblue bmagenta bwhite ------------------------------------------------------- :overlay keyword keywords recognized are: acfplot - assumes acfplot2d acfplot2d acfplot3d for ACF we use call graph(acfval se :nokey :nolabel :heading 'ACF Plot' :overlay acfplot); Example: b34sexec options ginclude('gas.b34')$ b34srun$ b34sexec matrix; call loaddata; acf2=acf(gasin,24,se2,pacf2); call graph(acf2 se2 :overlay acfplot); b34srun; ---------------------------------------------------------- :file 'file name' Saves plot. :noshow Turns off display of graph if hardcopy to a file is selected :fitspline Fits a spline to line and x-y plots. :linetype key key can be solid (Default) dotted dashed dotdash dotdotdash (device dependent) longshort (device dependent) short (device dependent) :linetype solid dotted makes plot 1 solid and plot 2 dotted :markpoint istart ievery icode1 icode2 istart Sets position to mark point. ievery Sets number between points. icode1 Sets 0 => No not mark the plot (default) 1 => digits 2 => letters 3 => Markers 4 => Symbols icode2 Sets what to plot with For digits set 1-9 For letters 1-26 (A-Z) 27-25 (a-z) For Markers 1-20 For Symbols 33-126 or 161-255 icode2 can be set as an array Examples: 1 1 3 14 => mark with big dot 1 1 4 111 => mark with small dot 1 1 4 116 => mark with dot 1 1 4 120 => mark with a bar 1 1 4 166 => Mark with small dot 1 1 1 index(1,2,3,4,5,6,7,8,9) Recommended settings are 1 1 4 162 1 1 4 165 1 1 4 206 1 1 4 218 1 1 4 219 For a complete visual table of what is available go to "Settings" "Graph Settings" "View Character / Symbol Table" :wait # of centiseconds to wait while a graph displays. :colors keywords for 1-9 :grcharset filename loads a character set file. Once this file is loaded it is the default charset. See call igrcharset('filename') command to set the default character set. File names supported 'H' Hardware font. 'standard.chr' General Purpose character set. 'roman.chr' Times Roman 'romanbld.chr' Roman Bold 'swiss.chr' Swiss / Helvetica style font 'swissbld.chr' Swiss / Helvetica bold font 'simplexrchr' Similar to standard with more detail. 'duplexr.chr' More detailed that simplex. 'triplexr.chr' Heavier variant than duplex. 'complexr.chr' More tapered segments than triplexr. 'complexi.chr' Italic version of Complex Roman. 'triplexi.chr' Italic version of triplex Roman. 'simplexs.chr' Handwritten style. 'complexs.chr' More detailed variant of simplexs. 'simplexg.chr' Greek characters added to simplex. 'complexg.chr' More detailed simplexg. 'gothicen.chr' Very detailed old English style. 'gothicit.chr' Variant of gothicen. 'standden.chr' Danish variant of standard. 'standfra.chr' French variant of standard. 'standger.chr' German variant of standard. 'standita.chr' Italian variant of standard. 'standnor.chr' Norwegian variant of standard. 'standswe.chr' Swedish variant of standard. 'standuk.chr' UK variant of standard. :grcharfont ikey ikey codes Fixed Proportional 1 Helvetica Courier 2 Helvetica ital Courier ital 3 Helvetica bold Courier bold 4 Helvetica bold/Ital Courier bold/ital 5 Times Roman Courier 6 Times Roman ital Courier ital 7 Times Roman bold Courier bold 8 Times Roman bold/ital Courier bold/ital The grcharfont option requires :grcharset 'h' be in effect. Examples of grcharset and grcharfont are in graph7. b34sexec options ginclude('gas.b34')$ b34srun$ b34sexec matrix; call loaddata; call graph(gasout :heading 'This is the current default'); call graph(gasout :heading 'This is a standard.chr' :grcharset 'standard.chr'); call grcharset('H'); call graph(gasout :heading 'This is a test 1' :pspaceon :grcharfont 1 :file 't1.wmf'); call graph(gasout :heading 'This is a test 2' :grcharfont 2 :file 't2.wmf'); call graph(gasout :heading 'This is a test 3' :grcharfont 3 :file 't3.wmf'); call graph(gasout :heading 'This is a test 4' :grcharfont 4 :file 't4.wmf'); call graph(gasout :heading 'This is a test 5' :grcharfont 5 :file 't5.wmf'); call graph(gasout :heading 'This is a test 6' :grcharfont 6 :file 't6.wmf'); call graph(gasout :heading 'This is a test 7' :grcharfont 7 :file 't7.wmf'); call graph(gasout :heading 'This is a test 8' :grcharfont 8 :file 't8.wmf'); call graph(gasout :heading 'This is a test roman.chr' :grcharset 'roman.chr'); call graph(gasout :heading 'This is a test romanbld.chr' :grcharset 'romanbld.chr'); call graph(gasout :heading 'This is a test swiss.chr' :grcharset 'swiss.chr'); call graph(gasout :heading 'This is a test swissbld.chr' :grcharset 'swissbld.chr'); call graph(gasout :heading 'This is a test fixed.chr' :grcharset 'fixed.chr'); call graph(gasout :heading 'This is a test fixedbld.chr' :grcharset 'fixedbld.chr'); call graph(gasout :heading 'This is a test simplexr.chr' :grcharset 'simplexr.chr'); call graph(gasout :heading 'This is a test duplexr.chr' :grcharset 'duplexr.chr'); call graph(gasout :heading 'This is a test triplexr.chr' :grcharset 'triplexr.chr'); call graph(gasout :heading 'This is a test complexr.chr' :grcharset 'complexr.chr'); call graph(gasout :heading 'This is a test H' :grcharset 'H'); call graph(gasout :heading 'This is a test complexi.chr' :grcharset 'complexi.chr'); call graph(gasout :heading 'This is a test triplexi.chr' :grcharset 'triplexi.chr'); call graph(gasout :heading 'This is a test simplexs.chr' :grcharset 'simplexs.chr'); call graph(gasout :heading 'This is a test complexs.chr' :grcharset 'complexs.chr'); call graph(gasout :heading 'This is a test simplexg.chr' :grcharset 'simplexg.chr'); call graph(gasout :heading 'This is a test complexg.chr' :grcharset 'complexg.chr'); call graph(gasout :heading 'This is a test complexc.chr' :grcharset 'complexc.chr'); call graph(gasout :heading 'This is a test gothicen.chr' :grcharset 'gothicen.chr'); call graph(gasout :heading 'This is a test gothicit.chr' :grcharset 'gothicit.chr'); b34srun; :scale Scale all data to have the same mean as the first variable :nolabel Turns off labels :pspaceon Turns on proportional spacing. This setting stays on unless turned off in a later graph call. :pspaceoff Turns off proportional spacing. This setting stays off unless turned on in a later graph call. :rotation real number :nocontact real number Automatically adjusts xaxis and yaxis such that plot does not touch the sides An optional argument percent determines how much adjustment. A manual mode way to get the same result is to do an xyplot and manually supply :setxrange and :setyrange nocontact works with obsplot and xyplot. :angle real number in range 0.0 - 45 :d3axis Sets 3D axis. :d3border Sets 3D border. :dimension Sets dimension of 3 dimensional arrays. form :dimension index(5,6,7) :box ngrid Notes on 3D routines. The commands CONTOUR3, CONTOURC, CONTOUR2 and CONTOURF transform three vectors into a two dimensional matrix of heights with dimensions NGRID by NGRID by the Interacter subroutine iPGXYZToGrid. :grid Turn on grid lines for mesh, meshc, meshstep, meshstepc, vol3d, vol3dc. Turns on Graticules for plots using dotted lines. :nokey Turns off key for plots :noxlabel Turn off X label :noylabel Turn off Y label ************************************************** Advanced Graph Settings to over ride defaults :xdecimal int Sets number of decimal places. < 0 => autoselect. :ydecimal int Sets number of decimal places. < 0 => autoselect. :zdecimal int Sets number of decimal places. < 0 => autoselect. :rxtick real Sets relative tick size. Default = 1.0 :rytick real Sets relative tick size. Default = 1.0 :rztick real Sets relative tick size. Default = 1.0 :xlabeltop ' ' key Sets text up to 90 and key where key must be 'L', 'C' or 'R' for left, centered, or right. :xlabeltop will override the :heading. Use :heading to change the size of the title. Use :xlabeltop to write near the top of the graph. :xlabel ' ' key Sets text up to 90 and key where key must be 'L', 'C' or 'R' for left, centered, or right :ylabelleft ' ' key Sets text up to 90 and key where key is a 2 level code set inside ' '. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :ylabelright ' ' key Sets text up to 90 and key where key is a two level code set inside ' '. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :zlabelleft ' ' key Sets text up to 90 and key where key is a 2 level code set inside ' '. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :zlabelright ' ' key Sets text up to 90 and key where key is a two level code set inside ' '. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :xlabelpos r8 Sets relative position of xlabel. r8 must be in range 0 to 1.0 Default = .7. Smaller numbers mean nearer to figure. :ylabelpos r8 Sets relative position of ylabel. r8 must be in range 0 to 1.0 Default = .8. Smaller numbers mean nearer to figure. :zlabelpos r8 Sets relative position of zlabel. r8 must be in range 0 to 1.0 Default = .8. Smaller numbers mean nearer to figure. :linewidth int array of 2 elements Sets line width in pixels for screen and hard copy. Default is :linewidth index(1 1) :xscale real array Sets user x label values. Length of array must be le 100 :xscale array(:4 8 12) :yscale real array Sets user y label values. Length of array must be le 100 :yscale array(:4 8 12) :zscale real array Sets user z label values. Length of array must be le 100 :zscale array(:4 8 12) :histscale int array Sets user histogram label values. Length of array must be le 100 :histscale integers(1,6) :barscale int array Sets user bar label values. Length of array must be le 100 :barscale integers(1,8) :hardcopyfmt key Sets hardcopy output format for this graph only. HP_GL => 1 HP-GL EPS => 2 PostScript RAST => 3 Raster Graphic PCX_BMP => 6 PCX/BMP LOTUS => 7 Lotus PIC DXF => 8 DXF CGM => 9 Computer Graphics Metafile WPM => 10 Windows Print Manager WMF => 11 Windows Meta File HP_GL2 => 12 HP_GL/2 Example: :hardcopyfmt hp_gl :pgaxesxy real array of 2 elements Sets position of axes. Default is 0.0 0.0 Alternatives to above commands for expert users. :setxscale real array of 2 elements Sets left hand value and incrument for X scale. If this parameter is not set correctly all or parts of the graph may be off the screen. The value r1 is the lower left X value and r2 is the incrument between tick marks for X scale. :setyscale real array of 2 elements Sets left hand value and incrument for Y scale. If this parameter is not set correctly all or parts of the graph may be off the screen. The value r1 is the lower left Y value and r2 is the incrument between tick marks for Y scale. :nxticks i4 Sets number of user X ticks if :setxscale is in effect. 2 LE i4 LE 100. Default = 5. :nyticks i4 Sets number of user Y ticks if :setyscale is in effect. 2 LE i4 LE 100. Default = 5. :setxrange real array of 2 elements Sets Min (r1) and Max (r2) for xscale. :setyrange real array of 2 elements Sets Min (r1) and Max (r2) for yscale. :grborder Draws a border around graph area. Not used in full screen mode. :pgborder Draws a border around presentation graph area. :pgxscaletop key Places x scale on top. Key is a 2 level code t -> places ticks outside I -> places ticks inside N -> Numbers axis Example: The following code places ticks top, middle, bottom and left and right. It is based on fact that :pgxscaletop redefines tick positions. :grunits array(:mmin_1 mmin_2 mmax_1 mmax_2) :pgarea array(:.1 .1 .9 .9) :pgunits array(:mmin_1 mmin_2 mmax_1 mmax_2) :color black :heading title :pgxscale 'NT' :pgaxes :pgxscale 'NT' :pgborder :pgyscaleleft 'NT' :pgyscaleright 'I' :pgxscaletop 'I' :pgxscale 'NT' :pgyscaleleft key Places y scale on left. Key is a 2 level code t -> places ticks outside I -> places ticks inside N -> Numbers axis :pgyscaleright key Places y scale on right. Key is a 2 level code t -> places ticks outside I -> places ticks inside N -> Numbers axis Examples of GRAPH command for simple plots call graph(x,y,z :plottype hist2d :heading 'Test of Histogram'); call graph(x :heading 'Test of plot' :file 'c:\junk\test.wmf'); call graph(x); GRAPHP - Multi-Pass Graphics Programing Capability This command is not for the general user. However by its use custom graphic objects can be displayed. call graphp(:start); call graphp(:cont ...); call graphp(:final); The above commands allow users to program complex graphs that are not possible with the "built-in" graphics capability in the GRAPH command. The GRAPHP command is not intended for the general user. A detailed knowledge of Interacter Software is assumed. GRAPHP commands provide access to the Interacter Graphics primative commands so that custom graphics applications can be developed by the B34S programming team. These applications are distributed in the form of B34S Matrix Command subroutines and programs to give the user to the ability to create "custom" graphs without hardwiring the graph types into the B34S execuitable. A general user wishing to make use of this facility for building user custom graphics should license Interacter / Winteracter and use the GRAPHP command to prototype potential graphics applications before they are hard coded in the user's Fortran. Help documentation for the GRAPHP command is terse. Note that while the menu system in Interacter and Winteracter are different, the graphics routines are the same. All GRAPHP command blocks begin with the :start option, contain a number of :cont commands and finish with the :final option. Other matrix commands can be mixed inside the GRAPHP commands as long as GRAPH and GRREPLAY are not called. The reason for this limitation is that such calls would kill the graphics screen. The only exception to this would be to save and restore the screen. This work-around may not function correctly and is not supported. Use of the :toolbox command allows user input into the graph. The Toolbox feature allows the user to interactively build complex graphs that can be saved into *.bmp or *.pcx format which can be imported into Word. On the :cont option, commands are processed in sequence so that for example colors can be changed as we move down a list of options. Colors set by integer value n the range 0-255 rather than names. Base colors can be obtained with the integer function i=icolor(red); and shades can be adjusted by adding or substracting from i. *************************************************************** Missing Data: The MATRIX command dmax and dmin have an optional argument : which supports missing data. The graphp commands :grpoint, :grjoin and :grmarker will ignore missing data. Warning: Many arguments in graphp are not checked due to many possible ways the commands are used. Users have to take care to check the results of their setups. The design goal of GRAPHP is to allow users to develope custom subroutines for types of graphs that are not possible with the GRAPH command. As we get more experience with graphp, the command language for various commands may be changed. The present implementation should be considered to be in "mature" beta form. Bugs may remain. *************************************************************** :start option section :start is the first option in a sequence of GRAPHP commands. The only options allowed on the :start command are :file and :hardcopyfmt :file ' ' Saves the graph in a file. If file is present, the graph will not show on the screen. If a blank string of the form ' ' is passed and B34S is running on windows, the file will be placed on the clip board as long as the file save type is wmf. Due to the fact that the current Interacter implementation for wmf files uses the Windows API if a number of files are placed in one file and the combined file saved, the component files must be in a format other than wmf. :hardcopyfmt key Sets hardcopy output format for this graph only HP_GL => 1 HP-GL EPS => 2 PostScript RAST => 3 Raster Graphic PCX_BMP => 6 PCX/BMP LOTUS => 7 Lotus PIC DXF => 8 DXF CGM => 9 Computer Graphics Metafile WPM => 10 Windows Print Manager WMF => 11 Windows Meta File HP_GL2 => 12 HP_GL/2 *************************************************************** :cont option section Key words and arguments for :cont :toolbox Opens a windows to allow user input into graphics screen. The toolbox allows B34S users to interactively draw complex economics diagrams that can be moved into Word. The quickest way to get into this command interactively is through the 'Menu' Command in the Display Manager and select the DRAW command. :graphpvocab lists vocab of graphp :grarea array(4: x1 y1 x2 y2) :grunits array(4:xleft,ylower,xright,yupper) :grviewport array(4:x1 y1 x2 y2) Defines graphics viewport. Same as :grarea except current user units are recalculated to ensure the image size remains unchanged instead of being rescaled. Character size remains unchanged. :pgunitstogrunits x y gr_x gr_y x and y can be elements or an array. The variables gr_x and gr_y are automatically created. These names must be used to refer to these values due to the fact we are creating variables inside a parsed command. :pgunitsfromgrunits x y pg_x pg_y x and y can be elements or an array. The variables pg_x and pg_y are automatically created. These names must be used to refer to these values due to the fact we are creating variables inside a parsed command. :replayarea array(4: xx y1 x2 y2) Sets area for :replay to work :replay filename Loads a file into the graphics area where further processing can be done. Files loaded are HP-GL, HP-GL/2, GCM, Lotus PIC and WMF format. :grloadimage filename Loads BMP and PCX into graphics area. :grprintimage filename Dumps contents of graphics area to a file or a printer. :grplotmode key N => normal mode overwritting. O => OR plotting mode. A => AND plottong mode. E => EOR/XOR (Exclusive or) plotting mode. Example :grplotmode n :grarc array(5:xpos,ypos,radius,sangle,aangle) Draws a circular arc. xpos = x co-ordinate of circle centre ypos = y co-ordinate of circle centre radius = radius of circle in plotting units sangle = Arc start angle in degrees counter clockwise from 3 o'clock aangle = arc angle in degrees counter-clockwise Note: Arc can be filled with :grfillpattern :grarcrel array(3:radius,sangle,aangle) Draws a circular arc centered at current position. radius = radius of circle in plotting units. sangle = Arc start angle in degrees counter clockwise from 3 o'clock aangle = arc angle in degrees counter-clockwise. Note: Arc can be filled with :grfillpattern :grarrow array(4:xfrom,yfrom,xto,yto) itype Optional argument itype = 1 simple = 2 outline filled see grfillpattern :grarrowjoin array(:xtail ytail xhead yhead) itype Optional argument itype = 1 simple = 2 outline filled see grfillpattern :grblockcopy array(:xsour ysour xdest ydest width height) :grblockmove xsour ysour xdest ydest width height :grcircle array(:xpos ypos radius) Arguments can be arrays. If so pass three arrays. For futher information see grfillpattern. :grcirclerel radius :grellipse array(:xpos ypos radius ratio) Arguments can be 4 individual arrays for multiple ellipses. :grellipserel array(:radius ratio) :grlineto array(:xpos ypos) For arrays see grjoin :grlinetorel array(:dxpos dypos) :grmarkerrel marker Marker is an integer is range 1-20 :grparallel array(:xpos1,ypos1,xpos2,ypos2,apslen) itype apslen = length of axis parallel side itype = 1 y axis parallel = 2 x axis parallel :grparallelrel array(:dxpos,dypos,apslen) itype :grtrapezium array(:xpos1,ypos1,xpos2,ypos2, alen1 alen2) itype alen1=length of axis parallel side ending at xpos1 ypos1 alen2=length of axis parallel side ending at xpos2 ypos2 itype = 1 y axis parallel = 2 x axis parallel :grtranpeziumrel array(:dxpos,dypos,alen1,alen2) itype alen1 = length of axis-parallel side starting at current position alen2 = length of axis-parallel side ending at current position itype = 1 y axis parallel = 2 x axis parallel :grtrianglerel array(:dxpos2 dypos2 dxpos3,dypos3) :grcharlength string rlength calculates relative length of a string in rlength. With fixed spacing rlength=len(string). With porportional spacing these are not the same. rlength is a real*8 variable. :grcharspace ichr space Allows the proportional spacing table to be reset at runtime. Space for 'I' is .56 of its fixed space value. Since 'I' is code 73 the command :grcharspace 73 .45 resets 'I' smaller to .45 ichr = character code mist be 32-126 or 161-255 space = relative character space Note: ichr and space can be arrays ichr=0 => reset to defaults :grcharunderline key on => underline on off => underline off :grsaveimage fname use name.pcx or name.bmp Example :grsaveimage 'my.pcx' :grfileinfo fname info info(1) file type info(2) image width info(3) image height info(4) info(5) info(6) Info(1) codes: -1 File does not exist. 0 Unable to determine file type. 1 Windows .bmp 2 pcx format 3 Windows metafile 4 HP-GL plotter file 5 HP-GL/2 plotter file 6 Computer graphics Metafile cgm 7 Lotus PIC file 8 Acorn Draw 9 DEC LN03+Tektronix 4014 10 Postscript or EPS 11 HP PCL 12 Epson ESC/P2 13 Epson ESC/P 14 AutoCAD DXF See Interacter Documentation for further help. Example: :grfileinfo 'test.wmf' ii :grinputdevice key K => keyboard M => mouse D => digitising tablet :grinputlimits array(:xleft ylower xright yupper) :grdistanceline array(:x1 y1 x2 x2 xcheck ycheck) method rdist Defines a line and a check point and gets distance in rdist method nearest perpend :grinsidecircle array(:xpos ypos radius xcheck ycheck) isin Finds if point xcheck ycheck is in circle. If so isin=1. :grinsideellipse array(:xpos ypos radius ratio xcheck ycheck) isin Finds if point xcheck ycheck is in ellipse. If so isin=1. :grisidepolygon xpos ypos xcheck ycheck isin Finds if point xcheck ycheck is in polygone. Note that xpos and ypos are arrays. If so isin=1 :grintersectionline array(:x1 xy x2 y2 x3 y3 x4 y4) xinter yinter istatus xinter intersection points yinter intersection points istatus => 0 lines parallel and collinear => 1 lines parallel not collinear => 2 intersec outside => 3 intersect on line 1 => 4 intersect on line 2 => 5 intersect on both lines :grborder Draws a border around graph area. Not used in full screen mode. :pgarea array(4:x1 x2 y1 y2) Defines a relative position. x1, x2, y1, y2 are < 1. and > 0.0 :pgunits array(4:xmin ymin xmax ymax) Defines the units of x and y. :pause Stops processing until (cr). :pause clear Pause and wait for a key. If the optional key clear is present, the screen will be cleared after the next key it hit :grarerclear Clear graphics area. :pgborder Draws a border around presentation graph area. :grjoin array(:x) array(:y) Variants :grjoin array(:x1 y1 x2 y2) :grjoin x1 y1 x2 y2 :grjoin array(:x1) array(:y1) array(:x2) array(:y2) Note that array must have been built prior to call to command or with pgunitstogrunits. array(:x1 y1 x2 y2) can be used in place of x1 y1 x2 y2 if variables built prior to command. If multiple x1 values are passed, multiple lines are drawn. If either x or y are missing, point will be dropped. :grjoinrel array(4:x1 y1 dx1 dy1) Draws from a specified position to a new relative position. :grcurve array(:x) array(:y) nstep Draws a spline through a series of points. nstep is optional argument. default = 32 If either x or y are missing point will be dropped. :grmarker array(:x) array(:y) marker (1-20) Marker is optional If either x or y are missing, point will be dropped. :grpoint array(:x y) Set to point x, y. :grpointrel array(:dx dy) Set to point relative to curent position. :grmoveto array(2:x1 y1) Move to point x1, y1. :grmovetorel array(2:dx1 dy1) Move relative to current point. :pspaceon Turns on proportional space. :pginfo Lists out graphics settings :pspaceoff Turns off proportional space. :charsize array(2:width height) Set character size. :charjustify key Sets how charout outputs. C => center L => left justified R => rightjustified :charout array(2:xpos ypos) string Draws in GR area. See also charoutrel to add text. :charoutrel string :charrotate r8 Measured counter clockwise from horizontal. :chardirection key h => horizontal v => vertical :charslant r8 r8 => Range -60. to + 60. :color key Color keywords black red yellow green cyan blue magenta white gray bred byellow bgreen bcyan bblue bmagenta bwhite :colorn i4 i4 in range (0-255). The command icolor(red) can be used to set the base color which can be adjusted. The :colorn command allows exact control over colors. black => 0 - 15 light red => 16 - 31 dark red => 32 - 47 light yellow => 48 - 63 dark yellow => 64 - 79 light green => 80 - 95 dark green => 96 - 111 light cyan => 112 - 127 dark cyan => 128 - 143 light blue => 144 - 159 dark blue => 160 - 175 light magenta => 176 - 191 dark magenta => 192 - 207 white => 208 - 223 light grey => 224 - 239 dark grey => 240 - 255 :grrectangle array(4:x1 xy x2 y2) Draws a rectangle. :grpolygonsimple array(:x) array(:y) Draws a simple polygon. Borders must not cross. If borders cross, use :grpolygoncomplex. :grpolygoncomplex array(:x) array(:y) Draws a complex polygon. Borders must not cross. If borgers do not cross, use :grpolygonsimple. :grpolygongrad array(:x) array(:y) ikey Draw irregular polygon using graduated color fill. ikey codes 1 => bottom-to-top 2 => left-to-right 3 => top-to-bottom 4 => right-to-left :grfillpattern index(istyle idense iangle) Sets fill pattern. Used with :grrectangle :grpolysimple :grpolycomplex :grpolydongrad istyle codes 0 outline 1 hatch -1 hatched no outline 2 cross hatch -2 cross hatch no outline 3 mixedcolor 4 solid idense codes 1 sparse 2 medium 3 dense1 4 dense2 5 dense3 iangle codes 1 diagonal sloping up 2 diagonal sloping down 3 fill horizontal lines 4 fill verticle lines :linetype key key codes solid (Default) dotted dashed dotdash dotdotdash (device dependent) longshort (device dependent) short (device dependent) :linewidth int array of 2 elements Sets line width in pixels for screen and hard copy. Default is :linewidth index(1 1) :grpolyline array(:x) array(:y) Draws a poly-line through a series of absolute coordinates. :grtriangle array(:x1 y1 x2 y2 x3 x4) Draws a triangle. :grrectanglerel arrray(:width height) Draws a rectangle ad correct point. :heading 'Heading here' key Heading can set up to 72 characters. Optional key set as L => left C => center R => right :grcharset filename Loads a character set file File names standard.chr General Purpose character set. standden.chr Danish variant of standard. standfra.chr French variant of standard. standger.chr German variant of standard. standita.chr Italian variant of standard. standnor.chr Norwegian variant of standard. standswe.chr Swedish variant of standard. standuk.chr UK variant of standard. simplexr.chr Similar to standard but with more detail. duplexr.chr More detailed that simplexr. triplexr.chr Heavier variant than duplexr. complexr.chr More tapered segments than triplexr. complexi.chr Italic version of Complex Roman. triplexi.chr Italic version of triplex Roman. simplexs.chr Handwritten style. complexs.chr More detailed variant of simplexs. simplexg.chr Greek characters added to simplexr. complexg.chr More detailed simplexg. gothicen.chr Very detailed old English style. gothicit.chrt Variant of gothicen. roman.chr Times Roman romanbld.chr Roman Bold swiss.chr Swiss / Helvetica style font swissbld.chr Swiss / Helvetica bold font Example: :grcharset 'roman.chr' :grcharfont ikey Sets Hardware fonts. ikey codes Fixed Proportional 1 Helvetica Courier 2 Helvetica ital Courier ital 3 Helvetica bold Courier bold 4 Helvetica bold/Ital Courier bold/ital 5 Times Roman Courier 6 Times Roman ital Courier ital 7 Times Roman bold Courier bold 8 Times Roman bold/ital Courier bold/ital :rxtick r8 Sets relative tick size. Default = 1.0 :rytick r8 Sets relative tick size. Default = 1.0 :rztick r8 Sets relative tick size. Default = 1.0 Note: For next commands key can be a character string or a string of letters. A character string, like that used in graph, is recommended. :xlabeltop ' ' key Sets text up to 90 and key where key must be L, C or R for left, centered, or right. :xlabeltop will override the :heading. Use :heading to change the size of the title. Use :xlabeltop to write near the top of the graph. :xlabel ' ' key Sets text up to 90 and key where key must be L, C or R for left, centered, or right. Key can be set as 'R' or R. :ylabelleft ' ' key Sets text up to 90 and key where key is a 2 level code. Key can be set as 'TV' or TV. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :ylabelright ' ' key Sets text up to 90 and key where key is a two level code. Key can be set as 'TV' or TV. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :zlabelleft ' ' key Sets text up to 90 and key where key is a 2 level code. Key can be set as 'TV' or TV. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :zlabelright ' ' key Sets text up to 90 and key where key is a two level code. Key ca be set as 'TV' or TV. Position 1 is: T -> Starting at top edge C -> Centered (default) B -> Ending at bottom edge Position 2 is: V -> Verticle (default) R -> Rotated 270 degrees 9 -> Rotated 90 degrees :xlabelpos r8 Sets relative position of xlabel. r8 must be in range 0 to 1.0. Default = .7. Smaller numbers mean nearer to figure. :ylabelpos r8 Sets relative position of ylabel. r8 must be in range 0 to 1.0. Default = .8. Smaller numbers mean nearer to figure. :zlabelpos r8 Sets relative position of zlabel. r8 must be in range 0 to 1.0 Default = .8. Smaller numbers mean nearer to figure. :xscale real array Sets user x label values. Length of array must be le 100. :xscale array(:4 8 12) Note: pgxscale controls display. :yscale real array Sets user y label values. Length of array must be le 100 :yscale array(:4 8 12) Note: pgyscale controls display. :zscale real array Sets user z label values. Length of array must be le 100. :zscale array(:4 8 12) :grpalettehls index(ncolor ihue ilight isat) Sets colors using hue light and saturation. ncolor in range 0-255 ihue in range 0-360 0 => blue 60 => magenta 120 => red 180 => yellow 240 => green 300 => cyan ilight in range 0 = 100 0 => black 100 => white isatur in range 0 to 100 0 => gray 100 => pure color :grpaletteinit Restores default settings. :grpalettergb index(ncolor ired igreen iblue) Controls colors by % of red green blue ncolor in range 0-255 ired in range 0-255 igreen in range 0-255 iblue in range 0-255 *********************************************************** Higher level commands requiring detailled access to Interacter manuals. :pgnewplot index(itype nsets layout ireset) index(nvalue1 nvalue2 nvalue3) nvalue = 1 element integer array usually = 2 element array for contour surface = 3 element array for volume plots :pgnewgraph index(nsets nvalue1 nvalue2) array(:cuml layout grtype) nsets => Number of datasets nvalue = 1 element integer array usually = 2 element array for contour surface Note: elenets 1 # of points cum1 = 'c' array containing c for cumulative, ' ' otherwise layout 3 => 3 dimensional A => adjacent bars in histograms/bar or anti clockwise wedges B => View 3-d from back S => Fit spline.. display spider tags V => Variable grid size 3D surface plots Variable length spider tags Value labels on 2D non-cumulative bar-charts histograms H => Height dependent contour colors on 3D surfaces or high/low histogram plot. F => Fill-based 2D contour plot or plot bars in front of each other on 2D cumulative histograms C => Point-dependent colors on 3D scatter plots T => Tile-dependent colors on 3D contour plots. grtype B => bar C => contour F => function plot H => histogray L => line plot P => pie chart S => scatter T => table X -> x/y co-ordinate plot :pgxscale string 'T' => ticks outside 'I' => ticks inside 'N' => numbering :pgyscale string 'T' => ticks outside 'I' => ticks inside 'N' => numbering :pgxscalepos r8 :pgyscalepos r8 :pgyscaleangle array(2:tangle,sangle) tangle => Y axis tick mark angle sangle => Y axis scale value string angle in degrees counter-clockwise from horizontal :pgyticklength r8 r8 => relative length of Y axis tick mark default=1.0 :pgytickpos array(2:xleft,xright) xleft => x position of left Y axis tick mark xright => x position of right Y axis tick mark xright<xleft => restore default :pgaxes Draws pg axis :pgaxesxy array(2:x1 y1) Sets position of axes. Default is 0.0 0.0 :pgxgraticules key Key can be solid (Default) dotted dashed dotdash dotdotdash longshort short :pgygraticules key Key can be solid (Default) dotted dashed dotdash dotdotdash longshort short :pgzgraticules key Key can be solid (Default) dotted dashed dotdash dotdotdash longshort short :pgxscaletop key Places x scale on top. Key is a 2 level code t -> places ticks outside I -> places ticks inside N -> Numbers axis :pgyscaleleft key Places y scale on left. Key is a 2 level code t -> places ticks outside I -> places ticks inside N -> Numbers axis :pgyscaleright key Places y scale on right. Key is a 2 level code t -> places ticks outside I -> places ticks inside N -> Numbers axis :pgstyle index(iset istyle istyle2 istyle3 icol1 icol2) :pglineplot array(:x) :pgcliprectangle key G => main graphics area P => PG area :pgconfill2granul igan igan ge 1 sets fill granularity :pgcontourlabel iset label iset contour number label label (max 10 characters) :pgdecimalplaces ndec ndec => number of decimal places < 0 => auto select :pgelevation angle 0. le angle le 45. :pggriddirection igrid 3D surface plots 3 => both x and y 2 => perpendicular to y 1 => perpendicular to x 0 => no grid :pggridlines igrid 3D contour 1 => height dependent grid lines 2 => no grid lines 3 => grid lines drawn in background color :pgmarker iset marker iset => data set marker => marker code 0-9, 1-52 Note: This option must be used with style2 or pgstyle. For further detail see Interacter documentation. :pgmarketfrequency istart ievery Sets marker frequency and start :pgrotation angle Angle rotation for 3D plot views :pgscalling xscalkey yscalkey key LIN LOG :pgstyle3daxes index(istyle icol11 icol12 icol13 icol21 icol22 icol23) istype 0 => outline 3 => mixed 4 => solid icol1 & icol2 set primary and secondary fill colors. Color codes can be set using icolor(' ') command :pgstyleoutline icol Sets outline color :pgunitspolar rmax Maximim radius for polar plots :pgunitsz array(:zmin zmax) :pgxkeypos relpos Sets relative key position. 0. le relpos le 1. :pgxscaleangle array(:tangle sangle) tangle= axis tick mark angle sangle= axis scale value string angle :pgxtickpos array(:ybottom,ytop) :pgxuserscale spoint :pgxuserscalehist ibars ibars is an integer array :pgylabelpoc r8 r8 is a relative position :pgyuserscale spoint spoint is an array of user scales. max # = 100 No argument disables. :pgyuserscalebar ibars ibars = array of histogram scales No argument disables. :pgzscaleangle array(:tangle sangle) tangle= axis tick mark angle sangle= axis scale value string angle :pgkeyall descr layout descr = array of discriptions layout V 9 X B R E => end of lines P Set both arguments as character*8 :pgkeyall namelist(income price) '9B' For further detail see Interacter Documentation :pgkeysingle iset xpos ypos descr Sets a key. Can be supplied for a number of points. :pgxtext descr x axis dscriptions. Pass as character*8 :pgxtexttop descr x axis dscriptions. Pass as character*8 :pgytextleft descr Labels left Y axis. Pass as character*8 :pgytextright descr Labels right y axis. Pass as character*8. :pgzscale key I => inside T => outside N => no ticks :pgztext descr Labels z axis :pgbarchart xvalues :pgerrorbars ylow yhigh For line plot Note: Must supply right # :pghighlow ylow yhigh For histogram Note: Must supply right amount :pghistogram yvalue :pgpiechart pival sangle explode pival => array of values to be plotted sangle => start angle explode => character*1 array with blanks or E to explode. If argument left off assumes blanks :pgscatterplot xvalue yvalue :pgscatterplot3d xvalue yvalue zvalue :pgscatterplot3dcol xvalue yvalue zvalue colors Same as pgscatterplot3d except supply colors. :pgtableinteger ivalues ivalues => array of integer values :pgtablereal rvalues fmt rvalues => array of real values to be plotted in table. fmt is optional. Default g16.8. :pgxypairs xvalue yvalue :pgxyztriplets xvalue yvalue zvalue :pgconfill2irreg zvalue zcontr xgrid ygrid zvalue => is nxdim nydim zcontr => sets nc set on pgnewplot xgrid => is nxdim ygrid => is nydim :pgconfill2reg zvalue zcontr zvalue => is nxdim nydim zcontr => sets nc on pgnewplot :pgcontour2irreg zvalue zcontr xgrid ygrid zvalue => is nxdim nydim zcontr => sets nc set on pgnewplot xgrid => is nxdim ygrid => is nydim :pgcontour2reg zvalue zcontr zvalue => sets nxdim nydim zcontr => sets nc on pgnewplot :pgsurf3data zvalue zvalue => is nxdim nydim :pgsurf3datacol zvalue icol zvalue => is nxdim nydim icol => is nxdim nydim :pgsurf3datacont zvalue zcontr zvalue => is nxdim nydim zcontr => is nc on pgnewplot :pgsurf3step zvalue zvalue => is nxdim nydim :pgsurf3stepcol zvalue icol zvalue => is nxdim nydim icol => is nxdim nydim :pgsurf3stepcont zvalue zcontr zvalue => is nxdim nydim zcontr => is nc on pgnewplot :pgvolume3col icolr index(nxdim nydim nzdim) icolr => is nxdim nydim nzdim :pgvolume3cont value index(nxdim nydim nzdim) contr contr => nc array of contour values :pgxyzsearchbox array(:boxwidth boxhgt) :pgxyztogrid x y z zrec index(n1 n2) x => array of x data y => array of y data z => array of heights zrec is n1 by n2 and contains a matrix that can be plotted in 3D. Note: zrec is real*8 :pgjoin2 array(:xpg1 ypg1 xpg2 ypg2) :pgjoin3 array(:xpg1 ypg1 zpg1 xpg1 ypg2 zpg2) :pgpolygoncomplex2 xpg ypg Arrays of x and y points to draw # of points LE 4095 :pgpolygoncomplex3 xpg ypg zpg Will draw a 3D figure. # of points LE 4095 :pgpolyline2 xpg ypg Arrays of x and y points to draw # of points LE 4095 :pgpolyline3 xpg ypg zpg Will draw a 3D figure # of points LE 4095 :pgunitxfromgrunitsp gxpos gypos angle radius Can be supplied as arrays :pgunitstogrunits3 pgxpos pgypos pgzpos gxpos gypos :pgunitstogrunitsp angle radius gxpos gypos *********************************************************** :final option section call graphp(:final); Terminates the progessing of the graph and either displays or produces hardcopy depending on settings on the :start option cl. Functions useful for graphp command: infograph - Obtain Interacter Graphics INFO r=infograph(n); n in range 1-14 1 => Current x plotting position 2 => Current y plotting position 3 => Current character width 4 => Current character height 5 => Mouse x position 6 => Mouse y position 7 => Left limit on graphics area 8 => lower limit on graphics area 9 => Right limit on main graphics area 10 => Upper limit on main graphics area 11 => Lower x co-ordinate limit 12 => Lower y co-ordinate limit 13 => Upper x co-ordinate limit 14 => Upper y co-ordinate limit r is real*4 Note: This routine must be used on distinct call graphp(:cont) calls to be updated properly. This routine has no use outside graphp. Example of graphs with call graph and call graphp. b34sexec matrix; call loaddata; call graph(cac :plottype hist2d /$ :heading 'CAC Ratio ordered by Size of Firm' :nolabel :nokey :colors black black :pspaceon :file 'CACPLOT.WMF' :xlabel 'Participants arrayed by emissions size' :ylabelleft 'CAC ratio' 'C9' ); /$ graphp implementation icolor=223; call graphp(:start /$ :file 'newfig2.wmf' /$ :hardcopyfmt wmf ); call graphp(:cont :graphpvocab); call graphp(:cont :grarea array(:0. 0. 1. 1.) :grunits array(:1. 0. 168. 3.) :pgarea array(:.1 .1 .9 .9) :pgunits array(:1. 0. 168. 3. ) :color black :pgborder :pspaceon :pgxscale 'N' :pgyscaleleft 'tN' :xlabel 'Participants arrayed by emissions size' :ylabelleft 'CAC ratio' C9 /$ :pgnewplot index(1,1,0,1) index(norows(cac)) :pgnewgraph index(1 norows(cac) 0) array(:' ',' ','H') :pgstyle index(1,-4,3,1,icolor,icolor) :pghistogram cac /$ :pgnewplot index(4,1,0,1) index(norows(cac)) :pgnewgraph index(1 norows(cac) 0) array(:' ',' ','L') :pgstyle index(1, 0,0,0,icolor,icolor) :pglineplot constant /$ :toolbox ); call graphp(:final); b34srun; Example of a distribution plot with a user axis b34sexec matrix; call echooff; call getsca('c:\b34slm\findat01.mad' :mad :member D_AA); YMean=Mean(D_AA); YSigma2=Variance(D_AA-YMean); call garchest(res1, res2, D_AA,func,1,nbad :cparms array(:YMean, YSigma2) :garorder idint(array(:1)) :gmaorder idint(array(:1)) :print ); _sqrmat=array(dmax1(norows(res1),norows(res2)),2:); _sqrmat(,1)=res1; _sqrmat(,2)=res2; _sqrmat =goodrow(_sqrmat); res1=_sqrmat(,1); res2=_sqrmat(,2); Residual=goodrow(res1); Sigma=goodrow(dsqrt(goodrow(res2))); et=Residual/Sigma; x=et; /; data in variable x ibars=13 ; /; Automatic calculation not used. /; call datafreq(x _table :equal ibars midpts); /; midpoints set as -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 upper= 5.5; lower=-5.5; call datafreq(x _table :equaluser ibars midpts lower upper); /; call tabulate(_table midpts); /; a test case showing defaults call character(cc,'Default plot '); call graph(_table :plottype hist2d :heading cc :pspaceon :pgyscaleright 'i' :pgborder :pgxscaletop 'i' :colors black bblue bred ); /; +++++++++++++++++++++++++++++++++++++++++++++++++++++ /; we set range of x axis and y axis. /; By defining xmax2 etc it allows a fudge as has been /; done with ymax2 /; Note that datafreq gives us the exact midpoints of each /; rectangle xmax=dmax(x); xmin=dmin(x); /; xmax2=xmax; /; xmin2=xmin; xmax2= 6.5; xmin2=-6.5; ymin2=0.0; ymax2=dmax(_table)+(dmax(_table)/20.); uscale=midpts; /; Make sure no rectangles are 0.0 height. Add a "fudge" /; testing xmin=lower; do ii=1,norows(_table); if(_table(ii).le.0.0)_table(ii)=.1e-3; enddo; call graphp(:start :file '_table.wmf'); call graphp(:cont :grarea array(:0.0 0.0 1. 1.) :grunits array(: 1. xmin2 xmax2 dfloat(norows(_table))) :pgarea array(: .1 .1 .9 .9) :pgunits array(: xmin2 ymin2 xmax2 ymax2) :pgborder :pspaceon :xscale uscale :pgxscale 'TN' :pgyscaleleft 'n' :xlabel 'Distribution of Standardized Residual' :ylabelleft '# of Cases' /; :ylabelleft '# of Cases' 'Cr' /; :ylabelleft '# of Cases' 'C9' :heading 'This is a test histogram' :pgnewgraph index(1,norows(_table)) array(:' ' ' ' 'H') :pgstyle index(1,4,0,0,160,20) :pghistogram _table ); call graphp(:final); /; Quick see what we have!! call grreplay('_table.wmf'); b34srun; Error Messages from Interacter: 1 Error opening file. 2 Error reading or writting to a device. 3 Error closing a file. 4 Number too large iun string to numeric conversion. 5 Graphics not supported on requested printer. 6 Screen mode not supported for load/save operation. 7 Max number of windows exceeded. 8 Window buffer space exceeded. 9 Invalid window co-ordinates. 10 No substring found. 11 More than one decimal point in number. 12 Invalid character detected. 13 Operating system command error in an OS routine. 14 Invalid text co-ordinates for clear operation. 15 Centred string truncated (exceeds screen or window width). 16 X or Y graphics unit range is invalid. Default of 0-1 used. 17 Window destination partly or wholly off-screen. Destination co-ordinates adjusted. 18 Numeric to string conversion error. String filled with *'s. 19 All options start with '-' in a menu. 20 Radius of a circle/ellipse, or height ratio of an ellipse is =< zero or an arc angle = 0. Radius and ratio must be positive, arc angles must be non-zero. 21 The length of the axis-parallel side of a parallelogram is =< zero 22 A rectangle/triangle/parallelogram has been specified with either no width or no height. 23 No program name specified to IOsExecute. 24 Too many data values specified to IPgNewGraph or IPgNewPlot for a cumulative plot. Reset to maximum internal limit. 25 Too many bytes in character set definition during conversion from ASCII to binary file format. 26 Not used in this release. 27 Incompatible or unsupported image file format 28 Borders cross in IGrPolygonSimple. Unable to fill. 29 Blank field entered in a numeric input routine. 30 All fields protected on a form. 31 Field types do not match in Forms Manager. 32 Field value is undefined in Forms Manager. 33 Internal character data storage area full in Forms Manager. 34 Requested page size too large for raster image buffer. (Generated by raster graphics hardcopy driver.) 35 No error of this type in currect release 36 Attempt to store an out of range form field value. 37 Non-fatal error in INTERACTER Form Definition File. 38 Not an INTERACTER Form Definition file. 39 Failed to select requested graphics colour. Current colour unchanged. 40 Description Number of files matched by IOsDirInfo/List exceeds size of supplied array(s). 41 Unknown or unsupported screen mode requested in call to IScreenModeN. 42 Unknown colour name or number specified to IGrColouror IGrColourN. Current graphics colour remains unchanged. 43 Contour heights do not increase monotonically in contour/surface routine. 44 Invalid X and/or Y range specified to IGrArea, IGrViewportor IGrReplayArea. Range reset to 0-1. 45 Null menu in IdGrHardcopyDriveror IdScreenMode. 46 No graphics hardcopy driver currently selected, in IdGrHardcopyOptions. 47 Not used in this release. 48 Invalid dataset number in IdPgStyles. 49 Fill too complex in IGrPolygonComplex. 50 Form contains no [window] specification in IFormOpenWindow. 51 A search box contains too many points in IPgXYZToGrid. 52 Invalid number of buttons specified to IdMessage. 53 Unable to find software font file in IGrCharOut to substitute for unavailable hardware font. 54 Mismatch between driver/device number in hardcopy options file and current selections in IGrHardCopyOptLoad. 55 Source and target file names are the same in a copy command in IOsCopyFile. 56 Text buffer too small in IWinEditFile. 57 Attempt to create a radio button group for which there are insufficent check-box fields available 58 A min value is larger than a max value in IPgHighLow. A zero height bar will be drawn. 59 Too many grid columns requested in IGridDefine. 60 Invalid column type requested in IGridDefine. 61 No window open for grid in IGridShowor IGridEdit. 62 Invalid grid starting position in IGridShowor IGridEdit. 63 No Windows printer available in IdGrHardcopyOptions. 64 Bit image printer dump failed under Windows 65 Return buffer too small in IOsVariable 66 Invalid character code specified to IGrCharSpace The following Exit Codes occur in the event of INTERACTER detecting an unrecoverable error. In this case interacter, calls the IOsExitProgram routine and passes an exit code to the operating system. The following is a list of the exit codes, which routines generate them and the likely cause. If these errors occur please describe the circumstances and report to the b34s developer at hhstokes@uic.edu. Codes 1 to 20 are reserved for use by INTERACTER. 1 IScreenModeNA DOS screen mode which was expected to be available was not actually selected. This is usually due to incorrectly identifying the DOS display type. 2 IOsExecute INTERACTER was unable to execute the requested program for some reason, possibly because the name was incorrectly specified or does not exist within the current execution path. 3 Not used 4 IOsExecuteProgram chaining is not supported under most 32-bit DOS protected mode compilers. 5 Not used. 6/7 IScreenOpen INTERACTER was unable to get the Unix IdDisplay terminal driver characteristics 8 Non used 9 IScreenOpen The X Windows display type was requested but IdDisplay the Xlib call to open the X display failed. IDisplay Display type 453 can only be used under an X Windows server. 10 IScreenOpen An X Windows font name specified using the IdDisplay TEXTFONT initialisation file keyword was not Idisplay found. 11/12 IScreenOpen A standard X Windows font which IdDisplay INTERACTER expected to be available (e.g. IDisplay '6x13') was not found. Make sure you have the IGrCharOut X11R4/5/6 fixed width fonts available. IGrCharOutRel 13 IScreenOpen An attempt has been made to select a graphics IScreenMode screen mode when the currently identified IGrInit display type does not support graphics. Check the selected INTERACTER display type. 14 IGrSymbConvertOld style 25-piece symbol sets are no longer supported. Use IGrCharConvertto create a character set instead. GRCHARSET - Set Character Set for Graphics call grcharset(' '); Sets the character set for graphics. If user has access to Interacter Documentation, custom characters can be built and the charconv command under OPTIONS can be used to make a user character set. Under the Display Manager the character set can be interactively set. The command :markpoint 1 1 2 12 access the user character 12 if call grcharset had been given. Alternatively the character set can be set in the interact.ini file. As presently setup full control of character sets is only available in call graphp. Default graphics initialization overrides grcharset settings in usual graph command. Usually users do not have to use this command. GRREPLAY - Graph replay and reformat command. call grreplay('file name'); Will display a graph that was saved using the :file option in the call graph( ); command. Advanced options in the grreplay command allow: - Reformatting graph save files. - Combining a number of graph files into one file. - Zooming sections of a graph save file. :file ' ' Saves the graph in a file. If file is present, the graph will not show on the screen. If a blank string of the form ' ' is passed and B34S is running on windows, the file will be placed on the clip board as long as the file save type is wmf. Due to the fact that the current Interacter implementation for wmf files uses the Windows API if a number of files are placed in one file and the combined file saved, the component files must be in a format other than wmf. For example the following code makes a combined graph file that consists of graphs of the series gasin and gasout. This file is saved, viewed and placed on the clipboard. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call graph(gasout :file 'p1.hp1' :hardcopyfmt HP_GL); call graph(gasin :file 'p2.hp1' :hardcopyfmt HP_GL); /$ view the two files call grreplay('p1.hp1','p2.hp1'); /$ save the two files p1.hp1 and p2.hp1 in new.wmf call grreplay('p1.hp1','p2.hp1' :file 'new.wmf' :hardcopyfmt wmf); /$ view the new combined file call grreplay('new.wmf'); /$ Place the two files on the clip board call grreplay('p1.hp1','p2.hp1' :file ' ' :hardcopyfmt wmf); b34srun; :hardcopyfmt key Sets hardcopy output format for this graph only. HP_GL => 1 HP-GL EPS => 2 PostScript RAST => 3 Raster Graphic PCX_BMP => 6 PCX/BMP LOTUS => 7 Lotus PIC DXF => 8 DXF CGM => 9 Computer Graphics Metafile WPM => 10 Windows Print Manager WMF => 11 Windows Meta File HP_GL2 => 12 HP_GL/2 Example: call grreplay('myplot.wmf' :hardcopyfmt PCX_BMP :file 'myplot.pcx'); reformats the graph. More than one file can be displayed as long as the number of files is 1, 2, 4 or 9. The command call grreplay('plot1.wmf','plot2.wmf'); displays one on top of the other. call grreplay('plot1.wmf', 'plot2.mmf' :file 'newplot.wmf'); call grreplay('newplot.wmf'); Combines a two plots into one plot and displays the combined plot. If 4 or 9 files are supplied, then, these are shown in a predefined form: twograph 1 2 fourgraph 1 2 3 4 ninegraph 1 2 3 4 5 6 7 8 9 Advanced options: The GRREPLAY command can be given a number of times to build a custom plot. In this mode or operation for the first call use the key :start If :start is given the only allowed options are :hardcopyfmt and :file. For all subsequent calls except the final call use the key :cont filename If :cont is supplied only the options :gformat, :area or :zoom are allowed For the final call use call grreplay(:final); Discussion: For each call one file is passed. The positioning of the file is controlled by either :gformat key i4 key is set onegraph twograph fourgraph ninegraph i4 is set to the graph number. Example where we have 3 graphs and want to display them in a four way graph. call grreplay(:start); call grreplay(:cont 'plot1.wmf' :gformat fourgraph 1); call grreplay(:cont 'plot2.wmf' :gformat fourgraph 2); call grreplay(:cont 'plot3.wmf' :gformat fourgraph 3); call grreplay(:final); to show the combined graph. As an alternative to the :gformat the option :area r8 array of 4 elements can be used. The elements are: 1. => x_left 2. => y_lower 3. => x_right 4. => y_upper Example call grreplay(:start); call grreplay(:cont 'plot1.wmf' :area array(:.0 .0 1. .5)); call grreplay(:cont 'plot2.wmf' :area array(:.0 .5 1. 1.)); call grreplay(:final); The Interacter graphics routines use Windows API calls to display WMF files which cannot be zoomed. If a file is NOT a WMF file the option :zoom r8 array of 4 elements Can be used to select just that portion of the source file to display. The elements are: 1. => x_left 2. => y_lower 3. => x_right 4. => y_upper Example of a zoom of plot1.cgm: call grreplay(:start); call grreplay(:cont 'plot1.cgm' :zoom array(:.5 .5 1. 1.) :area array(:.0 .0 1. .5)); call grreplay(:cont 'plot2.cgm' :area array(:.0 .5 1. 1.)); call grreplay(:final); Example to save a combined plot. call grreplay(:start); call grreplay(:cont 'plot1.wmf' :area array(:.0 .0 1. .5)); call grreplay(:cont 'plot2.wmf' :area array(:.0 .5 1. 1.)); call grreplay(:final); or call grreplay('plot1.wmf' 'plot2.wmf' :file 'newplot.wmf'); Comprehensive example showing building plots of the form 1 2 3 b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call graph(gasout :file 'p1.hp1' :heading 'Gasout hp_GL' :noshow :hardcopyfmt HP_GL); call graph(gasin :file 'p2.hp1' :heading 'Gasin HP_GL' :noshow :hardcopyfmt HP_GL); call grreplay(:start); call grreplay(:cont 'p1.hp1' :gformat twograph 1); call grreplay(:cont 'p2.hp1' :gformat twograph 2); call grreplay(:final); b34srun; b34sexec options ginclude('b34sdata.mac') member(res72); b34srun; b34sexec matrix; call loaddata; call graph(lnq :heading 'Ln Q' :file 'plot1.wmf' :noshow); call graph(lnl :heading 'Ln L' :file 'plot2.wmf' :noshow); call graph(lnk :heading 'Ln k' :file 'plot3.wmf' :noshow); call graph(lnrm1 :heading 'Ln rm1' :file 'plot4.wmf' :noshow); call graph(lnrm2 :heading 'Ln rm2' :file 'plot5.wmf' :noshow); call graph(P :heading 'P ' :file 'plot6.wmf' :noshow); call graph(m1 :heading 'M1 ' :file 'plot7.wmf' :noshow); call graph(m2 :heading 'M2 ' :file 'plot8.wmf' :noshow); call graph(L :heading 'L ' :file 'plot9.wmf' :noshow); call grreplay(:start); call grreplay(:cont 'plot1.wmf' :gformat onegraph 1); call grreplay(:final); call grreplay(:start); call grreplay(:cont 'plot1.wmf' :gformat twograph 1); call grreplay(:cont 'plot2.wmf' :gformat twograph 2); call grreplay(:final); call grreplay(:start); call grreplay(:cont 'plot1.wmf' :gformat fourgraph 1); call grreplay(:cont 'plot2.wmf' :gformat fourgraph 2); call grreplay(:cont 'plot3.wmf' :gformat fourgraph 3); call grreplay(:cont 'plot4.wmf' :gformat fourgraph 4); call grreplay(:final); call grreplay(:start); call grreplay(:cont 'plot1.wmf' :gformat ninegraph 1); call grreplay(:cont 'plot2.wmf' :gformat ninegraph 2); call grreplay(:cont 'plot3.wmf' :gformat ninegraph 3); call grreplay(:cont 'plot4.wmf' :gformat twograph 2); call grreplay(:final); call grreplay(:start); call grreplay(:cont 'plot1.wmf' :gformat ninegraph 1); call grreplay(:cont 'plot2.wmf' :gformat ninegraph 2); call grreplay(:cont 'plot3.wmf' :gformat ninegraph 3); call grreplay(:cont 'plot4.wmf' :gformat ninegraph 4); call grreplay(:cont 'plot5.wmf' :gformat ninegraph 5); call grreplay(:cont 'plot6.wmf' :gformat ninegraph 6); call grreplay(:cont 'plot7.wmf' :gformat ninegraph 7); call grreplay(:cont 'plot8.wmf' :gformat ninegraph 8); call grreplay(:cont 'plot9.wmf' :gformat ninegraph 9); call grreplay(:final); call grreplay(:start); call grreplay(:cont 'plot1.wmf' :gformat onegraph 1 :zoom array(:.33333 .33333 .66666 .66666)); call grreplay(:final); call grreplay(:start); call grreplay(:cont 'plot1.wmf' :area array(:.33333 .33333 .66666 .66666) :zoom array(:.33333 .33333 .66666 .66666)); call grreplay(:final); b34srun; GTEST Tests Output from a ARCH/GARCH Model call gtest(res1,res2,y,nacf); Tests the first and second moments of a ARCH / GARCH model subroutine gtest(res1,res2,y,nacf); /; /; res1 => First Moment Residual /; res2 => Second Moment Residual /; y => Input Series /; nacf => Number acf terms /; /; Plots made: /; /; acfa.wmf => acf of residual Moment 1 /; acfb.wmf => acf of residual Moment 2 /; acfy.wmf => acf of y series /; mqa.wmf => Q stats residual Moment 1 /; mqb.wmf => Q stats residual Moment 2 /; pacfa.wmf => pacf of residual Moment 1 /; pacfb.wmf => pacf of residual Moment 2 /; pacfy.wmf => pacf of y series /; resa.wmf => Plot of residual Moment 1 /; resb.wmf => Plot of residual Moment 1 /; Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix ; call loaddata; call load(gtest); arch=array(norows(gasout):); call olsq(gasout gasout{1} gasout{2} :print); call print('RESVAR',%resvar :); call garchest(res,arch,gasout,func,2,n :cparms array(2:%coef(3), %resvar) :nar 2 :arparms array(2: %coef(1) %coef(2)) :ngar 1 :ngma 1 :gmaparms array(:.05) :print ); call gtest(res,arch,gasout,48); b34srun; GWRITE Save Objects in GAUSS Format using one file call gwrite(x,xxname,unit); Saves object x on unit using name in xxname. The number of elements in x must be LE 1000 due to internal GAUSS limits on the size of a sentence. If the object to be passed is larger than 1000, use gwrite2. x - Object name xxname - Name in file unit - Fortran I/O unit Real*8 and Integer*4 objects supported. Note: Since GWRITE is a subroutine and must be loaded prior to use. Example: b34sexec matrix; call load(gwrite); call open(70,'testdata'); y=array(2,2:1 2 3 4); nn=namelist(y); call gwrite(y,nn,70); xx=rn(matrix(5,5:)); nn=namelist(xx); call gwrite(xx,nn,70); i=integers(1,23); ii=namelist(i); call gwrite(i,ii,70); call close(70); b34srun; Example 2 - Runs OLS in GAUSS b34sexec matrix; call load(gwrite); call open(70,'testdata'); x1=rn(array(100:)); nn=namelist(x1); call gwrite(x1,nn,70); yy=10. + x1 + rn(x1); nn=namelist(yy); call gwrite(yy,nn,70); call olsq(yy x1 :print); call character(cc,'ols("",yy,x1);'); call write(cc,70); call close(70); /$ run the file call unix('gaussb testdata > jj.out'); b34srun; /$ b34sexec options npageout writeout('Output from GAUSS',' ',' ') copyfout('jj.out'); b34srun; GWRITE2 Pass Data to Gauss in two files call gwrite2(x,xxname,unit); Saves object x on unit using name in xxname in GAUSS format. This command is used if object is larger than 1000. x => Object name xxname => Name in file unit => Fortran I/O unit Real*8 and Integer*4 objects supported. Note: Since GWRITE2 is a subroutine it must be loaded prior to use. gwrite2 makes a file xxname.fmt for each series. Hence if the object to be moved is < 1000 it may pay to use gwrite which has only one file. Example: b34sexec matrix; call load(gwrite2); call open(70,'testdata'); x1=rn(array(10000:)); nn=namelist(x1); call gwrite2(x1,nn,70); yy=10. + x1 + 10.*rn(x1); nn=namelist(yy); call gwrite2(yy,nn,70); call olsq(yy x1 :print); /$ /$ Do an OLS Model in GAUSS /$ call character(cc,'ols("",yy,x1);'); call write(cc,70); call close(70); call unix('gaussb testdata > jj.out'); b34srun; b34sexec options npageout writeout('Output from GAUSS',' ',' ') copyfout('jj.out'); b34srun; HEADER Turn on header call header; Turns on page numbering inside matrix command. Since a new page number is forced every time this command is found, it can be given multiple times inside the same job. HEXTOCH Convert a hex value to its character representation call hexttch(hex,ch); Converts a hex value to character. hex => character*1 character matrix of size 2*n ch => character*1 character vector of size n Extended Example b34sexec matrix; /$ Looking at Printable Characters ; i=integers(33,127); call igetchari(i,cc); call names(all); call tabulate(i,cc); call igetichar(cc,iitest); call chtohex(cc,hexcc); /$ Repack character*2 array save as character*1; /$ Next two statments work the same /$ hexcc2= array(norows(hexcc)/2,2:hexcc); hexcc2=c1array(norows(hexcc)/2,2:hexcc); hex1=hexcc2(,1); hex2=hexcc2(,2); call hextoch(hexcc,cctest); xx=transpose(hexcc2); call print(xx,hexcc2); call hextoch(xx,cctest2); call names(all); /$ get hexcc2 in a printable variable; blank=c1array(norows(hex1):); call names(all); c8var=catcol(hex1, hex2,blank,blank, blank, blank,blank,blank); call names(all); /$ call print(c8var); c8var=c8array(norows(c8var):transpose(c8var)); call tabulate(i,cc,iitest,hex1,hex2, cctest,cctest2,c8var); b34srun; HINICH82 Hinich 1982 Nonlinearity Test. call hinich82(x,m,g,l) Calculate Hinich(82) test for series x. x = input series. Must be set. m = Number of terms to average. Only set if :setm is in effect. g = Gaussianity test. Output by routine. l = linearity test. Output by routine. The test is performed over admissable range. See BTIDEN command for more detail. Using default settings, last two G and L values are mean and variance of prior G and L values. M is given the values -99. and -999 for these observations. Options: :meanonly - averages G & L only here m set as -99 variance where m -999 :setm - # of terms set in M. :smoothspec - smooth spectrum needed if x not white noise. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call hinich82(gasout,m,g,l:meanonly); call print('Mean Data for Hinich(82) Test on Gasout',g,l); m=17; call hinich82(gasout,m,g,l:setm); call print( 'Mean Data for Hinich(82) Test on Gasout M Set',m,g,l); call hinich82(gasout,m,g,l); call print('Hinich(82) Test on Gasout not Smoothed'); call tabulate(m,g,l); call hinich82(gasout,m,g,l:meanonly :smoothspec); call print('Mean Data for Hinich(82) Test on Gasout',g,l); m=16; call hinich82(gasout,m,g,l:setm :smoothspec); call print( 'Mean Data for Hinich(82) Test on Gasout Mean Set',g,l); call hinich82(gasout,m,g,l :smoothspec); call print('Hinich(82) Test on Gasout Smoothed'); call tabulate(m,g,l); b34srun; HINICH96 Hinich 1996 Nonlinearity Test. call hinich96(x,c,v,h) Calculates Hinich(96) v and h test for x. x = series c = sets number of lags. If c le 0, c defaults to .4. # of lags = nob**c. For detail on this test see Stokes (1997). Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call echooff; call hinich96(gasout,0.0,V,H); call print( 'Mean Data for Hinich(96) Test on Gasout',V,H); c=grid(.2 .45,.02); v=array(norows(c):); h=array(norows(c):); do i=1,norows(c); call hinich96(gasout,c(i),vv,hh); v(i)=vv; h(i)=hh; enddo; call print( 'Hinich(96) Test on Gasout for various c values'); call tabulate(c,v,h); b34srun; HPFILTER Hodrick-Prescott Filter. call hpfilter(data,datat,datadev,lamda); Uses Hodrick-Prescott filter to decompose data into trend (datat) and deviations from trend (datadev). Data must be real*8. If data is a matrix or 2d array, each column is transformed. data = real*8 series (can be a matrix) or 2d array). datat = trend part of series datadev = deviation part of series Lamda = sets the cost of incorporating fluctuations into the trend. Default = 1600. Prescott suggests 1600. for quarterly data. For yearly data set 1600 / 4**2 = 100. For monthly data set 1600 * 3**2 = 14,400. This command uses Prescott's subroutine that selects u(t) such that (1/T)sum((y(t)-u(t)**2)-(lamda/T)* sum((u(t+1)-u(t)-(u(t)-u(t-1)))**2 is minimized. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; s=1600.; call hpfilter(gasout,gast,gasdev,s); call graph(gasout,gast,gasdev); call hpfilter(gasout,gast2,gasdev2,0.0); call tabulate(gasout,gast,gasdev,gast2,gasdev2); b34srun; HP_BP_1 Hodrich-Prescott and Baxter-King Analysis call hp_bp_1(julian,series,name,highfreq, lowfreq,nterms,lamda, print,graphit,rjulian,rseries,hptrend, hpdev,bptrend,bpdev); Performs Hodrick - Prescott and Baxter King Analysis julian = Julian date. If not available pass series of zero same length as series series = Input series name = Character object of name highfreq = Barter-King High Freq (6.) lowfreq = Baxter-King Low Freq (32.) nterms = # of terms for Baxter - King lamda = Hodrick-Prescott Lamda 1600. print = 0 => nothing, ne 0 => print graphit = 0 => nothing, ne 0 => graph rjulian = Revised julian rseries = Revised series hptrend = Hodrick-Prescott trend hpdev = Hodrick-Prescott dev bptrend = Baxter-King trend bpdev = Baxter-King dev HP_BP_1 is a subroutine from matrix2.mac. It must be loaded with call load(hp_bp_1); Test Case: HP_BP_1 HP_BP_2 Baxter-King & Hodrick-Prescott Moving Filtering call hp_bp_2(julian,series1,series2,nwindow,ncc, highfreq,lowfreq,nterms,lamda,njulian, cortrhp,cordevhp,cortrbp,cordevbp, var1trh,var2trh,var1devh,var2devh, var1trb,var2trb,var1devb,var2devb, corrmat1,corrmat2,corrmat3,corrmat4); Hodrick-Prescott and Baxter King Analysis on two series for a moving period. The estimated Hodrick - Prescott Series are truncated BEFORE variances and correlations are calculated. julian => Julian date. If not available pass series of zero same length as series series1 = Input series series2 = Input series nwindow = number in window ncc = # of lags for cross correlations highfreq = Barter-King High Freq (6) lowfreq = Baxter-King Low Freq (32) nterms = # of terms for Baxter - King lamda = Hodrick-Prescott Lamda njulian = Revised julian vector cortrhp = Correlation of trend HP data cordevhp = Correlation of dev HP data cortrbp = Correlation of trend BP data cordevbp = Correlation of dev BP data var1trh = Variance of series 1 trend HP data var2trh = Variance of series 2 trend HP data var1devh = Variance of series 1 dev HP data var2devh = Variance of series 2 dev HP data var1trb = Variance of series 1 trend BP data var2trb = Variance of series 2 trend BP data var1devb = Variance of series 1 dev BP data var2devb = Variance of series 2 dev BP data corrmat1 = Correlation matrix for trend HP data corrmat2 = Correlation matrix for dev HP data corrmat3 = Correlation matrix for trend BP data corrmat4 = Correlation matrix for dev BP data HP_BP_2 is a subroutine from matrix2.mac. It must be loaded with call load(hp_bp_2); Test case: HP_BP_2 HP_2 Hodrick - Prescott Moving Filtering call hp_2(series1,series2,nwindow,ncc,lamda,cortrhp, cordevhp,var1trh,var2trh,var1devh,var2devh, corrmat1,corrmat2,corrmat3,corrmat4); Performs Hodrick - Prescott Anlysis on two series for a moving period series1 = Input series series2 = Input series nwindow = number in window ncc = # cc lamda = Hodrick-Prescott Lamda cortrhp = Correlation of trend HP data cordevhp = Correlation of dev HP data var1trh = Variance of series 1 trend HP data var2trh = Variance of series 2 trend HP data var1devh = Variance of series 1 dev HP data var2devh = Variance of series 2 dev HP data corrmat1 = Correlation matrix for trend HP data corrmat2 = Correlation matrix for dev HP data HP_2 is a subroutine from matrix2.mac. It must be loaded with call load(hp_2); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(hp_2); call print(hp_2); julian=array(norows(gasin):); nwindow=50; ncc=10; lamda=100.; series1=gasin; series2=gasout; call echooff; call hp_2(series1,series2,nwindow,ncc, lamda,cortrhp,cordevhp,var1trh,var2trh, var1devh,var2devh,corrmat1,corrmat2, corrmat3,corrmat4); call names; call graph(var1trh,var1devh); b34srun; Test case: hp_2 IALEN Gen actual length of a buffer of character data call ialen(charvar,ilen) Gets actual length of a character*1 series charvar = Character*1 string ilen = position of last character Example: b34sexec matrix; call character(cc,'This ends at 15 '); call ialen(cc,ipos); call print('Should be 15',ipos); b34srun; IBFOPEN Open a file for Binary I/O call ibfopen('filename',accesscode,ihandle) Open a file for Binary I/O Examples: call ibfopen('test.ff',READONLY,ihande); call ibfopen('test.ff',WRITEONLY,ihandle); call ibfopen('test.ff',READWRITE,ihandle); Open file test.ff for readonly, writeonly and readwrite respectively. The access commands READWRITE and READ require existing files. The access command WRITEONLY will remove any data in the file prior to writting. Note: The file open must be accessed with the binary file I/O subroutines: call IBFOPEN('name',access,ihandle) call IBFCLOSE(ihandle); call IBFREADR(ihandle,rbuffer,ntoread,nread); call IBFREADC(ihandle,cbuffer,ntoread,nread); call IBFSEEK(ihandle,ipos,method); call IBFWRITER(ihandle,rbuffer,ntowrite,nwrite); call IBFWRITEC(ihandle,cbuffer,ntowrite,nwrite); Properly used, these commands allow reading and processing of a large number of file types. Extensive example b34sexec matrix; /$ /$ Tests both Character and real reading and writting /$ call ibfopen('test.ff',writeonly,ihandle); x=rn(array(10:)); j=norows(x)*8; call ibfwriter(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.ff',isize); call print('The file size for test.ff is ',isize); xnew=array((isize/8)+1:); call ibfopen('test.ff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call ibfreadr(ihandle,xnew,isize,ii); call tabulate(x,xnew); call ibfclose(ihandle); /$ /$ Character Tests /$ call ibfopen('test.cff',writeonly,ihandle); call character(x,'abcdefghi'); j=norows(x); call ibfwritec(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.cff',isize); call print('The file size for test.cff is ',isize); xnew=rtoch(array((isize/8)+1:)); call character(cnew,xnew); call ibfopen('test.cff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call names(all); call print(cnew); call ibfreadc(ihandle,cnew,isize,ii); call print(x,cnew); call ibfclose(ihandle); call dodos('erase test.ff'); call dounix('rm test.ff'); b34srun; IBFCLOSE Close a binary file that was opened by IBFOPEN call ibfclose(ihandle); Closes a file that was currently open. Extensive example b34sexec matrix; /$ /$ Tests both Character and real reading and writting /$ call ibfopen('test.ff',writeonly,ihandle); x=rn(array(10:)); j=norows(x)*8; call ibfwriter(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.ff',isize); call print('The file size for test.ff is ',isize); xnew=array((isize/8)+1:); call ibfopen('test.ff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call ibfreadr(ihandle,xnew,isize,ii); call tabulate(x,xnew); call ibfclose(ihandle); /$ /$ Character Tests /$ call ibfopen('test.cff',writeonly,ihandle); call character(x,'abcdefghi'); j=norows(x); call ibfwritec(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.cff',isize); call print('The file size for test.cff is ',isize); xnew=rtoch(array((isize/8)+1:)); call character(cnew,xnew); call ibfopen('test.cff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call names(all); call print(cnew); call ibfreadc(ihandle,cnew,isize,ii); call print(x,cnew); call ibfclose(ihandle); call dodos('erase test.ff'); call dounix('rm test.ff'); b34srun; IBFREADR Read a Real*1 value from a binary file call ibfreadr(ihandle,rbuffer,ntoread,nread) Read a real*1 value from a binary file ihandle => File handle from ibfopen rbuffer => Real buffer ntoread => Number of bytes to read nread => Actual number read ibfseek can be used to position the read/write pointer Extensive example b34sexec matrix; /$ /$ Tests both Character and real reading and writting /$ call ibfopen('test.ff',writeonly,ihandle); x=rn(array(10:)); j=norows(x)*8; call ibfwriter(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.ff',isize); call print('The file size for test.ff is ',isize); xnew=array((isize/8)+1:); call ibfopen('test.ff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call ibfreadr(ihandle,xnew,isize,ii); call tabulate(x,xnew); call ibfclose(ihandle); /$ /$ Character Tests /$ call ibfopen('test.cff',writeonly,ihandle); call character(x,'abcdefghi'); j=norows(x); call ibfwritec(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.cff',isize); call print('The file size for test.cff is ',isize); xnew=rtoch(array((isize/8)+1:)); call character(cnew,xnew); call ibfopen('test.cff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call names(all); call print(cnew); call ibfreadc(ihandle,cnew,isize,ii); call print(x,cnew); call ibfclose(ihandle); call dodos('erase test.ff'); call dounix('rm test.ff'); b34srun; IBFREADC Read a Character*1 value from a binary file call ibfreadc(ihandle,cbuffer,ntoread,nread) Reads a character*1 value from a binary file ihandle => File handle from ibfopen rbuffer => Real buffer ntoread => Number of bytes to read nread => Actual number read ibfseek can be used to position the read/write pointer Extensive example b34sexec matrix; /$ /$ Tests both Character and real reading and writting /$ call ibfopen('test.ff',writeonly,ihandle); x=rn(array(10:)); j=norows(x)*8; call ibfwriter(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.ff',isize); call print('The file size for test.ff is ',isize); xnew=array((isize/8)+1:); call ibfopen('test.ff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call ibfreadr(ihandle,xnew,isize,ii); call tabulate(x,xnew); call ibfclose(ihandle); /$ /$ Character Tests /$ call ibfopen('test.cff',writeonly,ihandle); call character(x,'abcdefghi'); j=norows(x); call ibfwritec(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.cff',isize); call print('The file size for test.cff is ',isize); xnew=rtoch(array((isize/8)+1:)); call character(cnew,xnew); call ibfopen('test.cff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call names(all); call print(cnew); call ibfreadc(ihandle,cnew,isize,ii); call print(x,cnew); call ibfclose(ihandle); call dodos('erase test.ff'); call dounix('rm test.ff'); b34srun; IBFSEEK Position Binary read/write pointer call ibfseek(ihandle,ipos,method) Positions the read/write pointer ihandle => File handle from ibfopen ipos => required position to read/write. on exit ipos set to updated position method => set as: FROMSTART FROMCURRENT FROMEND Use of IBFSEEK allows random access of a binary file. Extensive example b34sexec matrix; /$ /$ Tests both Character and real reading and writting /$ call ibfopen('test.ff',writeonly,ihandle); x=rn(array(10:)); j=norows(x)*8; call ibfwriter(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.ff',isize); call print('The file size for test.ff is ',isize); xnew=array((isize/8)+1:); call ibfopen('test.ff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call ibfreadr(ihandle,xnew,isize,ii); call tabulate(x,xnew); call ibfclose(ihandle); /$ /$ Character Tests /$ call ibfopen('test.cff',writeonly,ihandle); call character(x,'abcdefghi'); j=norows(x); call ibfwritec(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.cff',isize); call print('The file size for test.cff is ',isize); xnew=rtoch(array((isize/8)+1:)); call character(cnew,xnew); call ibfopen('test.cff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call names(all); call print(cnew); call ibfreadc(ihandle,cnew,isize,ii); call print(x,cnew); call ibfclose(ihandle); call dodos('erase test.ff'); call dounix('rm test.ff'); b34srun; IBFWRITER Write noncharacter buffer on a binary file call ibfwriter(ihandle,rbuffer,ntowrite,nwrite) Write a noncharacter buffer of a binary file ihandle => File handle from ibfopen rbuffer => Real buffer ntoread => Number of bytes to write nread => Actual number of bytes written ibfseek can be used to position the read/write pointer Example b34sexec matrix; /$ /$ Tests both Character and real reading and writting /$ call ibfopen('test.ff',writeonly,ihandle); x=rn(array(10:)); j=norows(x)*8; call ibfwriter(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.ff',isize); call print('The file size for test.ff is ',isize); xnew=array((isize/8)+1:); call ibfopen('test.ff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call ibfreadr(ihandle,xnew,isize,ii); call tabulate(x,xnew); call ibfclose(ihandle); /$ /$ Character Tests /$ call ibfopen('test.cff',writeonly,ihandle); call character(x,'abcdefghi'); j=norows(x); call ibfwritec(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.cff',isize); call print('The file size for test.cff is ',isize); xnew=rtoch(array((isize/8)+1:)); call character(cnew,xnew); call ibfopen('test.cff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call names(all); call print(cnew); call ibfreadc(ihandle,cnew,isize,ii); call print(x,cnew); call ibfclose(ihandle); call dodos('erase test.ff'); call dounix('rm test.ff'); b34srun; IBFWRITEC Write character buffer on a binary file call ibfwritec(ihandle,cbuffer,ntowrite,nwrite) Write character buffer on a binary file ihandle => File handle from ibfopen cbuffer => character buffer ntoread => Number of bytes to write nread => Actual number of bytes written ibfseek can be used to position the read/write pointer Example b34sexec matrix; /$ /$ Tests both Character and real reading and writting /$ call ibfopen('test.ff',writeonly,ihandle); x=rn(array(10:)); j=norows(x)*8; call ibfwriter(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.ff',isize); call print('The file size for test.ff is ',isize); xnew=array((isize/8)+1:); call ibfopen('test.ff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call ibfreadr(ihandle,xnew,isize,ii); call tabulate(x,xnew); call ibfclose(ihandle); /$ /$ Character Tests /$ call ibfopen('test.cff',writeonly,ihandle); call character(x,'abcdefghi'); j=norows(x); call ibfwritec(ihandle,x,j,iwrite); call print('Number of bites written ',iwrite); call names(all); call ibfclose(ihandle); call ifilesize(' ','test.cff',isize); call print('The file size for test.cff is ',isize); xnew=rtoch(array((isize/8)+1:)); call character(cnew,xnew); call ibfopen('test.cff',readonly,ihandle); ipos=0; call ibfseek(ihandle,ipos,fromstart); call names(all); call print(cnew); call ibfreadc(ihandle,cnew,isize,ii); call print(x,cnew); call ibfclose(ihandle); call dodos('erase test.ff'); call dounix('rm test.ff'); b34srun; IB34S11 Parse a token using B34S11 parser call ib34s11(string,ibase,ifbase,isize,itokty,inewp,imax) Parses a character*1 array string string => Character*1 string to parse from ibase to imax. If IMAX = 0 uses end of string. ibase => Where to start looking in string ifbase => Location of token. = 0 if not found isize => Size of token. If isize=0 => no token found. itokty => Token type: 0 = unknown 1 = $ 2 = ( 3 = ) 4 = = 5 = integer value 6 = real value 7 = var name (coded 77 if between " " and ' ') 7 is also a var string 8 = opt (such as x=log(z)$ ) 9 = parm (parm=key or parm=(key1,key2) ) 10 = * 11 = - 12 = + 13 = b34send 14 = / 15 = : 16 = ; 17 = . 18 = ' 19 = " 20 = logical operator 21 = | 22 = { 23 = } 24 = [ 25 = ] 26 = @ 27 = , inewp => New pointer if the string has space left. =-99 if done. imax => Upper limit to look at. If set = 0 then the max of string used. Note: The b34s11 routine is the main b34s parser/tokenizer. Use of this routine allows the expert programmer to parse a line and detect what is there, and decide on the next step quickly. This command is of use for a developer. Look at the getr16 and getr8 routines in staging2.mac for how this routine might be used. Example: b34sexec matrix; call character(cc,'10. 11 test y(10) jj=44 print'); ibase=1; call echooff; do j=1,100; imax=0; call ib34s11(cc,ibase,ifbase,isize,itokty,inewp,imax); if(isize.eq.0)go to finish; call print('ifbase found ',ifbase :line); call print('Size of token found ',isize :line); call print('Type of token found ',itokty :line); call print('inewp of token found ',inewp :line); i=integers(ifbase,ifbase+isize-1); find=cc(i); call character(tt,'Token found was: '); call expand(tt,find,20,(20+isize)); call print(tt :line); call print(' ' :line); ibase=inewp; if(inewp.eq.-99)go to finish; enddo; finish continue; call print('All done tokenizing'); b34srun; Application loading data using getr16 routine. /$ /$ Reads a character array into real*16 and real*8. /$ Tests input /$ b34sexec matrix; call character(cc,' 1 0 6 1 63 2 364 3 1365 4 3906 5 9331 6 19608 7 37449 8 66430 9 111111 10 177156 11 271453 12 402234 13 579195 14 813616 15 1118481 16 1508598 17 2000719 18 2613660 19 3368421 20'); call load(ntokin :staging); call load(getr16 :staging); call echooff; call ntokin(cc,nfind,0,ibad); call getr16(cc,nfind,x16,ibad); /$ repack xm=matrix(nfind/2,2:x16); call print(xm); b34srun; IFILESIZE Determine number of bites in a file call ifilesize('dir','fname',isize) Determine number of bites in a file 'dir' => Directory of file 'fname' => File name isize => size if bytes of file. isize=0 if file not found Example b34sexec matrix; call ifilesize('c:\b34slm','gas.b34',isize); call print(isize); b34srun; IFILLSTR Fill a string with a character call ifillstr(string,chr) Fill a string with a character string => String to fill char => Character to place in string Example: b34sexec matrix; call character(cc,'This is a string'); newcc=cc; call ifillstr(newcc,'a'); call print(cc,newcc); b34srun; IGETICHAR Obtain ichar info on a character buffer call igetichar(charvar,ival) Obtain ichar info on a character buffer charvar => Character*1 variable ival => Integer*4 array of size iend-istart+1 Example b34sexec matrix; call character(astring,'ABCDEFG'); call igetichar(astring,ichar); ichar2=ichar+1 call igetchari(ichar2,newstr); call print(astring,ichar,ichar2,newstr); b34srun; IGETCHARI Get character from ichar value call igetchari(ival,charvar) Get character from ichar value ival => Integer vector of ichar values charvar => Characters from ival Example b34sexec matrix; call character(astring,'ABCDEFG'); call igetichar(astring,ichar); ichar2=ichar+1 call igetchari(ichar2,newstr); call print(astring,ichar,ichar2,newstr); b34srun; IJUSTSTR Left/Right/center a string call ijuststr(string,task) Left/Right/center a string string => String to operate on task => task is LEFT, CENTER, RIGHT Example: b34sexec matrix; call character(c,'This is a statement '); leftc=c; centerc=c; rightc=c; call ijuststr(leftc, left); call ijuststr(centerc,center); call ijuststr(rightc, right); call print(c,leftc,centerc,rightc); b34srun; ILCOPY Move bites from one location to another call ilcopy(nbytes,in,inc1,instart,out,inc2,ioutstart) Move bites from one location to another nbytes => # of bytes to move in => input variable inc1 => incrument for in instart => byte to start with for in out => out variable inc2 => incrument for out variable ioutstart => byte to start with for out Variables IN and OUT must be real*8, integer*4 or real*4. Warning: Do not use subscripted variable for out variable since it will replaced by a temp and NOT copied. This command allows exact placement of bits within an array and is able to by pass the usual Fortran copy. The ILCOPY command is intended for the expert programmer. Example: b34sexec matrix; * Put in reals we know what they are; x=array(20:integers(20)); call print(x); call displayb(x); x(1)=0.0; x(2)=1.0; * Hide an integer in a real; call displayb(x); i1=1; i2=2; call ilcopy(4,i1,1,1,x,1,1); call ilcopy(4,i2,1,1,x,1,5); call displayb(x); b34srun; Note: If Character*1 data is need to be moved, use EXPAND and CONTRACT. In place replacement can be done with: b34sexec matrix; * we want aabb at 5-8 in cc; * We do not want to expand; call character(cc,'This is a test'); call character(new,'aabb'); call contract(cc,5,8); call expand(cc,new,5,8); call print(cc); b34srun; ILOCATESTR Locate a first non blank character call ilocatestr(string,ipos) Cocate first non blank character string => Character*1 string to search ipos => position of string Example: b34sexec matrix; call character(cc,' in5to11 '); call ilocatestr(cc,in,iout); call print(cc,in,iout); b34srun; ILOWER Lower case a string - 500 length max call ilower(string) Lower case a string - 500 length max string => Character*1 array to lower case. Max length 500. Example: b34sexec matrix; call character(cc,'THIS IS UPPER'); lower=cc; call ilower(lower); upper=lower; call iupper(upper); call print(cc,lower,upper); b34sreturn; INEXTR8 Convert next value in string to real*8 variable call inextr8(string,real8val) Convert next value in string to real*8 variable string => Character*1 array of max length 500. real8val => Next real*8 value. If blank set to missing. Note: String is cleared. Example: b34sexec matrix; call character(cc,'2.3 5. 99 Bob'); call print(cc); call inextr8(cc,r8); call print(cc); call inextr4(cc,r4); call print(cc); call inexti4(cc,i4); call print(cc); call inextstr(cc,ss,ihave); call print(cc); call inextstr(cc,ss2,ihave2); call print(r8,r4,i4,ss,ihave,ihave2); b34srun; INEXTR4 Convert next value in string to real*4 variable call inextr4(string,real4val) Convert next value in string to real*4 variable string => Character*1 array of max length 500. real4val => Next real*4 value. If blank set -999999999. Note: String is cleared. Example: b34sexec matrix; call character(cc,'2.3 5. 99 Bob'); call print(cc); call inextr8(cc,r8); call print(cc); call inextr4(cc,r4); call print(cc); call inexti4(cc,i4); call print(cc); call inextstr(cc,ss,ihave); call print(cc); call inextstr(cc,ss2,ihave2); call print(r8,r4,i4,ss,ihave,ihave2); b34srun; INEXTSTR - Extract next blank deliminated sub-string from string call inextstr(string,substr,ihave) Extract next blank deliminated sub-string from a string string - Character*1 array of max length 500. substr - Character*1 array of substring. ihave - =0 if have a substring, =1 if do not. Example: b34sexec matrix; call character(cc,'2.3 5. 99 Bob'); call print(cc); call inextr8(cc,r8); call print(cc); call inextr4(cc,r4); call print(cc); call inexti4(cc,i4); call print(cc); call inextstr(cc,ss,ihave); call print(cc); call inextstr(cc,ss2,ihave2); call print(r8,r4,i4,ss,ihave,ihave2); b34srun; INEXTI4 - Convert next value in a string to integer call inexti4(string,intval) Convert next value in a string to integer string - Character*1 array of max length 500. intval - Next integer*4 value. If blank set -999999999 Note: String is cleared. Example: b34sexec matrix; call character(cc,'2.3 5. 99 Bob'); call print(cc); call inextr8(cc,r8); call print(cc); call inextr4(cc,r4); call print(cc); call inexti4(cc,i4); call print(cc); call inextstr(cc,ss,ihave); call print(cc); call inextstr(cc,ss2,ihave2); call print(r8,r4,i4,ss,ihave,ihave2); b34srun; INTTOSTR - Convert integer to string using format call inttostr(int,str,fmt) Convert integer to string using format int - integer str - string fmt - up to 8 characters of format Example: b34sexec matrix; call inttostr(88,is88,'(i4)'); call character(cc,'99.88D32'); call istrtor8(cc,bigr8); call character(cc,'77'); call istrtoint(cc,is77); xx=99.99; call ir8tostr(xx,is99p99,'(g12.4)'); call print(is88,bigr8,is77,is99p99); b34srun; IR8TOSTR - Convert real*8 value to string using format call ir8tostr(real8,str,fmt) Convert real*8 value to string using format real8 - Real*8 value str - string fmt - up to 8 characters of format Example: b34sexec matrix; call inttostr(88,is88,'(i4)'); call character(cc,'99.88D32'); call istrtor8(cc,bigr8); call character(cc,'77'); call istrtoint(cc,is77); xx=99.99; call ir8tostr(xx,is99p99,'(g12.4)'); call print(is88,bigr8,is77,is99p99); b34srun; ISTRTOR8 - Convert string to real*8 call istrtor8(string,real8) Convert string to real*8 string - string real8 - Real*8 value Example: b34sexec matrix; call inttostr(88,is88,'(i4)'); call character(cc,'99.88D32'); call istrtor8(cc,bigr8); call character(cc,'77'); call istrtoint(cc,is77); xx=99.99; call ir8tostr(xx,is99p99,'(g12.4)'); call print(is88,bigr8,is77,is99p99); b34srun; ISTRTOINT - Convert string to integer call istrtoint(string,int) Convert string to integer. string - string int - integer that was in string Example: b34sexec matrix; call inttostr(88,is88,'(i4)'); call character(cc,'99.88D32'); call istrtor8(cc,bigr8); call character(cc,'77'); call istrtoint(cc,is77); xx=99.99; call ir8tostr(xx,is99p99,'(g12.4)'); call print(is88,bigr8,is77,is99p99); b34srun; IUPPER - Upper case a string - 500 length max call iupper(string) Upper case a string - 500 length max string - Character*1 array to upper case Max length 500. Example: b34sexec matrix; call character(cc,'THIS IS UPPER'); lower=cc; call ilower(lower); upper=lower; call iupper(upper); call print(cc,lower,upper); b34sreturn; ISEXTRACT - Place data in a structure. call isextract(n(2),data); Places DATA into a structured object n in location 2. An optional form: call isextract(n(2),data,i); places data into the ith location. The name isextract is the inverse of command sextract. The function call g=sextract(n(2)); and g=sextract(n(2),i); can be used to take all the data or element i out of the structure. Example: b34sexec matrix; people=namelist(pname,ssn,age,race,income); pname =namelist(sue,joan,bob); ssn =array(:99,9821,22); age =idint(array(:35,45,58)); race =namelist(hisp,white,black); income=array(:40000,35000,50000); call tabulate(pname,ssn,age,race,income); call print(sextract(people(3))); call print('Second person',sextract(people(1),2), sextract(people(3),2)); nage=age+1; call isextract(people(3),nage); call print(age); call isextract(people(3),77,1); call print(age); b34srun; I_RNOPG - Gets the type of generator currently in use. call i_rnopg; Prints the type of IMSL random generator and current recver and rnver settings. The alternative form call i_rnopg(i); produces an integer in range 1-7. 1 => multiplier 16807 with no shuffling 2 => multiplier 16807 with shuffling 3 => multiplier 397204094 with no shuffling 4 => multiplier 397204094 with shuffling 5 => multiplier 950706376 with shuffling 6 => multiplier 950706376 with no shuffling 7 => GFSR with recursion To get info on the current settings of RECVER and RNVER, add one to two more arguments call i_rnopg(i,recver); or call i_rnopg(i,recver,rnver); Example: b34sexec matrix; call i_rnopg; call echooff; do i=1,7; call i_rnopt(i); call i_rnopg; call i_rnopg(j); if(i.ne.j)then; call epprint('ERROR: i_rnopt and i_rnopg not correct'); call epprint('sett was ',i,' return was ',j); endif; enddo; call i_rnopg(ii,recver,rnver); call print('imsl code ',ii,recver,rnver); b34srun; I_RNOPT - Selects the type of uniform (0,1) generator. call i_rnopt(i); Selects the type of random number generator in use for I_xxxx series calls. i must be in range 1-7 1 => multiplier 16807 with no shuffling 2 => multiplier 16807 with shuffling 3 => multiplier 397204094 with no shuffling 4 => multiplier 397204094 with shuffling 5 => multiplier 950706376 with shuffling 6 => multiplier 950706376 with no shuffling 7 => GFSR with recursion Example: b34sexec matrix; call i_rnopg; call echooff; do i=1,7; call i_rnopt(i); call i_rnopg; call i_rnopg(j); if(i.ne.j)then; call epprint('ERROR: i_rnopt and i_rnopg not correct'); call epprint('sett was ',i,' return was ',j); endif; enddo; b34srun; I_RNSET - Sets seed used in IMSL Random Number generators. call i_rnset(ii); Sets the seed for the IMSL random number generators; Example: b34sexec matrix; call i_rnget; call i_rnget(ii); call print('Seed was ',ii); call i_rnset(3452); call i_rnget; b34srun; I_DRNSES - Initializes the table for shuffled generators. call I_drmses(table); Sets the internal sfuffle table. Table must be exactly 128 elements in the range 0.0 to 1.0. If table(1) is set le 0.0, then table is NOT used to set the suffled generarator and the first 128 calls to the generator are used to set the table. Example: b34sexec matrix; table=rec(array(128:)); call i_drnses(table); call i_drnges(table2); call tabulate(table,table2); b34srun; I_DRNGES - Get the table used in the shuffled generators. call i_drnges(table); Obtains the table for the shuffled generator. The objective is to save the current table and reload it to start the generator again. The command: call i_dgnses(table); will reload the table. Example: b34sexec matrix; table=rec(array(128:)); call i_drnses(table); call i_drnges(table2); call tabulate(table,table2); b34srun; I_DRNUN - Uniform (0,1) Generator call i_drnun(x); Fills x with uniform numbers using the currently selected IMSL generator. The commands x=array(10:); x=rn(x:imsl10); are the same as call i_rnset(1); call i_drnun(x); Example: b34sexec matrix; * IMSL test case; call i_rnset(123457); x=array(5:); call i_drnun(x); call print('answers should be' ' .9662 .2607 .7663 .5693 .8448'); call print(x); n=300; x=array(n:); call i_drnun(x); call graph(x :heading 'random numbers'); b34srun; I_DRNNOA - Random Normal Distribution - Acceptance / Rejection call i_drnnoa(x); Generates random numbers from standard nornal distribution using acceptance / rejection method. x = Real*8 object Example: b34sexec matrix; * problem from IMSL ; x=array(5:); call i_rnset(123457); call i_drnnoa(x); call print('answers should be ', ' 2.0516 1.0833 .0826 1.2777 -1.2260',x); x=array(500:); call i_drnnoa(x); call graph(x :Heading 'Random Normal Values'); b34srun; I_DRNNOR - Random Normal Distribution - CDF Method call i_drnnor(x); Generates random numbers from standard nornal distribution using an inverse cdf method. Example: b34sexec matrix; * problem from IMSL ; x=array(5:); call i_rnset(123457); call i_drnnor(x); call print('answers should be ', ' 1.8279 -.6412 .7266 .1747 1.0145',x); x=array(500:); call i_drnnor(x); call graph(x :Heading 'Random Normal Values'); b34srun; I_DRNBET - Random numbers from beta distribution call i_drnbet(bet,p,q); Calculates the beta (p,q) distribution in bet. bet = real*8 array / vector p = real*8 variable gt 0.0 q = real*8 variable gt 0.0 Example: b34sexec matrix; * Test problem from IMSL; p=3.; q=2.; n=5; beta=array(n:); call i_rnset(123457); call i_drnbet(beta,p,q); call print('Beta(3. 2.) Distribution', 'Answers should be .2814 .9483 .3984 .3103 .8296',beta); b34srun; I_DRNCHI - Random numbers from Chi-squared distribution call i_drnchi(chisq,df); Calculates a random chi-squared distributiion chisq = real*8 vector or array that contains chi-squared distribution df = real*8 variable GT 0.0 containing degress of freedom. Example: b34sexec matrix; * Test problem from IMSL; df=5.; n=5; chisq=array(n:); call i_rnset(123457); call i_drnchi(chisq,df); call print('Chisq Distribution', 'Answers should be 12.0900 .4808 1.7976 14.8712 1.7477', chisq); b34srun; I_DRNCHY - Random numbers from Cauchy distribution call i_drnchy(cauchy); Places random variables from the cauchy distribution in cauchy. cauchy - Size of cauchy must be set. Example: b34sexec matrix; * Test problem from IMSL; n=5; cauchy=array(n:); call i_rnset(123457); call i_drnchy(cauchy); call print('Cauchy Distribution', 'Answers should be 3.5765 .9353 15.5797 2.0815 -.1333', cauchy); b34srun; I_DRNEXP - Random numbers from standard exponential call i_drnchy(expdis); Places random variables from the standard exponential distribution in expdis. expdis - Size of expdis must be set. Example: b34sexec matrix; * Test problem from IMSL; n=5; expdis=array(n:); call i_rnset(123457); call i_drnexp(expdis); call print('Exponential Distribution', 'Answers should be .0344 1.3443 .2662 .5633 .1686', expdis); b34srun; I_DRNEXT - Random numbers from mix of exponential distributions call i_drnext(mexp,theta1,theta2,p); Places in mexp the mixture of two exponential distributions having mean theta1 and theta2. mexp = real*8 vector / array containing distribution theta1 = real*8 mean of dsitribution 1 theta2 = real*8 mean of distribution 2 theta2 gt 0.0 and le theta1 p = real*8 mixing parameter. p le (theta1/(theta1-theta2)) f(x) = (p/theta1)*exp(-1/theta1) + ((1.0-p)/theta2)*exp(-x/theta2) Example: b34sexec matrix; * Test problem from IMSL; n=5; theta1=2.0; theta2=1.0; p=.5; mexp=array(n:); call i_rnset(123457); call i_drnext(mexp,theta1,theta2,p); call print('Mixture of two Exponentials', 'Answers should be .0700 1.3024 .6301 1.9756 .3716',mexp); b34srun; I_DRNGAM - Random numbers from standard gamma distribution call i_drngam(gamma,a); Generates a gamma distribution gamma = real*8 vector / array containing the distribution a = Shape parameter for distribution. a gt 0.0 Example: b34sexec matrix; * Test problem from IMSL; n=5; a=3.0; gamma=array(n:); call i_rnset(123457); call i_drngam(gamma,a); call print('Gamma Distribution', 'Answers should be 6.8428 3.4452 1.8535 3.9992 .7794', gamma); b34srun; I_DRNGCT - Random numbers from general continuous distribution call I_drngct(rx,x,cdf); Generates random numbers from a general continuous distribution where the user supplies the CDF and the x range. rx = real*8 array containing the random numbers. x = real*8 array containing range over which CDF is evaluated. cdf = real*8 array containing cumulative density function evaluated at x values. cdf must contain the same number of elements as x. First and last elements must be 0.0 and 1.0. At least 4 elements must be supplied. This command allows generation of randon numbers from any continuous distrubution provided that the cdf is known. Example: b34sexec matrix; * Problem from IMSL. Tests Berta(3.,2.) distribution; x = grid(0.0,1.,.01); pp = array(norows(x):)+3.; qq = array(norows(x):)+2.; cdf=betaprob(x,pp,qq); call tabulate(x,cdf); call i_rnset(123457); n=5; xr=array(n:); call i_drngct(xr,x,cdf); call print('Test values should be', '.9208 .4641 .7668 .6536 .8171',xr); * Graph a bigger case ; n=500; xr=array(n:); call i_drngct(xr,x,cdf); call graph(xr :heading 'Random Numbers from Beta(3.,2.) using i_drngct'); b34srun; I_DRNGDA - Random integers from discrete dist. alias approach call i_drngda(ir,imin,pf); Generates random numbers from a discrete distribution using the alias approach. ir = integer*4 vector containing random discreate deviates. imim = integer*4 value showing value of deviate for pf(1). pf = real*8 vector that sums to 1.0 containing the probabilities Example: b34sexec matrix; * Sample problem from IMSL; imin=1; n=5; ir=idint(array(n:)); pf=array(:.05 .45 .31 .04 .15); call i_rnset(123457); call i_drngda(ir,imin,pf); ir2=ir; call i_drngda(ir2,imin,pf); call print('Random integers Disc. Dist. - Alias Approach', 'Test values should be 3 2 2 3 5',ir, 'and 1 3 4 5 3',ir2); b34srun; I_DRNGDT - Random integers from discrete using table lookup call i_drngdt(ir,imin,pf); Generates random numbers from a discrete distribution using the table lookup approach. ir = integer*4 vector containing random discreate deviates imim = integer*4 value showing value of deviate for pf(1). pf = real*8 vector that sums to 1.0 containing the probabilities Example: b34sexec matrix; * Sample problem from IMSL; imin=1; n=5; ir=idint(array(n:)); pf=array(:.05 .45 .31 .04 .15); call i_rnset(123457); call i_drngdt(ir,imin,pf); call print( 'Random integers Discrete Dist. - Table Approach', 'Test values should be 5 2 3 3 4',ir); b34srun; I_DRNLNL - Random numbers from lognormal distribution call i_drnlnl(lognorm,xmean,xsd); Generates lognormal random variables in lognorm. lognorm = real*8 array. xmean = real*8 mean of distribution. xsd = real*8 standard deviation of distribution. xsd must be GT 0.0. Example: b34sexec matrix; * Test problem from IMSL; n=5; xmean=0.0; xsd=1.0; lognorm=array(n:); call i_rnset(123457); call i_drnlnl(lognorm,xmean,xsd); call print('Log Normal Distribution', 'Answers should be 7.7801 2.9543 1.0861 3.5885 .2935', lognorm); b34srun; I_DRNMVN - Random numbers from multivariate normal call i_drnmvn(r,rsig); Generates random numbers from a multivariate normal distribution. r = real*8 2 dimensional object with nr rows and k columns. R will contain the random multivariate normal vectors in its rows. rsig = real*8 upper triangular Cholesky factorization of the covariance matrix. This command can be used to draw random samples having the same covariace structure. Example: b34sexec matrix; * Problem from IMSL; nr=5; k=2; r=array(nr,k:); cov=array(k,k:.5 .375 .375 .5); rsig=pdfac(cov); call print(rsig); call i_nrset(123457); call i_drnmvn(r,rsig); call print('Multivariate Normal Deviates' 'Col 1 1.4507 .7660 .0584 .9035 -.8669' 'Col 2 1.2463 -.0429 -.6692 .4628 -.9334',r); b34srun; I_DRNSTA - Random numbers from stable distribution call i_drnsta(sta,alpha,bprime); Generates random numbers from a stable distribution. sta = real*8 vector having the random numbers. alpha = real*8 characteristic exponent of stable distribution. 0.0 lt alpha le 2.0 bprime = real*8 skewness parameters of stable distribution. bprime ge -1.0 and le 1.0 when alpha = 1.0 => bprime - skewness parameter when alpha ne 1.0 then bprime = -tan((pi()/2.0)*(1.-alpha))*tan((-1*(pi()/2.)* b*(1.-dabs(1.-alpha))) For futher detail see IMSL manual. Example: b34sexec matrix; * Test problem from IMSL; n=5; sta=array(n:); call i_rnset(123457); alpha=1.5; bprime=0.0; call i_drnsta(sta,alpha,bprime); call print('Stable Distribution', 'Answers should be 4.4091 1.0564 2.5463 5.6724 2.1656', sta); n=500; sta=array(n:); call i_drnsta(sta,alpha,bprime); call graph(sta :heading 'Stable Distribution'); b34srun; I_DRNTRI - Random numbers from triangular distribution call i_drntri(tri); Calculates triangular distribution. For 0 le x le .5 f(x)=4*x for .5 lt x le 1. f(x)= 4*(1.-x) Example: b34sexec matrix; * Test problem from IMSL; n=5; tri=array(n:); call i_rnset(123457); call i_drntri(tri); call print('Triangular Distribution', 'Answers should be .8700 .3610 .6581 .5360 .7215',tri); n=500; tri=array(n:); call i_drntri(tri); call graph(tri :heading 'Triangular Distribution'); b34srun; I_DRNSPH - Random numbers on the unit circle call i_drsph(r); Calculates random numbers on the unit circle where r = a n by k 2 dimensional object. Numbers are placeed in a circle of dimension k Example: b34sexec matrix; * problem from IMSL; n=2; k=3; r=array(n,k:); call i_rnset(123457); call i_drnsph(r); call print('Random points on unit circle' 'Row 1 .8893 .2316 .3944' 'Row 2 .1901 .0396 -.9810',r); b34srun; I_DRNVMS - Random numbers from Von Mises distribution call i_drnvms(vm,c); Calculates the Von Mises distribution vm = real*8 array con taining randon numbers c = Von Mises parameter c ge .0001 Example: b34sexec matrix; * Test problem from IMSL; n=5; vm=array(n:); c=1.0; call i_rnset(123457); call i_drnvms(vm,c); call print('Von Mises Distribution', 'Answers should be .2472 -2.4326 -1.0216 -2.1722 -.5029' vm); n=500; vm=array(n:); call i_drnvms(vm); call graph(vm :heading 'Von Mises Distribution'); b34srun; I_DRNWIB - Random numbers from Weibull distribution call i_drnwib(wb,a); Generates random numbers from the Weibull distribution having shape parameter a wb = real*8 array containing random numbers a = real*8 Weibull shape parameter. a GT 0.0 The probability density is f(x)=a*(X**(a-1.)) *dexp(-1*x**a) The Rayleigh distribution is the same as the Weibull with a = 2. and scale parameter dsqrt(2)*a Example: b34sexec matrix; * Test problem from IMSL; n=5; wb=array(n:); a=2.0; scale=6.; call i_rnset(123457); call i_drnwib(wb,a); wb=wb*scale; call print('Weibull Distribution', 'Answers should be 1.1122 6.9567 3.0959 4.5031 2.4638', wb); n=500; wb=array(n:); call i_drnvms(wb,a); wb=wb*scale; call graph(wb :heading 'Weibull Distribution'); b34srun; I_RNBIN - Random integers from binomial distribution call i_rnbin(ir,n,p); Calculates integers from the binomial distribution where ir = integer vector n = number of Bernoulli trials p = parbability of success. probs . 1.0 Given F(i,j) = [i/j] f(x) = F(n,x) * (p**x)*((1-p)**(n-x)) Example: b34sexec matrix; * Problem from IMSL ; ir=idint(array(5:)); ntrials = 20; probs = .5; call i_rnset(123457); call i_rnbin(ir,ntrials,probs); call print('answers should be 14 9 12 10 12',ir, 'Number of trials ',ntrials, 'Probability of Success ',probs); b34srun; I_RNGET - Gets seed used in IMSL Random Number generators. call i_rnget; Displays the IMSL seed that has been set. The alternative call call i_rnget(ii); will place the seed in ii. Example: b34sexec matrix; call i_rnget; call i_rnget(ii); call print('Seed was ',ii); call i_rnset(3452); call i_rnget; b34srun; I_RNHYP - Random integers from Hypergeometric distribution call i_rnhyp(ii,n,m,l); Calculates pseudorandom integers in ii from a hypergeometric distribution where ii = integer vector n = Number of items in the sample m = Number of special items in the population l = Number of items in the lot. l > m and l > n. Given F(i,j) = [i/j] f(x) = F(m,x)*f((l-m),n-x))/F(l,n) for x=max(0,n-l+m),1,2,min(n,m) For futher help see IMSL documentation. Example: b34sexec matrix; * Sample problem from IMSL ; ii=idint(array(5:)); call i_rnset(123457); n=4; m=12; l=20; call i_rnhyp(ii,n,m,l); call print('Should be 4 2 3 3 3 ',ii, 'Items in sample ',n, 'Special items in population ',m, 'Number of items in lot ',l); b34srun; I_RNGEO - Random integers from Geometric distribution call i_rngeo(ir,p) ; Generates random integers in ir from the Geometric distribution having probability p. ir = integer vector p = Probability of success. p < 1.0 Example: b34sexec matrix; * Problem from IMSL ; ir=idint(array(5:)) ; p=.3 ; call i_rnset(123457); call i_rngeo(ir,p) ; call print('Geometric Distribution', 'Answers should be 1 4 1 2 1', ir,'Probability of Success',p); b34srun; I_RNMTN - Random numbers from multinomial distribution call i_rnmtn(ir,n,p); Calculate integer*4 matrix of randon numbers from a multinomial distribution having n trials where p is a vector of length k having probabilities of the possible outcomes. ir => Integer*4 matrix of size nr by j. nr = # of random nornal vectors to generate. k = # of possible outcomes n => # in indepent trials p => vector of length containing probabilities. Example: b34sexec matrix; * Test problem from IMSL; nr=5; k=3; ir=idint(array(nr,k:)); n=20; p=array(k:.1 .3 .6); call i_rnset(123457); call i_rnmtn(ir,n,p); call print('Multinomial distribution', 'Answers should be:', 'col 1 5 3 3 5 4' 'col 2 4 6 3 5 5' 'col 3 11 11 14 10 11' ir); b34srun; I_RNNBN - Negative binomial dsitribution call i_rnnbn(ii,r,p); Generates random numbers from a negative binomial distribution. ii = integers generated r = negative binomial distribution parameter. r must be real*8 and > 0.0 p = probability of success on each trial. p must be real*8 and in range [0.0 to 1.0] If r is an integer real*8 value, we have the Pascal distribution. For further information, see IMSL documentation. Example: b34sexec matrix; * Test problem from IMSL; * Since R is an integer we have a Pascal distribution; r=4.; p=.3; n=5; i=idint(array(n:)); call i_rnset(123457); call i_rnnbn(ii,r,p); call print('Pascal Distribution', 'Answers should be 5 1 3 2 3',ii); b34srun; I_RNPER - Random perturbation of integers call i_rnper(ii); Will randomly pertibate the integers from 1-k where k = norows(ii); Example: b34sexec matrix; * Test problem from IMSL; n=10; ii=idint(array(n:)); call i_rnset(123457); call i_rnper(ii); call print('Random Pertibation of Integers', 'Answers should be 5 9 2 8 1 6 4 7 3 10',ii); b34srun; I_RNSRI - Index of random sample without replacement call i_rnsri(ii,npop); Generates a vector of k integer indices in ii from a population of npop where k=norows(ii) ii = integer vector of the subsample indices npop = integer showing size of population. npop GT norows(ii) This command is an alternative to ii=booti(ii); which uses replacement. b34sexec matrix; * Test problem from IMSL; nsamp=5; npop =100; ii=idint(array(nsamp:)); call i_rnsri(ii,npop); call print('Random Sample of Indices without replacement' 'Answer should be 2 22 53 61 79',ii); b34srun; KEENAN - Keenan Nonlinearity test call keenan(x,keen,ip) Calculates Keenan (1985) test for linearity. x = real*8 series keen = Keenan test ip = Order of test (integer*4) prob = Optional argument for probability call keenan(x,keen,ip,prob) Example: b34sexec matrix; call echooff; call loaddata; do i=2,18; call keenan(gasout,tt,i,pp); j=i-1; test(j) =tt; prob(j) =pp; order(j) =i; enddo; call print('Keenan (1985) Test of Gasout Series'); call tabulate(order,test,prob); b34srun; KSWTEST - K Period Stock Watson Test subroutine kswtest(x,vbegin1,vend1,nlag,nterms, iprint,iprint2); Generate k by k Stock Watson Test Statistics X = Data to be Analysed. X is 1D or 2D array/Matrix vbegin1 = vector/array of subperiod beginning points. vbegin1 is integer*4. vend1 = vector/array of subperiod ending points. vend1 is integer*4. Note: Three terms in vbegin1 and vend1 assumes three periods. Will run period 1-2 & period 2-3 nlag = # of AR lags nterms = # of MA terms iprint = Controls printing in SWARTEST. Usually = 0. iprint2 = Controls printing in kswtest. = 1 to print in kswtest = 0 to save data in global variable. =-1 to print and save data. Optional data saved: %var_i = Variance of Series %varh_i = Variance of yhat %rsq_i = R**2 of series %fac_i = Test Statistics %dfac_i = Difference of factural %dstr_i = Difference in counter factural Structure %dvar_i = Difference in counter factural variance Note: Optional data for orders > # series not cleaned. Developed 24 April 2003 by Jin-Man Lee Refinements made by Houston H. Stokes Routines needed: buildlag, varest, swartest Example: b34sexec options ginclude('gas.b34'); b34srun$ b34sexec matrix; call load(buildlag); call load(varest); call load(swartest); call load(kswtest); nlag = 8; nterms =20; iprint = 0; iprint2= 1; call get(gasin,gasout :dropmiss); vbegin1 = index( 1 100 190); vend1 = index( 99 189 296) ; x = mfam(catcol(gasin,gasout)); call echooff; call kswtest(x,vbegin1,vend1,nlag,nterms, iprint,iprint2) ; x=gasout; call kswtest(x,vbegin1,vend1,nlag,nterms, iprint,iprint2) ; b34srun ; KSWTESTM - Moving Period Stock Watson Test subroutine kswtestm(x,vbegin1,vend1,vbegin2,vend2, nlag,nterms,iprint,iprint2); Generate k Stock Watson Test Statistics. This code is made for a moving window application. X = Data to be Analysed. X is 1D or 2D array/Matrix vbegin1 = vector/array of subperiod beginning points integer*4 vend1 = vector/array of subperiod endinf points integer*4 vbegin1 = vector/array of subperiod beginning points integer*4 vend1 = vector/array of subperiod endinf points integer*4 nlag = # of AR lags nterms = # of MA terms iprint = Controls printing in SWARTEST. Usually = 0. iprint2 = Controls printing in kswtest. = 1 to print in kswtest = 0 to save data in global variable. =-1 to print and save data. Optional data saved: %T11___1 Period 1 structure period 1 variance %T12___1 Period 1 structure period 2 variance %T22___1 Period 2 structure period 2 variance %T21___1 Period 2 structure period 1 variance %VAR1__1 Actual variance period 1 series 1 %VAR2__1 Actual Variance period 2 series 1 %RSQ1__1 R**2 period 1 series 1 %VARH1_1 Variance of yhat period 1 series 1 %VARH2_1 Variance of yhat period 2 series 1 %RSQ2__1 R**2 period 2 series 1 %DFAC__1 dabs(t11-t22) %DVAR1_1 dabs(t11-t12) %DVAR2_1 dabs(t21-t22) %DSTR1_1 dabs(t11-t21) %DSTR2_1 dabs(t22-t12) Developed 24 April 2003 by Jin-Man Lee & Houston H. Stokes This code is a moving window variant of kswtest. Routines needed: buildlag, varest, swartest Example: /$ /$ This example will produce kswtestm results that /$ can be checked with kswtest example output b34sexec options ginclude('gas.b34'); b34srun$ b34sexec matrix; call load(buildlag); call load(varest); call load(swartest); call load(kswtestm); nlag = 8; nterms =20; iprint = 0; iprint2= 1; call get(gasin,gasout :dropmiss); vbegin1 = index( 1 100); vend1 = index( 99 199) ; vbegin2 = index(100 200); vend2 = index(199 296) ; x = mfam(catcol(gasin,gasout)); call echooff; call kswtestm(x,vbegin1,vend1, vbegin2,vend2,nlag,nterms, iprint,iprint2) ; /$ call names(all); call print(%t11___1 %T12___1 %T22___1 %T21___1 %VAR1__1 %VAR2__1 %RSQ1__1 %VARH1_1 %VARH2_1 %RSQ2__1 %DFAC__1 %DVAR1_1 %DVAR2_1 %DSTR1_1 %DSTR2_1 %t11___2 %t12___2 %t22___2 %t21___2 %VAR1__2 %VAR2__2 %RSQ1__2 %VARH1_2 %VARH2_2 %RSQ2__2 %DFAC__2 %DVAR1_2 %DVAR2_2 %DSTR1_2 %DSTR2_2 ); x=gasout; call kswtestm(x,vbegin1,vend1,nlag,nterms, iprint,iprint2) ; /$ call names(all); call print(%t11___1 %T12___1 %T22___1 %T21___1 %VAR1__1 %VAR2__1 %RSQ1__1 %VARH1_1 %VARH2_1 %RSQ2__1 %DFAC__1 %DVAR1_1 %DVAR2_1 %DSTR1_1 %DSTR2_1); b34srun; LAGTEST Use 3-D Graph to display RSS for Lags call lagtest(y,x,ylag,xlag,nsubsets,rss); Purpose: Use 3-D Graph to display RSS for alternative lags of OLS model. y => y-variable x => x-variable ylag => # lags on y xlag => # lags on x nsubsets => # subsets Runs model y=f(y(t-1),...,y(t-ylag),x(t-1),...,x(t-xlag)) Displays 3-D Residual sum of squares surface Example b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(lagtest); call echooff; ylag = 12; xlag = 12; nsubsets = 3; call lagtest(gasout,gasin,ylag, xlag,nsubsets,rss); call checkpoint; b34srun; LAGTEST2 3-D Graph to display RSS for Various MARS Lags call lagtest2(y,x,ylag,xlag,nsubsets,mi,nk,rss); Purpose: Use 3-D Graph to display RSS for alternative lags of MARS Model. y => y-variable x => x-variable ylag => # lags on y xlag => # lags on x nsubsets => # subsets mi => # interactions nk => # knots rss => rss matrix Example b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(lagtest2); call echooff; ylag = 12; xlag = 12; nsubsets = 3; nk=20; mi=2; call lagtest2(gasout,gasin,ylag, xlag,nsubsets,mi,nk,rss); call checkpoint; b34srun; LM - Engle Lagrange Multiplier ARCH test. call lm(x,lm,iorder) Returns Engle LM test for order iorder in lm. Added option to return the probability Example: call lm(x,lm,iorder,prob); LAGMATRIX - Lags variables and builds a matrix. call lagmatrix(x{1 to 6} xx{8} :matrix mm) Builds a matrix mm that aligns x and xx given specified lags. All series must contain the same number of observations initially. This command works for real*8 and real*16 data. :matrix kk Specifies the output matrix. The default name is %matrix. :sample mask - Specifies a mask real*8 variable that if = 0.0 drops that observation. :holdout - Sets # of observations to drop. Note: :sample cannot be used with :holdout. :noint Will not build a constant in position k+1 Variables built: %lmatvar - variable name of col of matrix. %lmatlag - Lag of variable. %xfobs - Observation number of future data %xfuture - Same as %matrix but for out of sample data if that is available %k - Number of cols is %matrix %noblags - Number of observations in %matrix Example b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call lagmatrix(gasin{1 to 6} gasout{4 to 8} :matrix mm); call tabulate(gasin,gasout); call print(mm); call tabulate(%lmatvar,%lmatlag); call print(%xfobs,%xfuture,%k,%noblags); b34srun; Use LAGMATRIX to generate an input matrix for MARS forecast. See MARS_8 job. /$ Out of sample MARS Modeling when lags /$ Illustrates use of lagmatrix b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; * build the matrix for forecasts; * Variables must be what is supplied ; * Note that mars does not have to supply a constant; call lagmatrix(gasin{1 to 6} gasout{1 to 6} :noint ); hfuture=%xfuture; call names(all); call print(%xfuture); call tabulate(%lmatvar,%lmatlag); call mars(gasout gasin{1 to 6} gasout{1 to 6} :print :forecast hfuture); call print(%fore,%foreobs); call mars(gasout gasin{1 to 6} gasout{1 to 6} :nk 80 :mi 3 :print :forecast hfuture); call names(all); call print(%fore,%foreobs); b34srun; LAPACK - Sets Key LAPACK parameters call lapack; Shows current settings call lapack(:reset); Resets lapack. Where -11 le i1 le -1 call lapack(i1,i2); obtains setting in i2. While 1 le i1 le 11 call lapack(i1,i2); Sets key internal LAPACK parameters. 1: the optimal blocksize if this value is 1, an unblocked algorithm will give the best performance. 2: the minimum block size for which the block routine should be used; if the usable block size is less than this value, an unblocked routine should be used. 3: the crossover point (in a block routine, for N less than this value, an unblocked routine should be used) 4: the number of shifts, used in the nonsymmetric eigenvalue routines 5: the minimum column dimension for blocking to be used; rectangular blocks must have dimension at least k by m, where k is given by ILAENV(2,...) and m by ILAENV(5,...) 6: the crossover point for the SVD (when reducing an m by n matrix to bidiagonal form, if max(m,n)/min(m,n) exceeds this value, a QR factorization is used first to reduce the matrix to a triangular form.) 7: the number of processors 8: the crossover point for the multishift QR and QZ methods for nonsymmetric eigenvalue problems. 9: maximum size of the subproblems at the bottom of the computation tree in the divide-and-conquer algorithm. 10: ieee NaN arithmetic can be trusted not to trap (1). 11: infinity arithmetic can be trusted not to trap (1). Note: When the matrix command is called, LAPACK is initialized to the default settings; LOAD - Load a Subroutine from a library. call load(name,'test.mac'); Loads name from library test.mac. call load(pv1); will load member pv1 from the default matrix subroutine library which is matrix2.lib call load(kk :staging); will load routine kk from staging2.mac library. An alternative call that is not portable across platforms is call load(kk 'c:\b34slm\staging2.mac'); The command call load(dsp_acf :wbsuppl); can be used in place of call load(dsp_acf 'c:\b34slm\wbsuppl.mac'); to be portable across computer systems. wbsuppl.mac is a library of routiners developed by William Lattyak as part of the SCA Workbench project that provides a front end to B34S. The calls in wbsuppl can be subject to change. At present there are no "example" files for wbsuppl subroutines. Load can be used to load user programs, functions and subroutines. Use of load saves on parse time and most important does not run into the command size limits that occur is the subroutines are loaded with the command file.. Files matrix2.mac and staging2.mac contains routines supplied with b34s. The help for routines in matrix2.mac is contained in in help files inside the routine and in the b34shelp.dat file. Help for routines in staging2.mac is only in the routine. It is the intention to provide help inside the wbsuppl.mac files. Files matrix.mac and staging.mac contains complete examples on the use of these routines. LOADDATA - Load Data from b34s into MATRIX command. call loaddata; Loads all current b34s variables into the matrix command workspace. If the data is a time series of frequency 1, 4 or 12 then a julian variable bjulian_ is created. For an alternative approach, see related command call get( ) to load one series. LPMAX - Solve Linear Programming maximization problem. call lpmax(c,a,b,q); Allows solution of simple LP maximization problems of the form: primal max c'*x s.t. A*x LE b dual A'W ge C' min B'W c = vector of m prices a = constraint matrix m by n b = input vector of n inputs q = number of equality constraints at end. All 4 arguments must be supplied. If :print is supplied, the solution will be printed. Variables created: %lpmax = objective %primal = x vector of size m %dual = w vector of size n (shadow prices) Lpmax uses the same routine as the LPMAX command and provides an easy way to solve a LP maximization problem. Example: User wants to solve Max x1 + 3*x2 Such that x1 le 1 x2 le 1 x1 + x2 le 1.5 -x1 - x2 le -.5 x1 ge 0 x2 ge 0 b34sexec matrix$ n=0; a=matrix(4,2: 1.0 0. 0. 1. 1. 1. -1. -1.); b=vector( : 1., 1. 1.5, -.5)$ c=vector( : 1., 3.)$ call lpmax(c,a,b,n:print); b34srun$ Answers are: %lpmax = 3.5; %primal=vector(:.5 1.0); %dual= vector(:0. 2. 1. 0.); See lpmin, qpmin and nonlinear programming commands for more complex problems. LPMIN - Solve Linear Programming minimization problem. call lpmin(w,a,bu); call lpmin(w,a,bu :print); Allows solution of more complex LP minimization problems of the form: min c'*x such that bl le A*x le bu Xl le X le Xu where c = Vector of n coefficients of objective function. A = m by n matrix of coefficients of m constraints bu = Vector of m upper constraints bl = Vector of m lower constraints (optional). Needed only if have RANGE. Xl = Lower bound on X. Default = .1E+31 which implies no bound. Note: It is imperative that this be followed very closely. If -1.e+30 is set, this will cause unpredictable problems. Xu = Upper bound on X. Default = -.1E+30 which implies no bound. Note: It is imperative that this be followed very closely. If 1.e+30 is set, this will cause unpredictable problems. If only the first three arguments are passed, then the constraints are assumed to be of the form LE. If a maximum is desired, do not multiply c by -1 use :max switch. Command will do the rest. Optional Arguments: :print => print solution :max => Converts a minimize problem to a max problem by multiplying the dual, C and the objective function by -1.0. If .EQ. constraints are supplied then either: :neq k => first k constraints are .EQ. or :constr => namelist(LE LE EQ) is used. In the namelist keywords are EQ LE GE RANGE If RANGE is passed then, the lower limit needs to passed as :bleft vector Constraints on the X solution can be passed as: :lowerx vector (default = 0.0) :upperx vector (default = 1.d+30) :noflag => Suppresses the error message :ERROR returned by %error / iercd() to a note. Automatic values produced are: %LPMIN = objective function %PRIMAL = Solution for w (Shadow price) %DUAL = Solution for x %error - returns IMSL iercd( ) code 0 => solution OK 1 => Problem unbounded 2 => Max Iterations exceeded 3 => Problem is infeasible 4 => Numerical difficulty 5 => Constraints for problem not consistent Primal bl LE A*X LE bu Min Z = c'*X Dual A'*W ge c' max b'*w In economics w = the production of a good B = production input constraint C = price product is sold for. x = shadow price Example: b34sexec matrix; * Test Problem from IMSL ; * Objective = 3.5 ; * This problem is solved as a max ; * Primal = .5 1. ; * Dual =1. .0; ncon=2; nvar=2; a=matrix(ncon,nvar:1.0 1.0 1.0 1.0); b=vector(ncon:1.5 .1); c=vector(nvar:1.0 3.0); call lpmin(c,a,b :lowerx vector(:0.0 0.0) :upperx vector(:1.0 1.0) :constr namelist(LE GE) :print :max); call names; b34srun; Notes on setups: If the problem contains min z = 20x+4y the appropriate max is max -z = -20x -4y If the problem contains 10x + 20y it can be replaced with -10x - 20y le -10 LMTEST Engle (1982) LM ARCH Test for a vector of lags call lmtest(x,nlag,lag,teststat,prob,iprint); Calculates Engle (1982) Lagrange Multiplier Test; X = real*8 series to test nlag = Number of lags to run test lag = Vector of lags teststat = LM test statistic prob = Parbability of teststat iprint = 0 => do not print 1 => print LMSTEST is a subroutine from matrix2.mac. It must be loaded with call load(lmtest); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call echooff; call load(lmtest); call lmtest(gasout,30,lag,tt,prob,1); b34srun; Test case: lmtest See also: LM LRE - McCullough Log Relative Error call lre(c,ndigits,x,lre,bits); call lre(c,ndigits,x,lre,bits:print); Implements test from McCullough (1999) "Econometric Software Reliability: EViews, Limdep, Shazam and TSP," Journal of Applied Econometrics #14 1999 pp 191-202 Calculates log relative error c = correct answer (input) ndigits = # of digits in correct (input) x = Answer to be tested (input) lre = Log relative error (output) bits = # bits (output) iprint = 1 => Display answer (output) Note: c and x can be 1 dimensional objects. c and x must be real*8 or real*16 objects. ndigits must be integer*4. Example: b34sexec options ginclude('b34sdata.mac') member(wampler); b34srun; b34sexec matrix; call loaddata; n=16; call print(' ':); call print('With QR':); call olsq(y5 x1 x2 x3 x4 x5 :print ); c=array(norows(%coef):)+1.0; call lre(c,n,%coef,lrevalue,bits); d=afam(c)-afam(%coef); call tabulate(c,%coef,lrevalue,bits,d); call print('Results using Cholesky':); call lre(c,n,%coef,lrevalue,bits :print); call olsq(y5 x1 x2 x3 x4 x5 :print :qr); call print('Results using QR':); call lre(c,n,%coef,lrevalue,bits :print); nn=5; x=rn(matrix(nn,nn:)); invx=inv(x); tt=x*invx; get=diag(tt); value=array(norows(x):)+1.0d+00; call print('Inversion test':); call lre(value,16,get,lrevalue,bits :print); dd=det(x); altdd=real(prod(eig(x))); call print('Determinant two Ways - Easy Problem':); call lre(dd,16,altdd,test,bits :print); xtest=mfam(catcol(x1 x2 x3 x4 x5)); xnew=transpose(xtest)*xtest; dd=det(xnew); altdd=real(prod(eig(xnew))); call print('Determinant two Ways - Harder Problem':); call lre(dd,16,altdd,test,bits :print); b34srun; MCLEODLI McLeod-Li (1983) Linearity test (y,ip,maxacf) call mcleodli(y,ip,maxacf,makeplot); Calculates y(t) = f(y(t-1) ...... y(t-ip)) Calculates ACF of %res**2 of equation # 1 using max order maxacf. y = series to study ip = max lag maxacf = max ACF to calculate makeplot = set =0 foir no plot, 1 for a plot Revised Feb 15 2000 to corrrect bug and add graph option MCLEODLI is a subroutine from matrix2.mac. It must be loaded with call load(mcleodi); Example: b34sexec options ginclude('gas.b34'); b34srun; /; /; See McLeod-Li 'Diagnostic Checking of ARMA /; Time Series Models /; Using Square Residual Autocorrelations' /; McLeod, A. & Li, Journal of Time Series /; 4,:3:24 1983 b34sexec matrix; call loaddata; call load(mcleodli); call mcleodli(gasin, 12,12,1); call mcleodli(gasout,12,12,1); call print(%mltest); call tabulate(%res,%ressq2,%acf1); /; Random number tests x=rn(array(10000:)); call mcleodli(x, 12,12,1); call print(%mltest); call mcleodli(x, 100,100,1); call print(%mltest); b34srun; Test case: mcleodi MARQ Estimation of a Nonlinear Model using Derivatives call marq(xvar,yvar,beta,r,f,sse,seb,covb, corrb,lamda,iprint,iout); Estimates a Nonlinear Model using derivatives. MARQ is based on the SAS nonlinear matrix program in technical report a-102 pp.8-6. This program was initially converted for Speakeasy by Houston H. Stokes April 1987. In June 1998 it was ported to the B34S Matrix command. MARQ needs user subroutines resid, deriv xvar = matrix of x variables - input yvar = left hand side variable vector - input beta = vector of initial guess on coefficients - input/output r = residual vector - output f = predicted variable vector - output see = sum of squared residuals (sumsq(r)) - output seb = se's of the beta coefficients - output covb = covariance matrix of beta coefficients - output corrb = correlation matrix of beta coefficients - output lamda = ridge parameter - usually initialized as .1e-8 - input iprint = 0 donot print inerations, = 1 print iterations iout = 0 for no output printing, = 1 output will be given Arguments for user supplied subroutines call resid(beta,f,r,xvar,yvar); call deriv(der,f,beta,xvar); The routine resid calculates f and r given beta, xvar and yvar deriv calculates derivative where der=matrix(norows(xvar),norows(beta):) Test case: NLLS1, NLLS2, NLLS3 MAKEDATA - Place data in a b34s data loading structure. call makedata(x,y,z); Places x, y and z in a b34s dataset with default name _matdata.b34. If the series are not the same length, they are padded with the b34s missing value. Only vectors, arrays and matrices can be passed. If X is a matrix, the b34s names are M1col__1 to m1col_98. Only real*8 or char*8 objects can be saved using this format. Optional arguments include: :file 'file name here' :member mname :add If add is not present, the file is rewound. The filename must fit into 40 characters. Examples: call makedata(x,y,z :file 'c:\test\my.b34'); call makedata(x,z:file 'my.b34' :member r1); Unless MEMBER is in effect, MAKEDATA uses the internal b34s data transport format for added speed. This format does not require a parse step. MAKEGLOBAL - Make a variable global (seen at all levels). call makeglobal(name1,name2); Makes variables name1, name2 available to all user subroutines and functions. Example: b34sexec matrix; n=4 ;x=rn(matrix(n,n:));pdx=transpose(x)*x; call free(n:); call names(info); call makeglobal(pdx); call names(info); r=pdfac(pdx); call print(pdx,r); call makelocal(pdx); call names(info); r=pdfac(pdx); call print(pdx,r); pdx(1,1)=.9999; call print(pdx,'We now free at the local level'); call free(pdx); call names(info); b34srun; MAKELOCAL - Make a variable seen at only local level. call makelocal(name1,name2); Moves name1 and name2 to the local level. If given at command level, will make a former global variable local. Using in this mode, a number of names can be moved at once. Optional usage using :level argument Example: call makelocal(name1 name2 :level level() 100); will move name1 and name2 currently at current level seen to level 100 which is the command level. call makelocal(name1 :level level() 10); will move from current level to level 10 name1). The command call makelocal(name1 :level 10 level()); will get name1 back. Example: b34sexec matrix; n=4 ;x=rn(matrix(n,n:));pdx=transpose(x)*x; call free(n:); call names(info); call makeglobal(pdx); call names(info); r=pdfac(pdx); call print(pdx,r); call makelocal(pdx); call names(info); r=pdfac(pdx); call print(pdx,r); pdx(1,1)=.9999; call print(pdx,'We now free at the local level'); call free(pdx); call names(info); b34srun; Example # 2 moving to the command level from a subroutine b34sexec matrix; subroutine test(oldlev); getit=rn(matrix(3,3:)); call print(getit); call print('In Test':); call names(info); call makelocal(getit :level level(), oldlev); return; end; call test(level()); call names(info); call print(getit); b34srun; MAKEMAD - Make SCA MAD portable file. call makemad(x,y,z); Places x, y and z in a SCA MAD DSN with default name _SCA.mad. If the series are not the same length, they are padded with a missing value. Only vectors, arrays and matrices can be passed. If X is a matrix, the sca names are M1col_01. Only real*8 objects can be saved. The default member name is b34sdat. Optional arguments include: :file 'file name here' :member mname :add If add is not present, the file is rewound. The filename must fit into 40 characters. Examples: call makemad(x,y,z :file 'c:\test\my.mad'); call makemad(x,z :file 'my.mad':member r1); In SCA the commands needed to load the data are: call procedure is b34sdata. file is 'my.mad' MAKEMATLAB - Place data in a file to be loaded into Matlab. call makematlab(x,y:file 'junk'); Creates a special file that the b34s supplied matlab m file getb34s.m can read. Files created with makematlab can be read back into the B34S MATRIX command with the b34s MATRIX command getmatlab. If :file is not present, the default name is _b34smat.dat call getmatlab(x :file 'junk'); will read the file back into B34S. On the MATLAB side the command is x=getb34s('c:\junk\junk'); See also the makeb34s command on the Matlab side. Note: getmatlab & makematlab pass series as a matrix. If more accuracy is desired the matrix language implementations gmatlab and mmatlab, which are shown in the WRITE2 example, can be modified. If accuracy is increased, the matlab m files getb34s.m and makeb34s.m will have to be changed. For a related command see getmatlab. MAKERATS - Make RATS portable file. call makerats(x,y :file ' '); Makes Rats portable file for series x and y. Series x and y must be same length and must be real*8. If the option :file is not present the default name myrun.por is used. Optional keywords: :file ' ' - Adds a file name :add - Adds to series on file :eformat - Writes series in extended format of g25.16. Default format is g18.10. :timeseries start freq - Saves as a time series with start as the julian date & freq as the frequency. Example: call makerats(x,y :file 'test.por' :timeseries juldaydmy(1,02,1945) 12.); For a related command see getrats. MAKESCA - Make SCA FSV portable file. call makesca(x,y,z); Places x, y and z in a SCA FSAVE DSN with default name _SCA.fsv. If the series are not the same length, they are padded with the b34s missing value. Only vectors, arrays and matrices can be passed. If X is a matrix, the sca names are M1col_01. Only real*8 objects can be saved. The default member name is b34sdat. Optional arguments include: :file 'file name here' :member mname :add If add is not present, the file is rewound. The filename must fit into 40 characters. Examples: call makesca(x,y,z :file 'c:\test\my.fsv'); call makesca(x,z :file 'my.fsv' :member r1); In SCA the commands needed to load the data are: finput file is 'my.fsv'. @ dataset is b34sdat. MANUAL - Place MATRIX command in manual mode. call manual; Allows user to enter commands at the terminal. This command works only with the Display Manager. call run; - Gets out of Manual Mode. Notes: The manual mode restricts the user to entering ONLY one sentence at a time. In manual mode the log and output file can be viewed and the system can be reset if needed. The user can get into and out of the manual mode. Commands such as DO and IF( ) cannot be given while in manual mode unless file input mode is being used. Usually the user uses OUTSTRING, OUTINTEGER and OUTDOUBLE to monitor calculation progress. MESSAGE can control the job. SCREENOUTON and SCREENOUTOFF allow progress to be displayed on the screen. SETWINDOW can control location of where OUTSTRING, OUTINTEGER and OUTDOUBLE write. SCREENOUTON slows execution of the program if there is substantial output. If the matrix job is small, the output will flash by. The use of CALL STOP(pause); can pause the job. Enter will restart the job. The command call break; or the variant call break('we are at point A now'); can be used to stop execution if any key has been hit. The program can be made to stop. call manual; is not enabled if a subroutine, program or function is being run under another command such as nllsq, nl2sol or cmaxf2 etc. MARS - Multivariate Autoregressive Spline Models call mars(y x1 x2); Controls estimation of Multivariate Adaptive Regression Splines This command is the matrix command equivalent of the MARS precedure. Model save files etc from one command can be read by the other command. The left hand variable can be continuous (default) or 0-1 (:logit option). The call mars command uses the original 1991 Friedman mars program. It has been withdrawn from commercial use. In 2005 the Hastie-Tibshirani Code, that implemented the mars approach to modeling that was initially implemented in S in 1998 and later ported to R and made GPL compliant, has been implemented as the MARSPLINE command under the B34S matrix command. These routines were developed without the Friedman MARS routines and contain a state-of-art implementation. Basic references are: - Friedman, Jerome, "Multivariate Adaptive Regression Splines," The Annals of Statistics, Vol. 19, No. 1, 1991, pp. 1-141 - Stokes, Houston H. "Specifying and Diagnostically Testing Econometric Models," second edition 1997 Quorum Books. Chapter 14 - Stokes, Houston H and Hugh Neuburger, "New Methods in Financial Modeling," 1998 Quorum Books. Chapter 4. - Stokes, Houston H. "MARS Modeling in SAS® Software Using the MACRO Interface to B34S®," Proceedings of the Twenty-First Annual SAS® Users Group International Conference, 1996 pp. 1145-1149. Lags can be entered as x{1} or x{1 to 20} Basic reference: - Friedman, Jerome, "Multivariate Adaptive Regression Splines," The Annals of Statistics, Vol. 19, No. 1, 1991, pp. 1-141 Notes: The MARS command allows the user to optionally save or reread an estimated model. The advantage of saving models is that forecasts can be calculated without having to estimate the model again if in subsequent steps the getmodel option is used. In order to preserve variable storage, the order and number of the variables in the forecast input matrix MUST be the same as the initially saved model for a saved model to be used. Options for MARS sentence. :logit Sets left hand side variable as catagorical. :print Print :graph Generate %crv and %srf :sample mask - Specifies a mask real*8 variable that if = 0.0 drops that observation. Unless the mask is the number of obs after any lags, an error message will be generated. The sample variable must be used with great caution when there are lags. A much better choice is the :holdout option. :holdout n - Sets number of observations to hold out Note: :sample cannot be used with :holdout. :mi i1 Sets maximum number of variables per basis function. MI=1 => additive model. MI > 1 => up to MI-variable interactions allowed. Default = 1 :nk i2 Sets maximum number of basis functions. Default = 5. :ngc i3 Number of raser points for computing MARS curve estimates. Default = 100. :nc i4 Number of curve matrices. Default=nk. Max value that can be specified = nk. :ngs i5 Number of raser points for MARS surface plot. Default=40. :ns i6 Number of surface plots. Default = nk. Max value that can be specified is nk. :m k1 k1 = LINEAR => a piecewise-linear model is estimated. k1 = CUBIC => a piecewise-cubic model is estimated. k1 = SEARCH => the program will estimate the residual sum of squares using both LINEAR and CUBIC options and select the one having the smaller sum of squares. Default = SEARCH. Note: the cubic approximation contains continuous derivatives. See Friedman (1991) section 3.7 page 23 for further discussion. :icx k2 k2 = ENTIRE => plots of surface estimates are done over the entire range of the argument. k2 = INSIDE => plots of surface estimates are done only inside the convex hull of the bivariate point set. Default setting is ENTIRE. :ms i7 Sets minimum span between each knot. i7 = 0 => the number of observations and the number of right hand side variables determine the minimum span. Default is i7 = 0. The maximum value for i7 is the number of observations in the dataset. :ic k3 k3 = NORESTRICT => there are no restrictions on interactions except for those set with MI above. k3 = RESTRICT => there are no interactions allowed between ordinal and catagorical variables. k3 = MAXORI2 => the maximum number of ordinal variable interactions is 2. Default setting is NORESTRICT. :df r1 Sets the number of degress of freedom charged for unrestricted knot optimization. Default=3. :fv r2 Sets the incrumental penalty for increasing the number of variables in the model. The default setting is r2=0.0 or no penalty. If r2 = .05, there is a moderate penalty. If r2 = .1 there is a heavy penalty. The FV parameter is useful in limiting the size of highly collinear models and may produce equivalent models with fewer predictor variables. :is i8 Sets the seed for internal random number generator used to group observation subsets for validation. This is used if IX is set NE 0 below. The default is 987654321. :ix i9 The value of i9 controls the sample reuse technique to automatically determine DF from the data. If i9=0, the value of DF is set by the user. This is the default setting. If i9 > 0, the ix - fold cross validation procedure is used. If i9 < 0, a single validation pass is used that uses every -i9th (randomly) selected observation as an independent test set. Note: If ix > 0, then computation time increases roughly by a factor of i9 over the (default) case where i9 = 0. If ix < 0, then computation time increases approximately by a factor of two. :nmcv i10 Sets maximum number of distinct categories for any catagorical variable. This parameter must be set if there are categorical variables on the right hand side of the model. LX option must also be used. Note: If this parameter is not set correctly, major array allocation problems will occure. This parameter can be set greater than needed. :ntcv i11 Sets total number of distinct values over all categorical varables. This parameter MUST be set if their are any categorical variables on the right hand side of the model. If this parameter is not set correctly, major array allocation problems will occure. This parameter can be set greater than needed. Notes: MARS curves display purely additive contributions to the model. MARS surfaces display purely bivariate ordinal contributions to the model. In some situations this will not be displayed. The MARS curve plot plots equation 25 in Friedman (1991) while the MARS surface plots equation 27. :logit Sets left hand side variable as catagorical. :weight Uses the last series on the model sentence as a weight variable vector. :savemodel Saves the estimated model on unit MODELUNIT. :murewind Rewinds MODELUNIT before the model is saved. :getmodel Rereads a saved model off unit MODELUNIT. :modelunit=i14 Sets save/get model unit. Default = 60. If the command call open(60,'somename'); is not found, then the file name used will be fort.60 on Windows. Warning: Be sure and use command :murewind to insure old models are cleaned. :smodeln=k4 Sets the model name. A max of 10 characters can be supplied. Default = 'MARSMODEL'. :mcomments array Allows user to set model comments when the model is saved. A maximum of 10, lines of a max of 80 characters is allowed. The command call char1(c,'Line one' 'line two' 'line three'); can be used to make the array. :rabasis Lists which basis functions were used in each residual. :fabasis Lists which basis function were used for each forecast. :rabasist List summary table for RABASIS. Variables listed include: OBSNUM - Observation Number. FORECAST - Forecast value. ACTUALV - Actual value. ERROR - Forecast - actual. NBASIS - Number of Basis in forecast. ABASIS - Average amount of basis value. RBASIS - DABS(ABASIS(i)) / MAX(DABS(ABASIS)) SDBASIS - Standard deviation of basis amount. SDRBASIS - Relative standard deviation of basis. TOTALE - ABASIS*NBASIS. :rabasiss Makes a SCA FSAVE file on unit 44 with name RBASISTS containing information from RABASIST. In addition BASIS01 .... BASISkk are saved. :fabasist List summary table for RABASIS. Variables listed include OBSNUM - Observation Number. FORECAST - Forecast value. NBASIS - Number of Basis in forecast. ABASIS - Average amount of basis value. RBASIS - DABS(ABASIS(i)) / MAX(DABS(ABASIS)) SDBASIS - Standard deviation of basis amount. SDRBASIS - Standard deviation of relative basis. TOTALE - ABASIS*NBASIS. :fabasiss Makes a SCA FSAVE file on unit 44 with name FBASISTS containing information from FABASIST. In addition BASIS01 .... BASISkk are saved. Note: The option RABASIS (FAFABIS) makes the most output (NBASIS*NOOB) lines. RABASIST (FABASIST) makes NOOB lines of output. RABASISS (FABASISS) gives only a summary table and saves the rest of the info on unit 44. :isetfm=i12 Sets FM array. Usually the default setting works. If the default does not work the user will get a message in the output and the log. If this occures, it is important that ISETFM be specified. :isetim=i13 Sets IM array. Usually the default setting works. If the default does not work the user will get a message in the output and the log. If this occures, it is important that ISETIM be specified. :lx c1array The LX parameter allows the user to control how the predictor variables enter the model. If there are NP predictor variables on the right of the model, there can be at most NP rows in the LX c1array. Each row has three parameters: varname - the variable name lag - the variable lag key - operation code The LX parameter MUST be supplied if their are categorical variables on the right hand side of the model. The LX c1array can be supplied as: call character(lx,'var1 0 catadd' 'var3 1 oradd'); Here var1 lag=0 is a categorical variable that can enter only additively. The var3 variable lag=1 is ordinal and can enter only additively. Key can be set as: EXCLUDE to exclude variable from model. ORNORES for an ordinal variable with no restriction. ORADD for an ordinal variable that can enter only additively. ORLINEAR for an ordinal variable that can enter only linearly. CATNORES for a categorical variable with no restriction. CATADD for a categorical variable that can only enter additively. Warning: :nmcv and :ntcv MUST be set if :lx is set. :ijk c1array The IJK parameter alows the user to control interactions between variables. There can be any number of IJK array rows. The form of each row is: varname1 - the variable name 1 lagvar1 - the variable 1 lag varname2 - the variable name 2 lagvar2 - the variable 3 lag key - operation code P/A p = prohibit a = allow (default) call character(ijk,'x 0 y 1 p' 'x 2 y 2 p'); The example prohibits interactions between x lag 0 and y lag 1 x lag 2 and y lag 2 :forecast xmatrix => Allows users to supply observations of the right hand side variables outside the sample period so that forecasts can be calculated. The same number of observations must be supplied for all right hand series. Due to the way that splines are calculated, it is imperative that any values of the x variables NOT lie outside the ranges of the original data. The forecast sentence produces the %fore variable and the %foreobs variable. Variables Created %YVAR - Name of left hand variables. %NAMES - Names of exogenous variables. %TYPEVAR - = 0 for continuous, NE 0 for categorical var. %STATES - vector of states. Only defined if isum %typevar ne 0. %LAG - Lags of independent variables. %COEF - Final Model Coefficients. Constant in location one. Size nk+1 %MINVAR - Minimum of input variables. %MAXVAR - Maximum of input variables. %TYPEK - =0 if coef * max(var -knot,0) =1 if coef * max(knot-var,0) %VARINK - Variable # of that knot %CKNOT - Character*1 array nk,28 holding positional indicator of catagorical variable right hand sides. Set to 0000000 is not used. %KNOT - Knot %PARENT - Index number of parent in interaction otherwise 0 %MARS_VR - Sets = 1. If the MARS command is used, This is set =0. This allows processing of the more general GLP MARS functional form. %K - # on right %NOB - # of observations in model %RSS - Residual sum of sq. %SUMRE - Sum absolute residuals %REMAX - Maximum absolute residual %RESVAR - Residual Var. %YHAT - Estimated Y %Y - Y variable. Same # obs as YHAT %RES - Residual %VARRIMP - Relative variable importance. %CRV - a ngc by 2 by nc 1D array containing MARS curve estimates. The below listed code will unpack bigm=matrix(%ngc,2*%nc: %crv); m1=submatrix(bigm,1,%ngc, 1,2); m2=submatrix(bigm,1,%ngc, 3,4); Note: sx=submatrix(x,1,3,2,5); forms a new matrix sx containing rows 1 to 3 cols 2 to 5 %ms - :ms Span setting %mi - :mi setting %nk - :nk setting %ngc - Dimension 1 of curve matrix %crv %nc - Dimension 3 of curve matrix %srf - a %ngs by %ngs by %ns 1D array containing MARS surface values. The below listed code will unpack bigm=matrix(%ngs,%ngs*%ns:%srf); m1=submatrix(bigm,1,%ngs,1,%ngs); m2=submatrix(bigm,1,%ngs,%ngs+1,%ngs*2); %ngs - Dimension of surface matrix %ns - Max surface plot dimension %fore - Forecast %foreobs - Observations of the forecast. If there are lags, must have to increase %foreobs by maxlag. This assumption may change is later releases. For now it is the obs number. Simple Example: b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call load(dispmars :staging); call olsq(gasout gasin{0 to 6} gasout{1 to 6} :print); call graph(%res :heading 'Residual from OLS 1-6'); call graph(%y %yhat:heading 'Fit from OLS 1-6'); call mars(gasout gasin{0 to 6} gasout{1 to 6} :print); call dispmars; call names(all); call graph(%res :heading 'Residual from Mars 1-6'); call graph(%y %yhat:heading 'Fit from Mars 1-6'); b34srun; b34sexec options ginclude('b34sdata.mac') member(friedman); b34srun; b34sexec matrix; call load(dispmars :staging); call loaddata; call olsq(y x1 x2 x3 x4 x5 :print); call graph(%res :heading 'Residual from ols '); call graph(%y %yhat:heading 'Fit from ols '); olsres=%res; call mars(y x1 x2 x3 x4 x5 :print); call dispmars; call graph(%res :heading 'Residual from Mars '); call graph(%y %yhat:heading 'Fit from Mars '); marsres=%res; call graph(olsres marsres :heading 'OLS vs MARS'); b34srun; Forecasting /$ Job shows an estimate and a forecast b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; * We forecast the last 10 insample data points ; npred=10; xin=matrix(npred,2:); nn=norows(gasout)-npred; do i=1,npred; xin(i,1)=gasin(nn+i); xin(i,2)=1.0; enddo; call print(xin ); call names(all); call mars(gasout gasin :print :forecast xin ); call tabulate(%y %yhat %res gasout gasin); call tabulate(%fore %foreobs); b34srun; Job shows an estimate and a model save. b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call load(dispmars :staging); call open(60,'junk.mod'); call mars(gasout gasin :print :savemodel :murewind); call dispmars; b34srun; See if can get model. Since getmodel we will not estimate. b34sexec matrix; call loaddata; * We forecast the last 10 in sample data points ; npred=10; xin=matrix(npred,2:); nn=norows(gasout)-npred; do i=1,npred; xin(i,1)=gasin(nn+i); xin(i,2)=1.0; enddo; call print(xin ); call names(all); call mars(gasout gasin :print :getmodel :forecast xin ); call tabulate(%fore %foreobs); b34srun; Plots of Curves and Surfaces b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call mars(gasout gasin{1 to 6} gasout{1 to 6} :ngc 100 :ngs 200 :graph :mi 2 :nk 15 :print); call print('%ns ',%ns); call print('%nc ',%nc); call tabulate(%y %yhat %res); call names(all); /$ This logic in MARSPLOT program in /$ matrix2.mac i=integers(1,%ngc*2*%nc); bigm=matrix(%ngc,2*%nc: %crv(i)); ii_=0; do ii=1,%nc,2; ii_=ii_+1; m1=submatrix(bigm,1,%ngc,ii,ii+1); call char1(cc,'Curve Plot '); call inttostr(ii_,cc2,'(i4)'); ii2=integers(4); ii3=ii2+11; cc(ii3)=cc2(ii2); call graph(m1 :plottype meshstepc /$ :plottype meshc :grid :d3axis :d3border :heading cc); enddo; i=integers(1,%ngs*%ngs*%ns); bigm=matrix(%ngs,%ngs*%ns:%srf(i)); do ii=1,%ns; icol1=1+((ii-1)*%ngs); icol2=icol1+%ngs-1; m1=submatrix(bigm,1,%ngs,icol1,icol2); call char1(cc,'Surface Plot '); call inttostr(ii,cc2,'(i4)'); ii2=integers(4); ii3=ii2+13; cc(ii3)=cc2(ii2); call graph(m1 :plottype meshc /$ :plottype meshstepc :grid :d3axis :d3border :plottype meshc :heading cc); enddo; b34srun; Note: These jobs are MARS, MARS_2 MARS_3 & MATS_4 MARSPLINE - Updated MARS Command using Hastie-Tibshirani code call marspline(y x1 x2); Controls estimation of Multivariate Adaptive Regression Splines following methods suggested by J. Friedman (1991) but using GPL code developed by Hastie-Tibshirani. If the MARS command is licensed, marspline can be compared with mars output. The MARSPLINE command uses a library of subroutines developed by T. J. Hastie and R. J. Tibshirani for implementation in S in 1998. This code was later moved to R and the source released under the GPL 2 license. The developer of B34S respects the Friedman trademark MARS(tm) but is greatful to Hastie-Tibshirani for making their code available. MARS, MARSPLINE, GAMFIT and ACEFIT are all related models that attempt to model nonlinear data with various spline procedures. The functional form allowed for MARSPLINE is more general than that allowed in the original Friedman code. Due to this added capability more space may be needed to run this command. R code maintainer Kurt Hornik <Kurt.Hornik@wu-wien.ac.at> Lags can be entered as x{1} or x{1 to 20} Basic references: - Friedman, Jerome, "Multivariate Adaptive Regression Splines," The Annals of Statistics, Vol. 19, No. 1, 1991, pp. 1-141 - Hastie-Tibshirani "Generalized Additive Models," Chapman & Hall 1990. - Stokes, Houston H. "Specifying and Diagnostically Testing Econometric Models," second edition 1997 Quorum Books. Chapter 14 - Stokes, Houston H and Hugh Neuburger, "New Methods in Financial Modeling," 1998 Quorum Books. Chapter 4. Notes: The MARSPLINE command saves the users model in matrix command variables. The advantage of this is that forecasts can be calculated without having to estimate the model again. In order to preserve variable storage, the order and number of the variables in the forecast input matrix MUST be the same as the initial model for a saved model to be used. Options for MARSPLINE sentence. :logit Sets left hand side variable (0-1) as logit. y=1/(1+exp(-xb)). Not ready. Should not be called. :probit Sets left hand variable (0-1) as probit. y= cumulative normal probability. Not Ready. Should not be called. :print Print header and minimal output. If :print is set it assumes :dispmars. :mathform If set displays model in a form that does not show adjacent operators. This from can be placed easily in a user subroutine or program. :dispmars Displays prior model or current model :trace Trace solution. This is usually not needed. :nofwdstep Turns off forward step. :noprune Turns off model prune step. This is not recommended in most cases. :thresh r8 Sets threshold for Forward selection. Default= .0001, The smaller the number the more complex the model. :ranktol r8 Sets threshold for prune of a multicolinear basis. Default .1d-13. If model seems overly complex, lower this value. :tolbx Variable addition threshhold. Default .1d-8. :stopfac Default = 10. Usually this should not be changed. :savebx Saves matrix of basic functions with name %bx. See documentation for %bx on how to use this matrix; :prevcrit Default = 10**9. :sample mask - Specifies a mask real*8 variable that if = 0.0 drops that observation. Unless the mask is the number of obs after any lags, an error message will be generated. The sample variable must be used with great caution when there are lags. A much better choice is the :holdout option. :holdout n - Sets number of observations to hold out :getmodel 'filename' Saves model discription variables %besin %flag %dir %cut %yvar %names %typevar %lag %coef %minvar %maxvar %k %nob %rss %sumre %remax %resvar %mars_vr %se If getmodel is found, no estimation is performed. :savemodel 'filename' The default name is 'marss.psv' Note: :sample cannot be used with :holdout. :mi i1 Sets maximum number of variables per basis function. Max = 3. MI=1 => additive model. MI > 1 => up to MI-variable interactions allowed. Default = 1 :nk i2 Sets maximum number of basis functions. Default = 5. :df r1 Sets the number of degress of freedom charged for unrestricted knot optimization. Default=2. :weight Uses the last series on the model sentence as a weight variable vector. :forecast xmatrix => Allows users to supply observations of the right hand side variables outside the sample period so that forecasts can be calculated. The same number of observations must be supplied for all right hand series. Due to the way that splines are calculated, it is imperative that any values of the x variables NOT lie outside the ranges of the original data. The user must have save the model workspace if :forecast is the only option. The forecast sentence produces the %fore variable and the %foreobs variable. Variables Created %YVAR - Name of left hand variables. %NAMES - Names of exogenous variables. %TYPEVAR - = 0 for continuous, NE 0 for categorical var. %LAG - Lags of independent variables. %COEF - Final Model Coefficients. Constant in location one. %SE - Estimate of the SE assuming knot matrix is given. Users wanting alternative SE's can either recalculate from the %BX matrix or from %VAR. %MINVAR - Minimum of input variables. %MAXVAR - Maximum of input variables. %FLAG - Flag(i,j) Indicates the that for coef i a knot was found withb the jth variable %DIR - dir(i,j) = 1 indicates a max(var-knot,0) dir(i,j) =-1 indicates a max(knot-var,0) for ith coef and jth var. %BESTIN - If bestin(i) ne 0 => ith coef is in model %CUT - cut(i,j) shows ith coef knot for jth variable %BX - n by nk matrix of knot products. First pick off basis vectors in the final model using %bestin array. Then estimated coefficients are obtainable from: s_bestin=sum(%bestin); xx=matrix(norows(%bx),s_bestin:); ihave=0; do i=1,norows(%bestin); if(%bestin(i).eq.1)then; ihave=ihave+1; xx(,ihave)=%bx(,i); endif; enddo; call olsq(vfam(%y) xx :noint : print); Option :givebx will save :bx %VAR - Covariance of parameters after QR step. Square root of the diagonal elements * (norows(%y)-norows(%coef)) are SE. %FWDINFO - (nfk,3) array. (i,1)=gcv, (i,2)=rss, (i,3)=cut Analysis of this array give insight into the importance of a certain knot. %IWDINFO - (nfk,3) array. (i,1)=i cut, (i,2)=j cut, (i,3)=parent index Note that %fw_info and %iw_info save :trace info and are not usually used. nfk = number of final knots. %GVCNULL - GCV with only constant in model. %RSSNULL - RSS with only constant in model. %NK - :nk setting on input. %MI - :mi setting on input. %DF - :df setting on input %MARS_VR - Sets = 1. If the MARS command is used, This is set =0. This allows processing of the more general GLP MARS functional form. %K - # on right %NOB - # of observations in model %RSS - Residual sum of sq. %SUMRE - Sum absolute residuals %REMAX - Maximum absolute residual %RESVAR - Residual Var. %YHAT - Estimated Y %Y - Y variable. Same # obs as YHAT %RES - Residual %VARRIMP - Relative variable importance. Not implemented yet. %FORE - Forecast %FOREOBS - Observations of the forecast. If there are lags, must have to increase %foreobs by maxlag. This assumption may change is later releases. For now it is the obs number. %MODTYPE - =0 ordinal, =1 logit, =2 probit. Only ordinal has been implemented. Simple Example: b34sexec options ginclude('b34sdata.mac') member(trees); b34srun; b34sexec matrix; call loaddata; call load(dispmars :staging); call load(marsinfo :staging); call echooff; call olsq(volume girth height :print); call mars(volume girth height :nk 20 :df 2. :mi 3 :print); call dispmars; call tabulate(%res,%y,%yhat); call marspline(volume girth height :nk 21 :df 2. :mi 1 :print); call marsinfo; call marspline(volume girth height :nk 21 :df 2. :mi 3 :print); call marsinfo; call print(%coef); call tabulate(%res,%Y,%yhat); b34srun; Example of a display call marspline(:getmodel :dispmars); Example of forecasting when the model had been saved call marspline(:getmodel 'mymod.psv' :forecast x); Forecasting: %b34slet noob=300$ %b34slet errorm=2; b34sexec data noob=%b34seval(&noob)$ build y1 y2 x z e1 e2$ gen e1=rn()$ gen e2=rn()$ gen x =10*rn()$ gen z =10*rn()$ gen y1 = 10 + 5*x + 5*z + %b34seval(&errorm)*e1 $ gen if(x .gt. 0) y2= 10 + 5*x + 5*z + %b34seval(&errorm)*e2$ gen if(x .le. 0) y2= 10 -10*x + 5*z + %b34seval(&errorm)*e2$ b34srun$ b34sexec matrix; call loaddata; call echooff; call load(dispmars :staging); call olsq(y1 x z :print); %x=catcol(x z); /; Validate forecasting gets yhat call marspline(y1 x z :print :forecast %x); call tabulate(%foreobs %fore %yhat %res %y); call marspline(y2 x z :print :forecast %x); call tabulate(%foreobs %fore %yhat %res %y); b34srun; MAXF1 - Maximize a function using IMSL ZXMIN. call maxf1(func :name test :parms x1 x2 :ivalue rvec); The MAXF1 command provides a quick way to maximize a function using the Quasi-Newton Method. If the functional value is multiplied by -1.0, a minimum can be obtained. The IMSL routine ZXMIN is based on the Harwell routine VA10A. (See Fletcher, R. "Fortran subroutines for minimization by Quasi-Newton methods", Report R7125 AERW, Harwell England, June 1972.) The sample problem is the famous Rosenbrock 'Banana' problem. In addition to being a test case in IMSL, it has been used as a test case for the MATLAB FMINS command. A simple setup for a maximum / minimum is: call maxf1(func :name test :parms x1 x2 :ivalue rvec); where func is a scalar computed with the user MATRIX program test and x1 and x2 are parameters. Initial guess values for x1 and x2 are in the real vector rvec. For example the minimum of FUNC = 100.*(x2-x1*x1)**2. + (1.-x1)**2. can be found with the commands: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; rvec=array(2:-1.2 1.0); call maxf1(func :name test :parms x1 x2 :ivalue rvec :print); b34srun; The function name (func), the program name (test), the initial values vector (rvec) and the parms are required to be passed. If there is a concern that the function has more than one minimum, the NLSTART command can be used to investigate a number of starting values. The calls to outstring, outdouble and outinteger can be used to monitor the solution. The below listed code can be used to see if the function minimum changes given different starting values: /$ MAXF1 is used to minimize a function /$ Answers should be x1=.9999 and x2=.9999 b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); call outstring(3,3,'Function to be minimized'); call outdouble(36,3,func); call outstring(3,4,'Test case '); call outinteger(36,4,i); return; end; call print(test); n=2; k=10; a=array(n: -3., -3.); b=array(n: 3., 3.); result=array(k:); ak =array(k:); bk =array(k:); call nlstart(a,b,k,s); call print(s); call echooff; do i=1,k; rvec=s(,i); ak(i)=rvec(1); bk(i)=rvec(2); call maxf1(func :name test :parms x1 x2 :ivalue rvec :print); result(i)=%func; enddo; call tabulate(result,ak,bk); call graph(result); b34srun; Required func - Function name :name pgmname - User program to determine func :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. Optional keywords for MAXF1 are: :print - Print results :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :nsig i - Sets number of digits of accuracy for convergence. Default = 4. :maxfun int - Maximum number of function evaluations. Default = 400 :hessian key - where key is IDENT, USER, DIAG, EST. IDENT => Initialize hessian to identity matrix. USER => User supplied Hessian. DIAG => MAXF1 computes diagonal. EST => MAXF1 estimates the Hessian. :hessianm H - Specifies the Hessian in H. H must be positive def. Hessian must be supplied if hessian keyword USER is supplied. MAXF1 automatically creates the following variables %coef - a vector containing the parameters. %nparm - a vector with coefficient names. %se - a vector containing parameter standard errors. %t - a vector containing parameter t scores. %hessian - hessian matrix. %grad - estimate of gradiant at final parameter values. %func - final value of function. MAXF2 - Maximize a function using IMSL DUMINF/DUMING. call maxf2(func :name test :parms x1 x2 :ivalue rvec :print); The MAXF2 function provides a way to maximize a function using the Quasi-Newton Method. If the functional value is multiplied by -1.0, a minimum can be obtained. A simple setup for a maximum / minimum is: call maxf2(func :name test :parms x1 x2 :ivalue rvec :print); if the gradiant is known the call is call maxf2(func grad :name test test2 :parms x1 x2 :ivalue rvec :print); where func is a scalar computed with the user MATRIX program test and x1 and x2 are parameters. Initial guess values for x1 and x2 are in the real vector rvec. For example the minimum of FUNC = 100.*(x2-x1*x1)**2. + (1.-x1)**2. can be found with the commands: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; rvec=array(2:-1.2 1.0); call maxf2(func :name test :parms x1 x2 :ivalue rvec :print); b34srun; The function name (func), the program name (test) and the parms are required to be passed. If there is a concern that the function has more than one minimum, the NLSTART command can be used to investigate a number of starting values. For example: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; n=2; k=10; a=array(n:-2. 2.); b=array(n:.5 2.); call nlstart(a,b,k,s); do i=1,k rvec=s(,i); call maxf2(func :name test :parms x1 x2 :ivalue rvec :print); enddo; b34srun; Note that in the default mode, the commands for maxf1 and maxf2 are the same. The maxf2 command can optionally pass a subroutine to calculate the gradiant after the function and a name of the gradiant after the :name key word. The set up for this mode of operation is: /$ MAXF2 is used to minimize a function /$ Derivatives are supplied in program der /$ Answers should be x1=.9999 and x2=.9999 b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); call outstring(3,3,'Function to be minimized'); call outdouble(36,3,func); return; end; program der; g(1)= -400.0*(x2*x1))*x1 - 2.*(1.0-x1)**2.; g(2)= 200.0*(x2-x1*x1); return; end; call print(test); rvec=array(2:-1.2 1.0); call echooff; call maxf2(func g :name test der :parms x1 x2 :ivalue rvec :print); b34srun; Required func - Function name :name pgmname - User program to determine func and optionally the gradiant program name. :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. Optional keywords for MAXF2 are gradname - The gradiant name is placed after func if the gradiant is supplied. The gradiant program is placed after the function program after name :print - Print results. :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :xscale vec - Vector of n elements to scale x. Default = 1.0 :fscale real - Functional scaling. Default = 1.0. :ngood int - Sets number of good digits in the function. :maxit int - Maximum number of iterations. Default = 100. :maxfun int - Maximum number of function evaluations. Default = 400 :maxg int - Maximum number of gradiant evaluations. Default = 400 :gradtol real - Scaled gradiant tolerance. Default = eps**(1/3). :steptol real - Scaled step tolerance. Default = eps**(2/3). :rftol real - Relative functional tolerance. Default = max(1.0d-20,eps**(2/3)). :aftol real - Absolute functional tolerance. Default = max(1.0d-20,eps**(2/3)). :fctol real - False convergence tolerance. Default = 100.*eps. :maxsteps real - Maximum allowable step size. Default = (1000*max(tol1,tol2)) where tol1= sqrt(sum of (xscale(i)*ivalue(i))**2 for i=1,n tol2 = 2-norm of XSCALE :ihessian key - where key is 0 to initialize hessian to identity matrix. This is default. If key NE 0, hessian initialized to max(|f(XGUESS|,FSCALE)*XSCALE(i) Warning: If you are not sure how to change a parameter, use the default. Note: MAXF2 automatically creates the following variables %coef - a vector containing the parameters. %nparm - a vector with coefficient names %se - a vector containing parameter standard errors %t - a vector containing parameter t scores %hessian - hessian matrix %grad - estimate of gradiant at final parameter values %func - final value of function Notes from IMSL: MAXF2 is based on the a safeguarded quadratic interpolation method to find a minimum point of a univariate function. Both the code and the underlying algorithm are based on the routine ZXLSF written by M.J.D. Powell at the University of Cambridge. The hessian is calculated using the BFGS approximation. Example: b34sexec matrix; * MAXF2 is used to minimize a function ; * Answers should be x1=.5 and x2=1.0 ; * Problem from Matlib Optimization toolbox page 1-6 ; * Problem used as a test case in MATLAB fmins function ; program test; func=-1.0*dexp(x1)*((4.*x1*x1)+(2.*x2*x2)+ (4.*x1*x2)+(2.*x2)+1.0); call outstring(3,3,'Function'); call outdouble(36,3,func); call outdouble(4, 4, x1); call outdouble(36,4, x2); return; end; call print(test); rvec=array(2:-1., 1.0); call echooff; call maxf2(func :name test :parms x1 x2 :ivalue rvec :print); b34srun; MAXF3 - Maximize a function using simplex method (DU2POL). call maxf3(func :name test :parms x1 x2 :ivalue rvec :print); The MAXF3 function provides a way to maximize a function using function comparison. No smoothness is assumed. While this approach is not efficient for smooth problems, it is quite useful when the function is not smooth. The procedure assumes n+1 points x(1),...,x(n+1). At each iteration a new point is generated to replace the worst point x(j) which has the smallest functional value among the n+1 points. The new point is x(k)=c+alpha*(c-x(j)) where c = (1/n) sum x(i) for i ne j. Alpha is the reflection coefficient. For further detail see IMSL documentation. If the functional value is multiplied by -1.0, a minimum can be obtained. MAXF3 does produce SE's but is useful in obtaining starting values. A simple setup for a maximum / minimum is: call maxf3(func :name test :parms x1 x2 :ivalue rvec :print); where func is a scalar computed with the user MATRIX program test and x1 and x2 are parameters. Initial guess values for x1 and x2 are in the real vector rvec. For example the minimum of FUNC = 100.*(x2-x1*x1)**2. + (1.-x1)**2. can be found with the commands: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; c=array(2:-1.2 1.0); call maxf3(func :name test :parms x1 x2 :ivalue rvec :print); b34srun; The function name (func), the program name (test) and the parms are required to be passed. If there is a concern that the function has more than one minimum, the NLSTART command can be used to investigate a number of starting values. For example: b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); return; end; n=2; k=10; a=array(n:-2. 2.); b=array(n:.5 2.); call nlstart(a,b,k,s); do i=1,k rvec=s(,i); call maxf3(func :name test :parms x1 x2 :ivalue rvec :print); enddo; b34srun; Note that in the default mode, the commands for maxf1, maxf2 and maxf3 are the same. Required func - Function name :name pgmname - User program to determine func and optionally the gradiant program name. :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. Optional keywords for MAXF3 are: :print - Print results. :ivalue rvec - Determines initial values. Rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :length real - Estimate of length of each side of initial. Default = 1.0. Final value saved in %length :ftol real - Convergence tolerence. Default=1.d-10. :maxit int - Maximum number of iterations. Default = 100. MAXF3 automatically creates the following variables %coef - a vector containing the parameters. %nparm - a vector with coefficient names %length - Average distance from the vertices to the centroid. The larger the returned value the flatter the function in the neighborhood of the returned point. %func - final value of function The iterations proceed until: 1. # of iteratiions is reached. 2. func(best)-func(worst) LE ftol*(1+dabs(f(best)) 3. sum(1,...,(n+1))(f(i)-(sum(f(j))/(n+1))**2 LE ftol Example showing starting from various positions b34sexec matrix; * MAXF3 is used to minimize a function ; * Answers should be x1=.9999 and x2=.9999 ; * Problem tests if starting values make a difference ; * Problem is classic Rosenbrock banana problem. ; * Problem used in IMSL & MATLAB fmins function ; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); call outstring(3,3,'Function'); call outdouble(36,3,func); call outstring(3,4,'Test case '); call outinteger(36,4,i); call outdouble(4, 5, x1); call outdouble(36,5, x2); return; end; call print(test); n=2; k=10; a=array(n: -3., -3.); b=array(n: 3., 3.); coef=array(k,2:); result=array(k:); ak =array(k:); bk =array(k:); call nlstart(a,b,k,s); call print(s); call echooff; do i=1,k; rvec=s(,i); ak(i)=rvec(1); bk(i)=rvec(2); call maxf3(func :name test :parms x1 x2 :ivalue rvec :maxit 400 :print); result(i)=%func; coef(i,)=%coef; enddo; call tabulate(result,ak,bk); call print('Answers from various starting values ',coef); call graph(result :heading 'Function value found'); b34srun; MELD - Form all possible combinations of vectors. call meld(x,y,z); Forms all possible combinations of x, y, z. Variables x, y, and z must be same length. Values are not checked. Note: Up to 100 vectors can be supplied. Example: b34sexec matrix; i=array(:1. 2. 3.); j=array(:4.,5.,6.); k=array(:7.,8.,9.); call tabulate(i,j,k); call meld(i,j,k); f=i**2.+j**2.+k**2.; call tabulate(i,j,k,f); b34srun; Output Obs I J K 1 1.000 4.000 7.000 2 2.000 5.000 8.000 3 3.000 6.000 9.000 => CALL MELD(I,J,K)$ => F=I**2.+J**2.+K**2.$ => CALL TABULATE(I,J,K,F)$ Obs I J K F 1 1.000 4.000 7.000 66.00 2 1.000 4.000 8.000 81.00 3 1.000 4.000 9.000 98.00 4 1.000 5.000 7.000 75.00 5 1.000 5.000 8.000 90.00 6 1.000 5.000 9.000 107.0 7 1.000 6.000 7.000 86.00 8 1.000 6.000 8.000 101.0 9 1.000 6.000 9.000 118.0 10 2.000 4.000 7.000 69.00 11 2.000 4.000 8.000 84.00 12 2.000 4.000 9.000 101.0 13 2.000 5.000 7.000 78.00 14 2.000 5.000 8.000 93.00 15 2.000 5.000 9.000 110.0 16 2.000 6.000 7.000 89.00 17 2.000 6.000 8.000 104.0 18 2.000 6.000 9.000 121.0 19 3.000 4.000 7.000 74.00 20 3.000 4.000 8.000 89.00 21 3.000 4.000 9.000 106.0 22 3.000 5.000 7.000 83.00 23 3.000 5.000 8.000 98.00 24 3.000 5.000 9.000 115.0 25 3.000 6.000 7.000 94.00 26 3.000 6.000 8.000 109.0 27 3.000 6.000 9.000 126.0 Example # 2: b34sexec matrix; a1=-.5; a2= .5; b1= .6; b2= 1.8; do i=1,4; x=grid(a1,a2,.125); y=grid(b1,b2,.125); call meld(x,y); z=100. * (y-x*x)**2. + (1.-x)**2.; call graph(x,y,z :plottype contour3 :heading 'Rosenbrock Banana'); call graph(x,y,z :plottype contourc :heading 'Rosenbrock Banana'); a1=a1-1.; a2=a2+1.; b1=b1-1.; b2=b2+1.; enddo; b34srun; MENU - User Menus for Input call menu(i :menutype key :heading); Allows user menus for input in matrix command. i = initial selection for menu options. On output it the selection. Escape returns 0. For input options it is the variable to be input. For input text if a blank line is supplied a character*1 variable with one blank element is returned. :menutype key => menutwo Two choice menu => menuhoriz Horizontal menu => menuvert Vertical menu => inputint Input integer menu => inputreal8 Input real*8 menu => inputtext Input text :heading character used for menuhoriz, menuvert :text 'text here' up to 60 characters for menuvert. up to 10 for menuhoriz In place of ' ' can use character*1 n by 60 array Max Number of terms is 500 :prompt 'text here' used for menutwo, inputint, inputr8, inputtext max size = 60 :position index(0 0) sets x and y position defaults to zero Examples: call menu(i :menutype menutwo :text 'stop' :text 'go' :prompt 'Continue with graph?' ); call print('i found to be ',i); call menu(i :menutype menuhoriz :text 'file' :text 'save' :text 'stop' :heading 'Process Control' ); call print('i choice found ',i); call menu(i :menutype menuvert :text 'Use raw data ' :text 'Use (1-B)*X ' :text 'Use (1-B)**2. * X' :heading 'ACF Control' ); call print('i choice found ',i); call menu(i :menutype inputint :prompt 'Input # of cases' ); call print('# of cases found ',i); call menu(r8 :menutype inputreal8 :prompt 'Input Tolerance' ); call print('Tolerance found ',r8); call menu(cc :menutype inputtext :prompt 'Input save file name' ); call print(' file name >',cc); MESSAGE - Put up user message and allow a decision. call message(char1,char2,i); Puts up a message, char1, in a window with title char2. I will return 21 for OK or 23 for Cancel. Example: call message('Want to stop','Control',i); if(i.eq.21)go to part10; if(i.eq.23)go to part20; MINIMAX - Minimax Estimation with MAXF2 call minimax; Minimax estimation with MAXF2 allows calculation of SE's of coefficients. Note, minimax is a program contained in matrix2.mac. Before use it must be loaded with: call load(minimax); Arguments that must be in work space at level 100 y = Left Hand side x = Matrix of regressors with constant in col 1 iprint = 0 => do not print = 1 => print The following are created ***** Coef = estimated coefficients Sumabs = sum absolute errors Maxerror = maximum abs error Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call echooff; call loaddata; call olsq(gasout gasin :l1 :minimax :print); /$ This code gets SE for Minimax. Uses MAXF2 call load(minimax); call print(minimax); * See if can get minimax ; iprint=1; y=gasout; x=matrix(norows(gasin),2:); x(,1)=1.0; x(,2)=vfam(gasin); call minimax; call print('Sum absolute errors ',sumabs:); b34srun; MISSPLOT Plot of a series with Missing Data subroutine missplot(y,points,dots,noline,title); /; /; Plot a Series with Missing Data inside the series /; /; y => Actual Data /; points => if 1 mark points /; dots => if 1 use a dotted line /; noline => if 1 no line /; title => Title /; /; *************************************************** /; Version 8 August 2001 /; *************************************************** Note: This program must be loaded prior to use. Example: b34sexec matrix; call load(missplot); y=rn(array(20:)); call character(title,'Test missplot Plot'); y(3)=missing(); points=0; dots=0; noline=0; call missplot(y,points,dots,noline,title); call missplot(y,1 ,dots,noline,title); call missplot(y,points,1 ,noline,title); call missplot(y,1 ,1 ,0 ,title); call missplot(y,1 ,dots,1 ,title); b34srun; MQSTAT - Multivariate Q Statistic call mqstat(x,maxlag); Calculates Multivariate Q Statistic x = 1 or 2 dimensional real*8 object maxlag = Maximum lag for Q stat Optional arguments :print => print results :squared => Test squared series :npar n => # of parameters. Assumed to be k*k where k is # of cols of x Data Create %qorg1 = Original Q statistic Ljung-Box (1978) %qnew1 = Hosking (1980) Multivariate Q %qstar1 = Li & McLeod (1981) Multivariate Q Tests of squared series if :squared found %qorg2 = Original Q statistic Ljung-Box %qnew2 = Hosking (1980) Multivariate Q %qstar2 = Li & McLeod Multivariate Q %sqorg1 = Significance on %gorg1 %sqnew1 = Significance on %qnew1 %sqstar1 = Significance of %qstar1 %df = Degrees of freedom %sgorg2 = Significance on %gorg2 %sqnew2 = Significance on %qnew2 %sqstar2 = Significance of %qstar2 Example b34sexec scaio readsca /$ file('/usr/local/lib/b34slm/findat01.mad') file('c:\b34slm\findat01.mad') dataset(m_ibmln2); b34srun; b34sexec matrix; call loaddata; x=array(norows(ibmln),2:); x(,1)=ibmln; x(,2)=spln; call mqstat(x,12 :print :squared :npar 4); b34srun; References: See Tsay (2002) pages 302-308 MOVEAVE Moving average of a vector call moveave(x,nobs,ma); Calculates a moving average of a vector x = vector of input data nobs = # of obs in moving average ma = moving average vector Usage call moveave(x,10,ma); Example: b34sexec matrix; call echooff; call load(moveave); call load(movevar); n=20; a=array(n:integers(n)); call print('Mean of a',mean(a)); call moveave(a,norows(a),test); call print('Test of MA where use whole period',test); call moveave(a,2,test2); call moveave(a,3,test3); call print('Two & Three period Moving average'); call tabulate(a,test2,test3); call print(a); call print('Variance of a',variance(a)); call movevar(a,norows(a),test); call print('Test of MVAR where use whole period',test); call movevar(a,4,test4); call movevar(a,5,test5); call print('4 & 5 period Moving Variance'); call tabulate(a,test4,test4); b34srun; Test program: moveave MOVEBJ Moving Arima Forecast using AUTOBJ call movebj(series,iseas,ibegin,actual,fore, obs,nout,iprint,rdif,sdif); Moving Arima Forecast using AUTOBJ subroutine movebj(series,iseas,ibegin,actual,fore, obs,nout,iprint); /; /; Does within sample moving forecasts /; /; series => Series to forecast /; seasonal => seasonal period (must be ge 0) /; ibegin => Seriod to start forecast /; actual => Actual Data /; fore => nout step ahead moving forecast /; obs => Observation Number /; nout => # of period ahead forecast /; iprint => =0 => no printing, =1 => print models /; rdif => if set ne 0 forces differencing /; sdif => if set ne 0 forces seasonal differencing /; Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(movebj); call print(movebj); call echooff; nout=1; iseas=0; ibegin=200; iprint=0; rdif=0; sdif=0; call movebj(gasout,iseas,ibegin,actual, fore,obs,nout,iprint,rdif,sdif); call tabulate(obs,actual,fore); call graph(obs fore,actual :plottype xyplot :nolabel :heading '1 step ahead moving forecast'); nout=3; call movebj(gasout,iseas,ibegin, actual,fore,obs,nout,iprint,rdif,sdif); call tabulate(obs,actual,fore); call graph(obs fore,actual :plottype xyplot :nolabel :heading '3 step ahead moving forecast'); b34srun; MOVECORR Moving Correlation of two vectors call movecorr(x,y,nobs,cvec,nlag); Moving Correlation of two vectors subroutine movecorr(x,y,nobs,cvec,nlag); /; /; Moving correlation of two vectors /; /; x = vector of input data 1 /; y = vector of input data 2 /; nobs = # of obs in moving correlation /; cvec = moving correlation vector /; nlag = number of lags for cross correlations /; /; Usage call movecorr(x,y,10,cvec,0); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(movecorr); call echooff; n=60; call movecorr(gasin,gasout,n,cvec,0); call print(cvec); call graph(cvec(,1)); call movecorr(gasin,gasout,n,cvec,10); call print(cvec); call echoon; b34srun; Note: movecorr is a subroutine from matrix2.mac. It must be loaded with call load(movecorr); Test program: movecor MOVEH82 Moving Hinich 82 test call moveh82(x,10,g,l,1); Calculates moving Hinich 1982 Nonlinearity test subroutine moveh82(x,nobs,g,l,ismoo); /; x = vector of input data /; nobs = # of obs in test /; g = Hinich gaussianity test /; l = Hinich linearity test /; ismoo = 0 => do not smooth, =1 smooth /; /; Usage call moveh82(x,100,g,l,1); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call echooff; call loaddata; call load(moveh82); n=200; call moveh82(gasout,n,g1,l1,1); call tabulate(g1,l1); call graph(g1,l1); call echoon; b34srun; Test program: MOVEH82 MOVEH96 Moving Hinich 96 test call moveh96(x,nobs,c,v,h); Moving Hinich 1996 test. subroutine moveh96(x,nobs,c,v,h); /; x = vector of input data /; nobs = # of obs in moving average /; c = sets # of lags. Must be GE 0 /; v = second order test /; h = third order test /; /; Usage call moveh96(x,nterm,c,v,h); Note: Unlike Hinich 1982 test, here the series must be white noise before the test is applied. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(moveh96); call echooff; call olsq(gasout gasout{1 to 12}); call graph(gasout); call graph(%res); n=200; call moveh96(%res,n,0.0,v,h); call tabulate(v,h); call graph(v,h); call echoon; b34srun; Test program: MOVEH96 MOVEOLS Moving OLS with LAGS call moveols(x,y,nobs,RSS,RSQ,resvar,nlag,nxlag); Moving OLS model of two vectors of form y(t)=f(y(t-1),...,y(t-nlag),x(t-nxlag),...,x(t-nlag)) subroutine moveols(y,x,nobs,rss,rsq,resvar,nlag,nxlag); /; /; Moving OLS model of two vectors of form /; y(t)=f(y(t-1),...,y(t-nlag),x(t-nxlag),...,x(t-nlag)) /; /; x = vector of input data 1 /; y = vector of input data 2 /; nobs = # of obs in moving OLS model /; rss = moving residual sum of squares vector /; rsq = moving centered R**2 /; resvar = moving residual variance /; nlag = number of lags /; nxlag = Number of lags on x /; Usage call moveols(y,x,90,rss,rsq,resvar,10,1); MOVEOLS is a subroutine in matrix2.mac. It must be loaded with call load(moveols); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(moveols); call echooff; n=60; call moveols(gasout,gasin,n,rss,rsq,resvar,6,1); call tabulate(rss,rsq,resvar); call graph(rss :heading 'Moving rss for gasout'); call graph(rsq :heading 'Moving R**2 for gasout'); call graph(resvar :heading 'Moving resvar for gasout'); call echoon; b34srun; Test program: MOVEOLS MOVEVAR Moving Variance call movevar(x,nobs,mvar); Calculates a moving variance. subroutine movevar(x,nobs,mvar); /; x = vector of input data /; nobs = # of obs in moving average /; mvar = moving variance vector /; /; Usage call movevar(x,10,ma); Example: b34sexec matrix; call echooff; call load(moveave); call load(movevar); n=20; a=array(n:integers(n)); call print('Mean of a',mean(a)); call moveave(a,norows(a),test); call print('Test of MA where use whole period',test); call moveave(a,2,test2); call moveave(a,3,test3); call print('Two & Three period Moving average'); call tabulate(a,test2,test3); call print(a); call print('Variance of a',variance(a)); call movevar(a,norows(a),test); call print('Test of MVAR where use whole period',test); call movevar(a,4,test4); call movevar(a,5,test5); call print('4 & 5 period Moving Variance'); call tabulate(a,test4,test4); b34srun; Test program: MOVEVAR NAMES - List names in storage. call names; Lists all names in the allocator. Name info is saved in the array %NAMES% and type info in %NAMESL% if : is included in the call. Alternative forms include: call names(info); To list information about names in allocator and call names(all); To list all names at all levels. The command call names(LISTFREE); Lists what was free at the time of the call. This is not for general use. call names(dostat); saves %donow - # of do loop %down - How many subroutine calls we are down %dowhile - # of do while Example: b34sexec matrix; subroutine test(i); call print('in test'); call names(dostat); call print(%down,%donow,%dowhile,ifnow); return; end; call names(dostat); call print(%down,%donow,%dowhile,%ifnow); do i=1,2; call names(dostat); call print(%down,%donow,%dowhile,%ifnow); if(i.eq.1)then; call names(dostat); call print(%down,%donow,%dowhile,%ifnow); endif; call test(1); enddo; b34srun; NLEQ - Jointly solve a number of nonlinear equations. call nleq(func :name test :parms x1 x2 :ivec rvec :nsig 5 :maxit 200); The NLEQ function provides a quick way to solve N nonlinear equations. NLEQ is based on the MINPACK HYBRD1 routine which in the IMSL ZSPOW routine. A simple setup to solve a system of equations is: call nleq(func :name test :parms x1 x2 :ivec rvec :nsig 5 :maxit 200); where func is a vector of left hand sides. At the solution the elements of func should be as small as possible. Func is computed using the user PROGRAM test. x1 and x2 are parameters. Initial guess values for x1 and x2 are in the real vector rvec. Required func - Function name :name pgmname - User program to determine func :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. Optional keywords for NLEQ are: :print - Print results :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :nsig i - Sets number of digits of accuracy for convergence. Default = 4. :maxit n - Number of iterations. Default = 200. The maximum number of calls to the user program is maxit*(n+1) where n = number of parameters. NLEQ automatically creates the following variables %coef - a vector containing the parameters. %nparm - a vector with coefficient names %func - final value of function Example: The solution of 0.0 = x1 + exp(x1 - 1.0) +(x2+x3)*(x2+x3) 0.0 = exp(x2-2.0)/x1+x3*x3 0.0 = x3+sin(x2-2.0)+x2*x2 with answers: FNORM = 0.0, x1 = 1.00001, x2 = 2.0000, x3 = 3.00000 can be found with the commands: b34sexec matrix; program test; func(1)=x1 + dexp(x1 - 1.0) +(x2+x3)*(x2+x3); func(2)=dexp(x2-2.0)/x1+x3*x3; func(3)=x3+dsin(x2-2.0)+x2*x2; return; end; rvec=array(3:4.0 4.0 4.0); call nleq(func :name test :parms x1 x2 x3 :ivec rvec :nsig 5 :maxit 200); b34srun; NLLSQ - Nonlinear Least Squares Estimation. The NLLSQ command estimates a nonlinear least squares problem for real*8 and real*16 data and is called by: call nllsq(y yhat :name pgmname :parms b1 b2 b3); Required arguments & keywords: y - an existing real*8 or real*16 variable. yhat - The name of the yhat vector given parameters listed after :parms. If yhat is to be used after the nllsq command exits, be sure to issue the command call pgmname; to refresh this variable. :name pgmname - specifies a user PROGRAM to calculate yhat using the parameters listed after the required keyword :parms. :parms b1 b2 - Specifies parameters of nonlienar model. The parameters can be set as scalars or as a vector. If a vector is supplied, only one vector can be used.If starting values are not supplied, the program automatically assumes .01. Optional keywords include: :print key - where key values are RESULT, ITER, RESIDUALS to print the results, the iterations or the residuals respectively. :eps1 r1 - where r1 is a real number set to the maximum relative change in the sum of squares before iteration stops. Unless set, this stopping rule is not used. Default = 0.0. :eps2 r2 - where r2 is a real number set to the maximum relative change in each parameter before iteration stops. Default = .004. :flam r3 - where r3 is the starting lamda for Marquardt iteration. Default = .01. If there are problems, increase flam to 1.0. :flu r4 - where r4 is the parameter to control flam. Marquardt recommends 10. Flu must be set > 1.0. Default = 10.0. :restrict ivec - where ivec is an integer vector with elements 1 and 0 corresponding to whether there is or is not a sign change restriction is imposed. :diff dd - where var is a vector with the same number of elements as the number of parameters. The vector dd controls the numerical evaluation of the partial derivatives. The default value is .01. If diff is supplied, all values must be in the range 0 le dd(i) le 1.0 :ivalue rvec - where rvec is a vector of initial values. Initial values can also be set with analytic statements before the NLLSQ command is called but must be passed in the rvec vector. Unless this is done, the default .1 will be used. :maxit i2 - where i2 is the maximum number of iterations. Default = 20. :forcese - Force calculation of SE even if have obtained a warning message. This switch can bring down the program with a divide check. Its use is obtaining benchmark answers if possible. Note: The internal names for these switches are %result, %iter, %eps1, %eps2, %flam, %flu, %restrict, %diff, %ivalue, %maxit. If an array is supplied for :parms, only one variable can be passed. :restrict, :diff, and :ivalue must be supplied AFTER :parms so that the number of parameters has been set. The nllsq command creates the following vectors: %coef - a vector containing the parameters %nparm - A vector with coefficient names %se - a vector containing parameter standard errors %t - a vector containing parameter t scores. %fss - final sum of squares %see - final standard error of estimate %arsq - adjusted r**2 %resvar - residual variance %corrmat - correlation matrix of estimated parameters %nob - Number of observations %res - Error vector Notes: The user must supply a model to calculate YHAT using the parameters. The precision of YHAT must be the same as y (real*8 or real*16). If YHAT contains less observations than the left hand side variable Y, then observations are automatically dropped off the front of Y. Note that the user subroutine must be called after the nllsq command exits to access yhat. The following jobs illustrate use of the NLLSQ command: OLS Example /$ Nonlinear Estimation using NLLSQ Command under matrix /$ OLS Model estimated using nonlinear methods /$ and using REG command b34sexec options ginclude('b34sdata.mac') member(res72); b34srun; b34sexec reg; model lnq=lnk lnl lnrm1 time; b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; call tabulate (q l k m1dp time); program res72; call echooff; yhat=a+g1*lnk + g2*lnl +r*lnrm1 + v*time; return; end; call print(res72); call nllsq(lnq,yhat :name res72 :parms a r g1 g2 v :print result residuals); call graph(%res); b34srun; /$ Illustrate lags using both commands b34sexec reg; model lnq=lnk lnk{1} lnl lnrm1 time; b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; program res72; call echooff; i=integers(norows(lnk)-1); yhat(i)= g1*lnk(i+1)+ gnew*lnk(i)+g2*lnl(i+1)+ r*lnrm1(i+1)+v*time(i+1) +a; return; end; call nllsq(lnq,yhat :name res72 :parms a r g1 gnew g2 v :print result residuals); call res72; %yhat=yhat; call graph(%res); call print(yhat); b34srun; CES Production Function using NLLSQ /$ CES Model estimated using nonlinear methods b34sexec options ginclude('b34sdata.mac') member(res72); b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; program res72; call echooff; yhat=a*((g1*(k**r)) + (g2*(l**r)) + ((1.0-g1-g2)*(m1dp**r)) )**(v/r); return; end; call print(res72); call nllsq(q,yhat :name res72 :parms g1 g2 a r v :maxit 50 :flam 1. :flu 10. :eps2 .004 :ivalue array(:.2769 .7754 1.0,-.05 1.8) :print result residuals); call graph(%res); call print(mean(%res)); call names; call print(%corrmat); call tabulate(%coef,%se,%t); Complex CES and GLS CES Models b34sexec options ginclude('b34sdata.mac') member(res72); b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; * Problem 1 is very very hard !!!!!! ; * problem=1; program res72; call echooff; yhat=a*(g1*k**r+(1.0-g1)*l**r)**(v/r); return; end; call print(res72); call nllsq(q,yhat :name res72 :parms g1 a v r :maxit 50 :flam 1. :flu 10. :eps2 .004 :ivalue array(:.3053 1.0 1.85 .03) :print result residuals); call graph(%res); b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; * problem 2 ; program res72; call echooff; yhat=a*(g1*k**r+g2*l**r+(1.0-g1-g2)*(m1/p)**r)**(v/r); return; end; call print(res72); call nllsq(q,yhat :name res72 :parms g1 g2 a r v :maxit 50 :flam 1. :flu 10. :eps2 .004 :ivalue array(:.27698 .7754 1.,-.05 1.8) :print result residuals); call graph(%res); b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; * problem 3; program res72; call echooff; i=integers(norows(q)-2); yhat=((a*(g1*k(i+2)**r+g2*l(i+2)**r+ (1.0-g1-g2)*(m1(i+2)/p(i+2))**r)**(v/r)) + lam1*q(i+1) + lam2*q(i) - (lam1*a*(g1*k(i+1)**r+g2*l(i+1)**r + (1.0-g1-g2)*(m1(i+1)/p(i+1))**r)**(v/r)) - (lam2*a*(g1*k(i )**r+g2*l(i )**r+ (1.0-g1-g2)*(m1(i+2)/p(i ))**r)**(v/r))); return; end; call print(res72); call nllsq(q,yhat :name res72 :parms g1 g2 a r v lam1 lam2 :maxit 500 :flam .1 :flu 10. :eps2 .004 :ivalue array(:.27698,.7754,1.00,.05,1.8,.8,-.6) :print result iter residuals); call graph(%res); b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; * CES GLS Models ; * problem=4; program res72; call echooff; i=integers(norows(q)-2); yhat=((dexp(tt*dfloat(i+2))*a*(g1*k(i+2)**r+g2*l(i+2)**r+ (1.0-g1-g2)*(m1(i+2)/p(i+2))**r)**(v/r)) + lam1*q(i+1) + lam2*q(i) - (lam1*dexp(tt*dfloat(i+1))*a*(g1*k(i+1)**r+g2*l(i+1)**r+ (1.0-g1-g2)*(m1(i+1)/p(i+1))**r)**(v/r)) - (lam2*dexp(tt*dfloat(i)) *a*(g1*k(i)**r+g2*l(i)**r+ (1.0-g1-g2)*(m1(i+2)/p(i ))**r)**(v/r))); return; end; call print(res72); call nllsq(q,yhat :name res72 :parms g1 g2 a r v tt lam1 lam2 :maxit 500 :flam .1 :flu 10. :eps2 .004 :ivalue array(:.27698 .7754 1.00 .05 1.8 .0004 .8,-.6) :print result iter residuals); call graph(%res); b34srun; Real*8 vs Real*16 Code (See NLLSQ_R16 job) /; Illustrates Nonlinear Estimation using NLLSQ Command /; under matrix using real*8 and real*16 paths. /; This case does not make a diffference if good starting /; values are used. Note when terrible starting values /; are used (.1) the Real*16 approach will recover while /; the real*8 dies. /; /; This suggests that real*16 may be more "robust" to /; starting values. Note that this problem generates /; error messages entering the complex domain. /; /; VPA math can be used insdie a function provided that /; the parameters and yhat etc are copied back to real*8 /; or real*16 as appropriate. /; %b34slet showgraph=yes; b34sexec options ginclude('b34sdata.mac') member(res72); b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; * Problem 1 is very very hard !!!!!! ; * problem=1; program res72; call echooff; yhat=a*(g1*k**r+(one-g1)*l**r)**(v/r); call outstring(3,3,'Coefficients'); call outstring(3,4,'g1 v r'); call outdouble(14,4,g1); call outdouble(34,4,v); call outdouble(50,4,r); return; end; call print(res72); one=kindas(q,1.0); call nllsq(q,yhat :name res72 :parms g1 a v r :maxit 500 :flam 1. :flu 10. :eps2 .1e-14 :ivalue array(:.3053 1.0 1.85 .03) /$ :ivalue array(: .1 .1 .1 .1) :print result); resr8=%res; call print('real*16 results',:); q=r8tor16(q); k=r8tor16(k); l=r8tor16(l); one=kindas(q,1.0); call nllsq(q,yhat :name res72 :parms g1 a v r :maxit 500 :flam 1. :flu 10. :eps2 .1e-14 /$ :ivalue array(:.3053 1.0 1.85 .03) :ivalue array(: .1 .1 .1 .1) :print result); resr16=%res; diff=(resr8-r16tor8(%res)); call tabulate(resr8,resr16,diff); %b34sif(&showgraph.eq.yes)%then; call graph(r16tor8(%res)); call graph((resr8-r16tor8(%res))); %b34sendif; b34srun; Notes: The Nonlinear GLS jobs make use of the fact that if the yhat variable contains less observations than the y variable, observations will be automatically dropped off the beginning of the y variable. The user can place other commands in the PROGRAM to output values as the solution proceeds. This is recommended since it gives a visual record of how the nonlinear surface is "seen" by the software. If speed of the solution is important, these fetures can be turned off with the /$ command. It is NOT recommended that the * test ; comment be used since this has to be "parsed" at each iteration. A /; comment is stripped out. Some Comments on nonlinear mdoeling: NLLSQ can be used to provide initial values for use with NL2SOL which provides an alternative way to do non-linear least squares. It is recommended that both be used as a check. Of the two programs, no one dominates. Interested users can inspect and run the nonlinear jobs in stattest.mac that implement a number of very hard nonlinear problems for which there are known answers. The whole issue of SE's for nonlinear least squares is up in the air. While both NLLSQ and NL2SOL produce SE's that are asymptotically the same, in limited samples differences will show up. For these and other reasons it it recommended that multiple software systems be used before final models are published. It addition all results should report the software used, the command used and the release of the software. It additionn is is a good idea to saave scripts. Convergence tolerance and other controls often make a substantial difference. Beware of default values. NL2SOL - Alternative Nonlinear Least Squares Estimation path. The NL2SOL command uses the Dennis-Gay-Welsch (1981), subroutine NL2SOL that was documented in "An adaptive nonlinear least-squares algorithm," ACM Trans. Math. Software, vol. 7, no. 3. to minimize the sum of squares of a vector. The NL2SOL command can be used for least squares problems and for maximum/minimum problems provided that the dsqrt of the objective function can be calculated. Discussison: Given a p-vector x of parameters, an n-vector of residuals corresponding to x r(x) is calculated using program TEST.. r(x) probably arises from a nonlinear model involving p parameters and n observations. NL2SOL seeks a parameter vector x that minimizes the sum of the squares of (the components of) r(x), i.e., that minimizes the sum-of-squares function f(x) = (r(x) * r(x) / 2. r(x) is assumed to be a twice continuously differentiable function of x. The subroutine NL2SOL is very complex and provides a number of features for the expert user. NLLSQ is probably a better first choice. Both routines can be used together. In many problems NLLSQ works better, while in others NL2SOL works better. The file stattest.mac has many problems where there are "known" answers. NLLSQ, NL2SOL and RATS are tested using various starting values. Users should study these setups closely. The version of Rats used is most important. There have been substantial changes in Rats since version 5.xx. call nl2sol(res :name test :parms a1 a2 :print); uses analytic derivatives while call nl2sol(res j :name test1 test2 :parms a1 a2 :print); provides derivatives in the program test2 Required arguments & keywords: res - an existing real*8 or real*16 vector or array of length n. n must be GE p where p is the number of parameters. :name pgmname - specifies a user PROGRAM to calculate res using the parameters listed after the required keyword :parms. If the parameters are such that res(i) would overflow, set %nf to 0. :parms b1 b2 - Specifies parameters of nonlinear model. The parameters can be set as scalars or as a vector. If a vector is supplied, only one vector can be used. For purposes of discussion we assume there are p parameters. If starting values are not supplied, the program automatically assumes .01. In some cases this may not be a good choice. Optional keywords include: j - n by p array with the derivatives of the n element residual vector with respect to the p parameters. If j is used it must be allocated to the right size prior to the call to nl2sol. The derivatives are calculated with the program test2. If the parameters are such that j(i,k) would overflow, set %nf2 to 0. :print - Print results. :itprint - Print Iterations. :ivalue r - Supplies a vector of initial values. :maxfun i - gives the maximum number of function evaluations. Default = 200. :maxit i - gives the maximum number of iterations allowed. Default = 150. :isum i - Controls the number and length of iteration summary lines printed. i=0 means do not print any summary lines. Otherwise, print a summary line after each abs(iv(outlev)) iterations. If iv(outlev) is positive, then summary lines of length 117 are printed, including the following: The iteration and function evaluation counts, current function value (v(f) = half the sum of squares), relative difference in function values achieved by the latest step (i.e., reldf = (f0-v(f))/f0, where f0 is the function value from the previous iteration), the relative function reduction predicted for the step just taken (i.e., preldf = v(preduc) / f0, where v(preduc) is described below), the scaled relative change in x (see v(reldx) below), the models used in the current iteration (g = gauss-newton, s=augmented), the marquardt parameter stppar used in computing the last step, the sizing factor used in updating s, the 2-norm of the scale vector d times the step just taken (ref.), and npreldf, i.e., v(nreduc)/f0, where v(nreduc) is described below. If npreldf is positive, then it is the relative function reduction predicted for a newton step (one with stppar = 0). If npreldf is zero, either the gradient vanishes (as does preldf) or else the augmented model is being used and its hessian is indefinite (with preldf positive). If npreldf is negative, then it is the negative of the relative function reduction predicted for a step computed with step bound v(lmax0) for use when testing for singular convergence. If iv(outlev) is negative, then lines of maximum length 79 are printed, including only the first 6 items listed above (through reldx). :afctol r - sets the absolute function convergence tolerance. If nl2sol finds a point where the function value (half the sum of squares) is less than afctol, program terminates. Default = max(10**-20, machep**2) :delta0 r - Factor used in choosing the finite- difference step size used in computing the covariance matrix. For component i, step size = delta0 * max(abs(x(i)), 1/d(i)) * sign(x(i)) where d is the current scale vector. If this results a setting %nf=0, then -0.5 times this step is also tried.) default = machep**0.5, :lmax0 r - gives the maximum 2-norm allowed for d times the very first step that nl2sol attempts. Default = 100. :rfctol r - Sets the relative function convergence tolerance. Default = max(10**-10,machep**(2/3)) :tuner1 r - Helps decide when to check for false convergence and to consider switching models. Default = 0.1. :xctol - Sets x-convergence tolerance. Default = machep**0.5. :xftol - Sets the false convergence tolerance. If a step is tried that gives no more than tuner1 times the predicted f unction decrease and that has reldx .le. xftol we have false convergence tolerance. Default = 100*machep. Variables Created %nparm - Coefficient names %coef - Coefficient values %se - Coefficient SE %t - Coefficient t scores %nob - # of opservations in %res %k - # of coefficients %covmat - Covariance Matrix %scale - Scale vector %grad - Gradiant %nfcall - # function evaluations %nfcov - # Calls to get covariance %ngcall - # Gradiant calls %niter - # Iterations %res - Residual vector %fss - final sum of squares %see - final standard error of estimate if DF > 0. %resvar - residual variance if DF > 0. %dgnorm - the 2-norm of (d**-1)*g, where g is the most recently computed gradient and d is the corresponding scale vector. %dstnrm - the 2-norm of d*step, where step is the most recently computed step and d is the current scale vector. %func - the current function value (half the sum of squares). %f0 - the function value at the start of the current iteration. %nreduc - if positive, is the maximum function reduction possible according to the current model, i.e., the function reduction predicted for a newton step (i.e.,step = -h**-1 * g, where g = (j**t) * r is the current gradient and h is the current hessian approximation -- h = (j**t)*j for the gauss-newton model and h = (j**t)*j + s for the augmented model). %nreduc = 0.0 means h is not positive definite. If %nreduc is negative, then it is the negative of the function reduction predicted for a step computed with a step bound of %lmax0 for use in testing for singular convergence. %preduc - the function reduction predicted (by the current quadratic model) for the current step. This (divided by %f0) is used in testing for relative function convergence. %reldx - is the scaled relative change in x caused by the current step, computed as max(abs(d(i)*(x(i)-x0(i)), 1 .le. i .le. p) / max(d(i)*(abs(x(i))+abs(x0(i))), 1 .le. i .le. p), where x = x0 + step. %return - Integer coded 3 = x-convergence. The scaled relative difference between the current parameter vector x and a locally optimal parameter vector is very likely at most v(xctol). 4 = relative function convergence. The relative difference between the current function value and its locally optimal value is very likely at most v(rfctol). 5 = both x- and relative function convergence hold. 6 = absolute function convergence. The current function value is at most v(afctol) in absolute value. 7 = singular convergence. The hessian near the current iterate appears to be singular or nearly so, and a step of length at most v(lmax0) is unlikely to yield a relative function decrease of more than v(rfctol). 8 = false convergence. The iterates appear to be converging to a noncritical point. This may mean that the convergence tolerances (v(afctol), v(rfctol), v(xctol)) are too small for the accuracy to which the function and gradient are being computed, that there is an error in computing the gradient, or that the function or gradient is discontinuous near x. 9 = function evaluation limit reached without other convergence (see iv(mxfcal)). 10 = iteration limit reached without other convergence (see iv(mxiter)). 11 = stopx returned .true. => external interrupt. 13 = f(x) cannot be computed at the initial x. 14 = Bad parameters passed to assess (which should not occur). 15 = The jacobian could not be computed at x. 16 = n or p (or parameter nn to nl2itr) out of range -- p .le. 0 or n .lt. p or nn .lt. n. 17 = restart attempted with n or p (or par. nn to nl2itr) changed. 18 = iv(inits) is out of range. 19...45 = v(iv(1)) is out of range. 50 = iv(1) was out of range. Example of Madsen Problem b34sexec matrix; * answers can switch sign; * Results replicated by maxf1 & maxf2 for coefficients; * SEs differ; program test; r(1)=x1**2. + x2**2. +x1*x2; r(2)=dsin(x1); r(3)=dcos(x2); return; end; program test2; j(1,1) = 2.0*x1 + x2 ; j(1,2) = 2.0*x2 + x1 ; j(2,1) = dcos(x1) ; j(2,2) = 0.0 ; j(3,1) = 0.0 ; j(3,2) = (-1.0)*dsin(x2) ; return; end; rvec=array(2:3., 1.0); call echooff; r=array(3:); call nl2sol(r :name test :parms x1 x2 :ivalue rvec :print :itprint); rvec=array(2:3., 1.0); call echooff; r=array(3:); j=array(3,2:); call nl2sol(r j :name test test2 :parms x1 x2 :ivalue rvec :print :itprint); b34srun; Example of NL2SOL vs NLLSQ. Here NL2SOL does a better job in the e'e sense. /$ /$ NL2SOL vs NLLSQ /$ b34sexec options ginclude('b34sdata.mac') member(res72); b34srun; b34sexec matrix; call loaddata; * Sinai-Stokes RES Data --- Nonlinear Models ; * Problem 1 is very very hard !!!!!! ; * problem=1; program res72; call echooff; yhat=a*(g1*k**r+(1.0-g1)*l**r)**(v/r); res =q-yhat; call outstring(3,3,'Coefficients'); call outstring(3,4,'g1 v r'); call outdouble(14,4,g1); call outdouble(34,4,v); call outdouble(50,4,r); return; end; rvec =array(:.3053 1.0 1.85 .03); call print(res72); call timer(t1); call nllsq(q,yhat :name res72 :parms g1 a v r :maxit 50 :flam 1. :flu 10. :eps2 .004 :ivalue rvec :print result ); call timer(t2); call print('NLLSQ took ',t2-t1:); res1=%res; call timer(t1); call nl2sol(res :name res72 :parms g1 a v r :ivalue rvec :print /$ :itprint ); call timer(t2); call print('NL2SOL took ',t2-t1:); b34srun; Example: Fooling nl2sol to "solve: banana /; /; Fooling Nl2sol to solve Banana /; b34sexec matrix; program test; func=-1.0*(100.*(x2-x1*x1)**2. + (1.-x1)**2.); t=func; t=-1.*dsqrt(dabs(t)); funcv=vector(3:t,0.0,0.0); call outstring(3,3,'Function '); call outdouble(36,3 func); call outdouble(4, 4, x1); call outdouble(36,4, x2); return; end; call print(test); rvec=array(2:-1.2 1.0); call echooff; /$ call maxf1(func :name test :parms x1 x2 :ivalue rvec :print); x1=rvec(1); x2=rvec(2); call test; call nl2sol(funcv:name test :parms x1 x2 :ivalue rvec :print :itprint); b34srun; NLPMIN1 - Nonlinear Programming fin. diff. grad. DN2CONF. call NLPMIN1(func g :name test :parms x1 x2 :ivalue rvec :nconst m me :lower lvalues :upper uvalues :print :maxit it :iprint key); Solves a nonlinear programming model where there is a finite difference gradiant. Required: func - Function name g - Constraint name :name pgmname - Name of user program to determine func :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. :nconst M ME - M is the total number of constraints. ME is the number of equality constraints. M and ME can be set to zero. In this case have a dummy g(1)=0.0; statement in the test subroutine. For this type of problem the more specialized commands cmaxf1, cmaxf2 and cmaxf3 should be used. Optional keywords for NLPMIN1 are: :print - Print results :ivalue rvec - Sets initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :lower rvec - Vector of lower values for parameters. Default = -.1d+10 :upper rvec - Vector of upper values for parameters. Default = .1d+10 :maxit int - Maximum number of iterations. Default = 400 :noflag - Suppresses the error message :ERROR returned by %error / iercd() to a note. :iprint key - where key is NONE, FINAL, ITPRINT, DETAILED NONE => No diagnostic output. FINAL => Detail at Final iteration only. ITPRINR => One line of intermadiate results. DETAILED=> Detailed intermediate results. NLPMIN1 creates the following variables: %coef - vector containing answers %nparm - Vector with coefficient names. %func - final value of function. %error - returns IMSL iercd( ) code 0 solution OK 1 Search Direction uphill 2 Linear Search took more that 5 function calls 3 Max Iterations Exceeded 4 Search Direction close to zero 5 Constraints for problem not consustent NLPMIN1 uses the real*8 variable %ACTIVE(i), for i=1,M to turn on the active constraints of the problem. Example: Min (x1-2)**2 + (x2-1)**2 st x1-2*x2+1 EQ 0.0 -(x1**2)/4 -x2**2 + 1 GE 0.0 /$ /$ Uses IMSL dn2onf /$ b34sexec matrix; * Answers .8229 .9114 ; program test; func=(x1-2.)**2. + (x2-1.)**2. ; if(%active(1)) g(1)=x1 - 2.0*x2 + 1. ; if(%active(2)) g(2)=((-1.)*(x1**2.)/4.) - (x2**2.) + 1. ; return; end; call print(test); call echooff; call NLPMIN1(func g :name test :parms x1 x2 :ivalue array(:2.,2.) :nconst 2 1 :lower array(:-1.d+6, -1.d+6) :upper array(:-1.d+6, -1.d+6) :print :maxit 100 :iprint final); Notes: Array g(1) can be allocated before the command call nlpmin1 is given. G must be of size mmax. mmax = max(1,m). The size of G is tested after program test returns. ********************************************** Example to estimate a IGARCH(1,1) -- see GARCH_7 test job /$ IGARCH(1,1) using NLPMIN1 - showsgeneral case b34sexec options ginclude('b34sdata.mac') member(garchdat); b34srun; b34sexec matrix ; call loaddata; y=sp500; vstart=variance(y-mean(y)); arch=array(norows(y):)+ vstart; res= y-mean(y); call print('mean y ',mean(y):); call print('vstart ',vstart :); program test; call garch(res,arch,y,func,1,nbad :gar array(:gar) idint(array(:1)) :gma array(:gma) idint(array(:1)) :constant array(:a0 b0) ); if(%active(1)) g(1)=gar+gma-1.; func=(-1.)*func; return; end; call print(test); call echooff; call NLPMIN1(func g :name test :parms gar gma a0 b0 :ivalue array(:.5,.5,mean(y),vstart) :nconst 1 0 :lower array(: 1.d-6, 1.d-6, 1.d-6, 1.d-6) :upper array(: 1.d+2, 1.d+2, 1.d+2, 1.d+2) :print :maxit 100 :iprint final); b34srun; NLPMIN2 - Nonlinear Programming user supplied grad. DN2CONG. call NLPMIN2(func g df dg :name test grad :parms x1 x2 :ivalue rvec :nconst m me :lower lvalues :upper uvalues :print :maxit it :iprint key); Performs Nonlinear Programming with a user supplied grad. Required func - Function name g - Constraint name. m elements df - Derivative of function name. n elements where n = # of parameters. dg - Derivative of gradiant name dim(m,n) :name pgmname - Name of user program to determine func :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. N = number of parameter :nconst M ME - M is the total number of constraints. ME is the number of equality constraints Optional keywords for NLPMIN2 are: :print - Print results :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :lower rvec - Vector of lower values for parameters. Default = -.1d+10 :upper rvec - Vector of upper values for parameters. Default = .1d+10 :maxit int - Maximum number of iterations. Default = 400 :noflag - Suppresses the error message :ERROR returned by %error / iercd() to a note. :iprint key - where key is NONE, FINAL, ITPRINT, DETAILED NONE => No diagnostic output. FINAL => Detail at Final iteration only. ITPRINR => One line of intermadiate results. DETAILED => Detailed intermediate results. NLPMIN2 automatically creates the following variables %coef - vector containing answers %nparm - vector with coefficient names. %func - final value of function. %error - returns IMSL iercd( ) code 0 solution OK 1 Search Direction uphill 2 Linear Search took more that 5 function calls. 3 Max Iterations Exceeded 4 Search Direction close to zero 5 Constraints for problem not consustent NLPMIN2 uses the real*8 variable %ACTIVE(i) for i=1,M to turn on the active constraints of the problem. Example Min (x1-2)**2 + (x2-1)**2 st x1-2*x2+1 EQ 0.0 -(x1**2)/4 -x2**2 + 1 GE 0.0 /$ /$ Uses IMSL dn2ong /$ b34sexec matrix; * Answers .8229 .9114 ; program test; func=(x1-2.)**2. + (x2-1.)**2. ; if(%active(1)) g(1)=x1 - 2.0*x2 + 1. ; if(%active(2)) g(2)=((-1.)*(x1**2.)/4.) - (x2**2.) + 1. ; return; end; program grad; df(1)=2.0*(x1-2.0) ; df(2)=2.0*(x2-1.0) ; if(%active(1))then; dg(1,1)=1.; dg(1,2)=-2.; endif; if(%active(2))then; dg(2,1)= -.5 ; dg(2,2)= -2. ; endif; return; end; call print(test,grad); call echooff; call nlpmin2(func g df dg :name test grad :parms x1 x2 :ivalue array(:2.,2.) :nconst 2 1 :lower array(:-1.d+6, -1.d+6) :upper array(: 1.d+6, 1.d+6) :print :maxit 100 :iprint final); Notes: Array g(1) can be allocated before the command call nlpmin2 is given. G must be of size mmax where mmax = max(1,m). The size of G is tested after program test returns. Arrays df and dg can be allocated to size df(n) and dg(mmax,n) before call nlpmin2 is given. After program grad returns, the sizes are checked. NLPMIN3 - Nonlinear Programming user supplied grad. DN0ONF. NLPMIN3 Command call NLPMIN3(func g df dg :name test :parms x1 x2 :ivalue rvec :nconst m me :lower lvalues :upper uvalues :print :maxit it :iprint key); Performs Nonlinear Programming with a user supplied grad. The IMSL routine DN0ONF is used. Required func - Function name g - Constraint name. m elements df - Derivative of function name. n elements where n = number of parameters dg - Derivative of gradiant name array(m,n) :name pgmname - Name of user program to determine func :parms v1 v2 - Parameters in the model. These parameters must be in the function in the user program pgmname that determines func. The keyword :parms MUST be supplied prior to all keywords except :name. :nconst M ME - M is the total number of constraints. ME is the number of equality constraints Optional keywords for NLPMIN3 are: :print - Print results :ivalue rvec - Determines initial values. rvec must be a vector containing the number of elements equal to the number of parameters supplied. Default = .1. :lower rvec - Vector of lower values for parameters. Default = -.1d+10 :upper rvec - Vector of upper values for parameters. Default = .1d+10 :maxit int - Maximum number of iterations. Default = 400 :maxfun int - Maximum number of function evaluations. Default = 100 :noflag - Suppresses the error message :ERROR returned by %error / iercd() to a note. :iprint key - where key is NONE, FINAL, ITPRINT, DETAILED NONE => No diagnostic output. FINAL => Detail at Final iteration only ITPRINR => One line of intermadiate results. DETAILED=> Detailed intermediate results. NLPMIN3 automatically creates the following variables %coef - vector containing answers. %nparm - Vector with coefficient names. %func - final value of function. %hessian - (n+1) by (n+1) hessian matrix. %dhess - (n+1) diagonal elements of hessian %error - returns IMSL iercd( ) code 0 solution OK 1 Search Direction uphill 2 Linear Search took more that 5 function calls 3 Max Iterations Exceeded 4 Search Direction close to zero 5 Constraints for problem not consustent NLPMIN3 uses the real*8 variable %ACTIVE(i) for i=1,M to turn on the active constraints of the problem. Example: Min (x1-2)**2 + (x2-1)**2 st x1-2*x2+1 EQ 0.0 -(x1**2)/4 -x2**2 + 1 GE 0.0 /$ /$ Uses IMSL dn0onf /$ b34sexec matrix; * Answers .8229 .9114 ; program test; func=(x1-2.)**2. + (x2-1.)**2. ; if(%active(1)) g(1)=x1 - 2.0*x2 + 1. ; if(%active(2)) g(2)=((-1.)*(x1**2.)/4.) - (x2**2.) + 1. ; return; end; program grad; df(1)=2.0*(x1-2.0) ; df(2)=2.0*(x2-1.0) ; if(%active(1))then; dg(1,1)=1.; dg(1,2)=-2.; endif; if(%active(2))then; dg(2,1)= -.5 ; dg(2,2)= -2. ; endif; return; end; call print(test,grad); call echooff; call nlpmin3(func g df dg :name test grad :parms x1 x2 :ivalue array(:2.,2.) :nconst 2 1 :lower array(:-1.d+6, -1.d+6) :upper array(: 1.d+6, 1.d+6) :print :maxit 100 :iprint final); Notes: Array g(1) can be allocated before the command call nlpmin2 is given. G must be of size mmax where mmax = max(1,m). The size of G is tested after program test returns. Arrays df and dg can be allocated to size df(n) and dg(mmax,n) before call nlpmin3 is given. After program grad returns, the sizes are checked. NLSTART - Generate starting values for NL routines. call nlstart(a,b,k,s); The NLSTART command allows generation of a grid of starting values that can be passed to the nonlinear routines to systematically test for a local vs global minimum. Arguments: a = Vector or array of N points which define the lower bounds on the search region for parameter i. b = Vector or array of N points which define the upper bounds on the search region for parameter i. k = Number of points to be generated. s = n by k matrix containing the values to be used as initial guess to nonlinear routine. Useage: Assuming the model contained 2 parameters, the code n=2; k=10; a=array(n:1. 1.); b=array(n:3. 2.); call nlstart(a,b,k,s); do i=1,k ss=s(,i); call nllsq(y,yhat :name test1 :parms aa bb :ivalue ss :print result); enddo; will test the results starting from 10 positions in the grid. NLVARCOV Nonlinear LS Variance Covariance call nlvarcov(resvar,pcorr,se,varcov); Nonlinear LS Variance Corariance subroutine nlvarcov(resvar,pcorr,se,varcov); /; /; /; resvar = Residual variance %RESVAR from NLLSQ /; /; pcorr = Correlation Matrix of Coef %CORRMAT from NLLSQ /; /; se = SE of parameters. %SE from NLLSQ /; /; varcov = Variance Covariance Matrix For a test case see Gallant(1987) p 34 s^2*c(i,j)=se(i)*se(j)*p(i,j) Usage call nlvarcov(%resvar,%corrmat,%se,varcov); Test Program: tnllsq /$ OLS Model estimated using nonlinear methods /$ Model taked from Gallant (1987) page 35 b34sexec options ginclude('b34sdata.mac') member(rgtab_1); b34srun; b34sexec matrix; call loaddata; call load(nlvarcov); * R. Gallant (1987) Page 35 --- Nonlinear Models ; * Parameters SE ; * -0.02588970 .01262384 ; * 1.01567967 .00993793 ; * -1.11569714 .16354199 ; * -0.50490286 .02565721 ; * Starting values suggested by Gallant ; program model1; call echooff; yhat=t1*x1 + t2*x2 + t4*dexp(t3*x3); call outstring(3,3,'Coefficients'); call outstring(3,4,'t1 t2 t3 t4'); call outdouble(14,4,t1); call outdouble(34,4,t2); call outdouble(50,4,t3); call outdouble(14,5,t4); return; end; call print(model1); /$ Note: Without The Gallant starting values we go to a /$ local minimum /$ Can start with .0001 .0001 and -1. -1. to get to /$ answers. This is close to what Gallant suggests call nllsq(y,yhat :name model1 :parms t1 t2 t3 t4 :eps2 .1d-13 :eps1 .1d-13 /$ These are Gallant's starting values /$ :ivalue /$ array(4:-.048866,1.03884,-.73792,-.51362) /$ If parameter # 3 is not set < 0 => problems /$ :ivalue array(4: .0001,.0001,-1.0,-1.0) :ivalue array(4:.1, 1., -.1, .1) :diff array(4: .1d-9 .1d-9 .1d-9 .1d-9) /$ :flam 1.0 :flu 20. :print result residuals); call graph(%res); /$ call print(nlvarcov); * See Gallant (1987) page 36 ; call nlvarcov(%resvar,%corrmat,%se,varcov); call print(varcov); b34srun; NOHEADER Turn off header call noheader; Turns off page numbering inside matrix command. call header; Turns on page numbering a forces a new page. OLSQ - Estimate OLS, MINIMAX and L1 models. call olsq(x x1 x2); Does OLS and optionally L1 and MINIMAX. The variables x, x1 and x2 can be real*8 or real*16. Real*16 capability is designed to handle difficult problems. Cholesky factorization is used to perform calculations although the QR approach is an option. Recursive residuals can be optionally calculated. The recursive residual options gives both moving coefficients and t scores. Options: :print - to print results :noint - to estimate model without intercept. :diag - to print diagnostic data :L1 - to perform L1 estimation. :Minimax - to perform Minimax estimation :qr - Use QR to get OLS results. This option takes more space and is slower and should only be used when more accuracy is needed. The LINPACK routines DTALSQ, DQRDC and DQRSL are used. SE's use the Cholesky R from the QR and DPODI. As needed real*16 versions of the above routines are used. :eps - Rank check in QR for stable problem. The Fortran function epsilon( ) is used to set the eps to use in real*8 and real*16 calculations. On an Intel chip these values are 2.220446049250313E-16 and 1.9259299443872358530559779425849273E-0034 for real*8 and real*16 respectively. The below listed code isolates the stable problem k=0 m=min0(n,p) do kk=1,m if(dabs(x(kk,kk)).le.eps*dabs(x(1,1))) * go to 30 k=kk enddo 30 continue In practice eps may have been set too aggressively. As a result care must be taken and coefficients must be inspected closely. The advantage os this "aggressive" setting of eps is that the multicolinear coefficients will be obvious. :white - Get White SE and t and save in %whitese and %whitet. :white1 - Get White SE and t using variant formula # 1. Results saved in %whitese and %whitet. :white2 - Get White SE and t using variant formula # 2. Results saved in %whitese and %whitet. :white3 - Get White SE and t using variant formula # 3. Results saved in %whitese and %whitet. For details on alternative formulas see Davidson-MacKinnon (2004) page 199-200. See also Greene (2003) page 220 which gives added detail. Note: Newey-West SE for OLS models with autocorrelation can be calculated with the NW_SE subroutine which can be loaded from the staging2.mac library. The routine can be called directly or can be called with the RNW_SE program. For an example see below. :savex - Saves the X matrix in %X. This is useful for TAR modeling. :sample mask - Specifies a mask real*8 variable that if = 0.0 drops that observation. Unless the mask is the number of obs after any lags, an error message will be generated. The sample variable must be used with great caution when there are lags. A much better option is :holdout. :holdout n - Sets number of observations to hold out. This is useful for model validation purposes. Note: :sample option cannot be used with :holdout. Note: The :influence command which is an alias for the :outlier command provides a number of tests to determine if the results are unduely sensitive to a given observation. This capability is also available in SAS in the REG command. :outlier - Calculates a number of leverage tests for the effect of a single observation. For details see Greene (2000, 263-264). If this option is given, :savex is automatically enabled. Note: Values calculated with this option are: %YHAT_I - Predicted Y given beta %HI - A N element vector consisting of the diagonal elements of x(i)'(X'X)**-1 x(i) where X'X is defined over the full sample. This is what SAS reports for HI %HI_I - Same as %HI except X'X is calculated dropping the ith observation. %STD_I - e(i)/sqrt(sigmasq*(1-%HI_I)) SAS uses %std2_e =(%y-%yhat)/dsqrt(%resvari*1.0-%HI); %BETA_I - N by K matrix of beta values calculated without ith observation. %E_I - Error Vector calculated using %y-%X*%ALT_BETA %RESVARI - Sigma squared using %E_I %DEFITS - (%yhat - %yhat_I) /sqrt(%RESVARI*%HI_I)). SAS uses (%yhat - %yhat_I) /sqrt(%RESVARI*%HI)) %VAR_E_I - %SI_SQ*(1-%HI_I) %E2_i - %E_I / sqrt(%RESVARI*(1-%HI_I)) :rr maxord - Calculates recursive residuals for up to maxord for the problem solved with OLS. Note: For a discussion of recursive residuals see the RR command and Stokes (1997) Chapter 9. Values calculated with this option are: %RROBS - Recursive residual observation base. %RR - a (N-K) by maxord matrix of recursive residuals. %RRSTD - a (N-K) by maxord matrix of standardized recursive residuals. %RRCOEF - a (N-K) by K matrix of resursive coefficients. %RRCOEFT - a (N-K) by K matrix of t statistics %SSR1 - e'e going forward. N-2K obs %SSR2 - e'e going backwards. N-2K obs Note: Due to the fact that t's are calculated, the speed of the :RR option is such that if the number of observations is > 10,000 there will be a substantial speed loss on the order of being 3 times slower than RR command. Full condition checking is done to insure there is less likelihood of accuracy issues. The RR command uses update formulas wherever possible. See RRPLOTS subroutine for Graphical display of results. Lags can be entered as x{1} or x{1 to 20} Values automatically saved are: %YVAR - Name of left hand variable. %NAMES - Names of exogenous variables. %LAG - Lag of exogenous variable. %COEF - Vector of coefficients. %SE - SE of Coefficients. %WHITESE - White SE is calculated if :white has been set. %WHITET - White T is calculated if :white has been set. %VARCOV2 - White calculation of Variance-Covariance Note usual varcov = %resvar*%xpxinv %T - t values of coef. %RSS - Residual sum of sq. %SUMRE - Sum absolute residuals %REMAX - Maximum absolute residual %RESVAR - Residual Var. %RSQ - Center R**2 %LLF - Log Likelihood. Calculated as: (T/2)*(dlog(2*pi()) + dlog(%rss/T) + 1.0) %ADJRSQ - Adjusted R**2. Note: %adjrsq=%rsq -(((K-1)/(T-K))*((1.-%rsq) %RCOND - 1 / Condition of XPX %NOB - # of obs in model. %K - # right hand var. %XPXINV - (X'X)**-1 %YHAT - Estimated Y %Y - Y variable. Same # obs as YHAT %X - X matrix. Saved if :savex in effect. %RES - Residual %F - F Test F=F(%K-1,%nob-%K) %FSIG - Significance of %F %AMXLK - -2 * ln(MLF) %AICSTAT - Akaike (1973) %SICSTAT - Scwartz (1978) %FPETEST - Akaike (1970) Finite Prediction Error %GVCTEST - Generalized Cross Validation %HGTEST - Hannan - Quinn (1979) %SHTEST - Shibata %RICETST - Rice Test Note: If lags are present then based on minimum lag the following is saved. This will not occur if future right hand side variables are present and :holdout is not present. %XFOBS - Observation number. %XFUTURE - Same as %x but for out of sample data that is available. Values created if :L1 option given %L1COEF - L1 Coefficients %L1SUMRE - Sum absolute error for L1 %L1RES - L1 Residuals %L1YHAT - L1 estimated y %L1RSS - L1 Residual Sum of squares %L1REMAX - L1 Maximum abs(residual) Values created if :MINIMAX option given %MMCOEF - MINIMAX Coeficients %MMSUMRE - Sum absolute error for Minimax %MMRES - MINIMAX Residuals %MMYHAT - MINIMAX estimated y %MMRSS - MINIMAX Residual sum of squares %MMREMAX - MINIMAX Maximum abs(residual) For further detail see Ramanathan (1998, page 165). No output is given unless an error has occured. The following code might be used to display results: call print('Model of ',%yvar); call tabulate(%names,%LAG,%coef,%se,%t); call tabulate(x,%yhat,%res); If printing is desired, use form call olsq(x x1 x2 :print); The OLSQ command can be used to filter data. For example to filter with an AR(20) model and display the results: call olsq(x x{1 to 20}); call graph(%res); call graph(acf(x)); call graph(acf(%res)); If a matrix is used for the right hand side, no additional variables can be supplied as vectors or arrays. Example of a mask to remove males from the data to be used: notmale = (sex .eq. 1.); call olsq(y xx x2 x3 :sample notmale :print); Note: The mask must be the same number of observatioins as the final number of observations. The subroutines QUANTREG and MINIMAX use MAXF2 to estimate L1 and MINIMAX models. These routines produce SE's but are substantially slower than the built in MINIMAX and L1 commands. Examples: 1. Use of sample facility to estimate a TAR Model. See applpgm.mac member TAR_2. Note that the dataset is built BEFORE the mask is applied to insure that all lags are proper. In order to build mask we save the data using :savex. Due to differences in the lags in the four equation example, the mask has to be adjusted. This is done by adding a 0 at the end and doing a rolldown to place it at the beginning. b34sexec scaio readsca /$ file('/usr/local/lib/b34slm/findat01.mad') file('c:\b34slm\findat01.mad') dataset(d_gnp82); b34srun; b34sexec matrix; call loaddata; call names; call olsq(d_gnp82 d_gnp82{1 to 2} :savex :print); * replicate Pena-Tiao-Tsay (2002) page 276 - 279 ; mask1=(%x(,2).le.0.0); mask2=(%x(,2).gt.0.0); * replicate Pena-Tiao-Tsay(2002) page 279 ; mask11=((%x(,1).le.%x(,2)).and.(%x(,2).le.0.0)); mask21=((%x(,1).gt.%x(,2)).and.(%x(,2).le.0.0)); mask31=((%x(,1).le.%x(,2)).and.(%x(,2).gt.0.0)); mask41=((%x(,1).gt.%x(,2)).and.(%x(,2).gt.0.0)); * adjust mask11,mask31, mask41 for length; * Note that these equations have only one lag!!; * 0.0 in obs # 1 of mask => that that obs is killed; nnew=norows(mask11)+1; mask11(nnew)=0.0; mask11=rolldown(mask11); mask31(nnew)=0.0; mask31=rolldown(mask31); mask41(nnew)=0.0; mask41=rolldown(mask41); call tabulate(mask11,mask21,mask31,mask41); call olsq(d_gnp82 d_gnp82{1 to 2} :sample mask1 :print); call olsq(d_gnp82 d_gnp82{1 to 2} :sample mask2 :print); call olsq(d_gnp82 d_gnp82{1 } :sample mask11 :print); call olsq(d_gnp82 d_gnp82{1 to 2 } :sample mask21 :print); call olsq(d_gnp82 d_gnp82{1 } :sample mask31 :print); call olsq(d_gnp82 d_gnp82{1 } :sample mask41 :print); b34srun; 2. Recursive Residual Analysis b34sexec options ginclude('b34sdata.mac') macro(eeam88)$ b34seend$ b34sexec matrix; call loaddata; call load(rrplots); call olsq( lnq lnk lnl :rr 1 :print); call print(%rrcoef,%rrcoeft); list=0; call rrplots(%rrstd,%rss,%nob,%k,%ssr1,%ssr2,list); b34srun; 3. Forecasting b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; r16gasin=r8tor16(gasin); r16gasot=r8tor16(gasout); idumpmat=0; call olsq(gasout gasin :savex :print); xxr8=%x; call olsq(r16gasot r16gasin :savex :print); xxr16=%x; if(idumpmat.ne.0)call print(xxr8,xxr16); maxlag=9; do i=1,4; call print('******** Forecasts out ',i:); call olsq(gasout gasout{i to maxlag}, gasin{i to maxlag} :savex :print); xx1=%x; if(idumpmat.ne.0)call print(xx1,%xfobs,%xfuture); f1=%xfuture*%coef; call tabulate(%xfobs,f1); call olsq(r16gasot r16gasot{i to maxlag} r16gasin{i to maxlag} :savex :print); xx2=%x; if(idumpmat.ne.0)call print(xx2,%xfobs,%xfuture); ff1=%xfuture*%coef; ff1=r16tor8(ff1); call tabulate(%xfobs,ff1); enddo; b34srun; 4. Newey-West SE Example from Greene (ed 4) b34sexec options ginclude('greene.mac') member(a13_1); b34srun; b34sexec matrix; call loaddata; call load(rnw_se :staging); call olsq(realnvst realgnp realint :white :savex :print); call echooff; call rnw_se; /$ Direct call user sets lag to 5 lag=5; damp=1.0; call nw_se(%names,%lag,%coef,%xpxinv,%res, damp,%x,%se,%whitese,%nwse,lag,nw,white,1); b34srun; 5. Outlier Detection /; Job identifies that obs 19 seems to make a difference %b34slet runsas=0; %b34slet runr16=1; b34sexec options ginclude('b34sdata.mac') member(res72); b34srun; b34sexec matrix; call loaddata; call olsq(lnq lnl lnk :print :outlier ); /; get SAS defits and std of error %defits2=(afam(%yhat)-afam(%yhat_i))/ dsqrt(afam(%resvari)*afam(%hi)); %std2_e =afam(%y-%yhat)/ dsqrt(afam(%resvari)*afam(1.0-%hi)); call tabulate(%hi,%hi_i,%std_e,%std2_e,%e_i,%defits, %defits2,%e2_i,%yhat_i,%resvari); call print(%beta_i); %b34sif(&runr16.eq.1)%then; lnq=r8tor16(lnq); lnl=r8tor16(lnl); lnk=r8tor16(lnk); call olsq(lnq lnl lnk :print :outlier :print); call tabulate(%hi,%hi_i,%std_e,%std2_e,%e_i,%defits, %defits2,%e2_i,%yhat_i,%resvari); call print(%beta_i); %b34sendif; b34srun; %b34sif(&runsas.eq.1)%then; b34sexec options open('testsas.sas') unit(29) disp=unknown$ b34srun$ b34sexec options clean(29) $ b34seend$ b34sexec pgmcall idata=29 icntrl=29$ sas $ * sas commands next ; pgmcards$ proc reg; model lnq=lnk lnl/ influence; run; b34sreturn$ b34srun $ b34sexec options close(29)$ b34srun$ b34sexec options dodos('start /w /r sas testsas' ) dounix('sas testsas' ) $ b34srun$ b34sexec options npageout noheader writeout(' ','output from sas',' ',' ') writelog(' ','output from sas',' ',' ') copyfout('testsas.lst') copyflog('testsas.log') dodos( 'erase testsas.sas', 'erase testsas.lst', 'erase testsas.log') dounix('rm testsas.sas', 'rm testsas.lst', 'rm testsas.log') $ b34srun$ b34sexec options header$ b34srun$ %b34sendif; 6. Future value examples. The theory underlying many models requires future values on the right. This will drop the most recent data values. An example of this follows. Note that the form x{-6 to -1} will not work since the parser will attempt to calculate "to -1" and find to non a variable. The solution is: x{6 to sfam(-1)} that forces conversion of the -1 value to a temp variable. %b34slet dorats=1; b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; /; usual case call olsq(gasout gasin{1 to 6} gasout{1 to 6} :print :savex); /; future only call olsq(gasout gasin{-1} :print :savex); /; Lags both directions call olsq(gasout gasin{-6 to 6} gasout{-6 to sfam(-1)} gasout{1 to 6} :print :savex); b34srun; %b34sif(&dorats.ne.0)%then; b34sexec options open('rats.dat') unit(28) disp=unknown$ b34srun$ b34sexec options open('rats.in') unit(29) disp=unknown$ b34srun$ b34sexec options clean(28)$ b34srun$ b34sexec options clean(29)$ b34srun$ b34sexec pgmcall$ rats passasts pcomments('* ', '* Data passed from B34S(r) system to RATS', '* ', "display @1 %dateandtime() @33 'Version ' %ratsversion()" '* ') $ PGMCARDS$ * linreg gasout # constant gasin{1 to 6} gasout{1 to 6} linreg gasout # constant gasin{-1} linreg gasout # constant gasout{-6 to -1} gasout{1 to 6} gasin{-6 to 6} b34sreturn$ b34srun $ b34sexec options close(28)$ b34srun$ b34sexec options close(29)$ b34srun$ b34sexec options dodos('start /w /r rats32s rats.in /run') dounix('rats rats.in rats.out')$ B34SRUN$ b34sexec options npageout WRITEOUT('Output from RATS',' ',' ') COPYFOUT('rats.out') dodos('ERASE rats.in','ERASE rats.out','ERASE rats.dat') dounix('rm rats.in','rm rats.out','rm rats.dat') $ B34SRUN$ OLSPLOT Plot of Fitted and Actual Data & Res subroutine olsplot(yhat,y,res,cc); /; /; Builds a residual and data and fitted plot /; Graph placed on clipboard /; /; yhat - forefast series /; y - actual series /; res - residual /; cc - Character String /; /; ******************************************* /; Builds a residual, data and fitted plot OLSPLOT is a subroutine and requires call load(olsplot); be given to load the command. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(olsplot); call olsq(gasout gasin{1 to 6} gasout{1 to 6}); call character(cc,'Gasout Model'); call olsplot(%yhat, %y, %res, cc); b34srun; OPEN - Open a file and attach to a unit. call open(n,'file'); Opens file for reading on unit n. It is suggested that units above 70 be used. If a unit used by b34s is used, unpredictable results can occur! Example: call open(71,'c:\mydata\proj1.dat'); OUTDOUBLE - Display a Real*8/real*16 value at a x, y on screen. call outdouble(ix,iy,d); Outputs real*8 or real*16 value d at col ix and row iy. Uses help window unless screenouton is in effect and OUTDOUBLE is disabled. SETWINDOW can redirect window. VPA data can also be displayed if it is converted to real*8 ot real*16. Examples: call outdouble(1,2,d); call outstring(1,2,'Rsquare'); call outdouble(10,2,d); The default format is g16.8. An optional 4th argument can control the format. call outdouble(ix,iy,d,'(f8.2)'); Note: The b34s2 batch command will produce graphs in a batch job but will not display the results of matrix commands on the screen because the proper windows have not been open. To use OUTDOUBLE requires that B34S be in the Display Manager. Example: b34sexec matrix; call message('Illustrates MESSAGE','Testing Message',jj); call print('Message returns',jj); call cls(3); /$ clear message call cls(2); call outstring(3,3,'This is at 3,3',:); call cls(4); call outstring(3,4,'This is at 3,4'); call cls(5); call outstring(3,5,'This is at 3,5'); call cls(6); call outstring(3,6,'int 123 at 40,6'); jj=123; call outinteger(40,6,jj); call stop(pause); xx=dsqrt(12.88); call outstring(3,2,'(12.88)**.5 printed on 3-6 rows'); do i=3,6; call cls(i); call outdouble(3,i,xx); enddo; call stop(pause); b34srun; OUTINTEGER - Display an Integer*4 value at a x, y on screen. call outinteger(ix,iy,int); Outputs integer int at col ix and row iy. Uses help window unless screenouton is in effect and OUTINTEGER is disabled. SETWINDOW can redirect window. Examples: call outinteger(1,2,n); call outstring(1,2,'Iteration'); call outinteger(10,2,int); Assuming int = 10, the above writes Iteration 10 The default format is I10. An optional 4th argument controls the # of digits. Use with caution to avoid overflows. Note: The b34s2 batch command will produce graphs in a batch job but will not display the results of of matrix commands on the screen because the proper windows have not been open. To use OUTDOUBLE requires that B34S be in The Display Manager. Example: b34sexec matrix; call message('Illustrates MESSAGE','Testing Message',jj); call print('Message returns',jj); call cls(3); /$ clear message call cls(2); call outstring(3,3,'This is at 3,3',:); call cls(4); call outstring(3,4,'This is at 3,4'); call cls(5); call outstring(3,5,'This is at 3,5'); call cls(6); call outstring(3,6,'int 123 at 40,6'); jj=123; call outinteger(40,6,jj); call stop(pause); xx=dsqrt(12.88); call outstring(3,2,'(12.88)**.5 printed on 3-6 rows'); do i=3,6; call cls(i); call outdouble(3,i,xx); enddo; call stop(pause); b34srun; OUTSTRING - Display a string value at a x, y point on screen. call outstring(ix,iy,char); Outputs string char at col ix and row iy. Uses help window unless screenouton is in effect and OUTSTRING is disabled. SETWINDOW can redirect window. If the character : is placed last, internal window info is placed in log. Example: call outstring(1,2,'Working on solution'); Note: The b34s2 batch command will produce graphs in a batch job but will not display the results of matrix commands on the screen because the proper windows have not been open. To use OUTDOUBLE requires that B34S be in the Display Manager. Example: b34sexec matrix; call message('Illustrates MESSAGE','Testing Message',jj); call print('Message returns',jj); call cls(3); /$ clear message call cls(2); call outstring(3,3,'This is at 3,3',:); call cls(4); call outstring(3,4,'This is at 3,4'); call cls(5); call outstring(3,5,'This is at 3,5'); call cls(6); call outstring(3,6,'int 123 at 40,6'); jj=123; call outinteger(40,6,jj); call stop(pause); xx=dsqrt(12.88); call outstring(3,2,'(12.88)**.5 printed on 3-6 rows'); do i=3,6; call cls(i); call outdouble(3,i,xx); enddo; call stop(pause); b34srun; PAD Pad a 1D Real*8 Series on both ends call pad(oseries,nseries,nleft,nright,value); Routine pads series to line up with another series subroutine pad(oseries,nseries,nleft,nright,value); /; /; Routine pads oseries to line up with another series /; oseries => Old series /; nseries => New Series /; nleft => # to pad on left /; nright => # to pad on right /; value => pad value, usually missing /; Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call load(pad); call print(pad); call pad(gasout,ngasout,10,20,missing()); call tabulate(gasout,ngasout); b34srun; Test Program: TPAD PCOPY - Copy an object from one pointer address to another call pcopy(n,ipt1,inc1,ipt2,inc2,kind); Copies from pointer ipt1 to pointer ipt2. Inc1 and inc2 are usually 1 and represent the incrument. Kind is set: -1 character*1 -4 integer 4 real*4 8 real*8 -8 character*8 16 complex*16 Pcopy should be used with caution. Ipt1 and ipt2 addresses are NOT checked. The built in function pointer can be used to obtain the address of a variable to copy. This routine is intended for the expert b34s user. See also the command call(copy(in,out); Example # 1: b34sexec matrix; x=array(:integers(20)); newx=array(30:); ip1=pointer(x); ip2=pointer(newx); call print('pointer(x)',ip1,'pointer(newx)',ip2); call print(pointer(x,4)); * places x 1-10 in locations starting at 4 in newx; call pcopy(10,pointer(x),1,pointer(newx,4),1,8); call tabulate(x,newx); b34srun; b34sexec matrix; * Illustrates pointer and pcopy ; n=3; x=matrix(n,n:1 2 3 4 5 6 7 8 9); call print(x); y=55.; call pcopy(1,pointer(y),1,pointer(x,2),1,8); call print(x); call pcopy(2,pointer(y),0,pointer(x,4),2,8); call print(x); b34srun; Example # 2: /$ /$ Shows moving a real*16 value in a real*8 work array /$ Uses a real*8 array to look at bits!! /$ b34sexec matrix; x=array(2:); y=10.0; y=r8tor16(y); yy=y; y=r8tor16(12.8); call print('is yy 10.? ',yy); call pcopy(2,pointer(y),1,pointer(x), 1,8); call pcopy(2,pointer(x),1,pointer(yy),1,8); call print('is yy 12.8.? ',yy); call displayb(x); call names(all); call displayb(yy); b34srun; PERMUTE - Reorder Square Matrix call permute(oldm,newm,1,2); Reorders a square matrix subroutine permute(oldmat,newmat,jold,jnew); /$ /$ Reorder square matrix /$ /$ oldmat = old matrix /$ newmat = new matrix /$ iold = old col /$ inew = new col /$ /$ Built 7 May 2003 by Houston H. Stokes Example: b34sexec matrix; call load(permute); * Problem 5 in Greene (2003) Chapter 15; * Illustrates ols from moment matrix; * Assume 25 obs; * y1=g1*y2 + b11*x1 ; * y2=g2*y1 + b22*x2 + b32*x3 ; * matrix order is y1 y2 x1 x2 x3 ; mm=matrix(5,5: 20 6 4 3 5 6 10 3 6 7 4 3 5 2 3 3 6 2 10 8 5 7 3 8 15); * OLS ; x1 =submatrix(mm,2,3,2,3); x1py1=submatrix(mm,2,3,1,1); call print(x1,x1py1); d1=inv(x1)*x1py1; call print('OLS eq 1 ',d1 ); call print('Answers .439024 .536585':); * We reorder Moment Matrix; * Old Order y1 y2 x1 x2 x3; * New Order y2 y1 x2 x3 x1; call echooff; call permute(mm,mm2, 1,2); call permute(mm2,mm3,3,4); call permute(mm3,mm4,4,5); call print(mm,mm2,mm3,mm4); call echoon; x2 =submatrix(mm4,2,4,2,4); x2py2=submatrix(mm4,2,4,1,1); call print(x2,x2py2); d2=inv(x2)*x2py2; call print('OLS eq 2 ',d2 ); call print('Answers .193016 .384127 .19746':); b34srun; PISPLINE - Pi Spline Nonlinear Model Building call pispline(y x1 x2; Controls estimates of a underlying smooth function of M variables (x(1),...,x(m)) using noisy data based on methods suggested by Leo Breiman. Basic references are: Breiman, Leo, "The PI Method for Estimating Multivariate Functions From Noisy Data," Technometrics, May 1991, Vol. 33, No. 2. pp 125 - 160. Note that this citation includes comments by Friedman, Gu, Hastie & Tibshirani and a reply by Breiman. Lags can be entered as x{1} or x{1 to 20} Notes: The PISPLINE command allows the user to optionally save or reread an estimated model. The advantage of saving models is that forecasts can be calculated without having to estimate the model again if in subsequent steps the get model option is used. In order to preserve variable storage, the order and number of the variables on forecast matrix MUST be the same as the initially saved model for a saved model to be used. Technical Notes: Each right hand side variable is discretized into NG equispaced values. XG(i,j,k) gives the value at the ith point of the transform of the jth variable in the kth product. yhat =prod(XG(i1,1,1 )*XG(i2,2,1 ),..,XG(in,MV,1)) + ... + prod(XG(i1,1,NG)*XG(i2,2,NG),..,XG(in,MV,NG)) %yg yg(ng,ng) measures the surface fit. This option is only possible if there are exactly 2 variables on the right. Options for PISPLINE sentence. :print If this is not set there is no output. :sample mask - Specifies a mask real*8 variable that if = 0.0 drops that observation. Do not use this option with lags. Use :holdout instead. :holdout n - Sets number of observations to hold out. Note: :sample cannot be used with :holdout. :outputxg - Produces %xg :outputyg - Produces %yg :pmodel - Produces model description matrices. :savemodel - Saves the estimated model on unit modelunit. :murewind - Rewinds MODELUNIT before the model is saved. :getmodel - Rereads a saved model off unit MODELUNIT. :center=r1 - r1 is substracted from each Y-value before the the fitting process and added back in later in the evaluation. If CENTER is not set, the mean of Y is used. :kmb i1 - Lower bound on number of knots to try fitting. Must be > 1. Default=2. :kmt i2 - Upper bound on knots to try fitting. Default=kmb + 5. :mnfit i3 - Maximum number of products to be fitted. Default=3. :ng i4 - Number of equispaced values at which the unidimensional fits are evaluated. Default = 50. Minimum = 20. The larger NG, the better the forecast approximation. :jrdf i5 - Deletion is terminated when the remaining degrees of freedom falls below or is equal to jrdf. Default=-1. :th r2 - Parameter in the criterion for convergence of the iteration. A smaller th leads to more iterations. Default = .02D+00. :edth r3 - A parameter used in deletion. The smaller edth the less likely multiple knots will be deleted in one pass. Default = .1D+00. :cpth r4 - A parameter used in selecting models. Must be in range 0-10. A higher cpth causes more deleted models to be selected. Default = 0.0D+00. :radd r5 - A parameter that governs how many products are selected. Larger values favor selection of fewer products. Default = 1.0D+00. :modelunit i6 - Sets save/get model unit. Default = 60. :smodeln k1 - Sets the model name. Default = 'PISPMODEL'. A max of 10 characters can be supplied. :mcomments array - Allows user to set model comments when the model is saved. A maximum of 10, lines of a max of 80 characters is allowed. The command call char1(c,'Line one' 'line two' 'line three'); can be used to make the array. :forecast xmatrix - The forecast option allows users to supply observations on the right hand side variables outside the sample period so that forecasts can be calculated. The same number of observations must be supplied for all right hand series. Due to the way that splines are calculated, it is imperative that any values of the x variables NOT lie outside the ranges of the original data. The forecast sentence produces the %fore variable the %foreobs variable. :nointerpol - The default setting is to interpolate the XG(N,M,IT) values before the products indicated in the discussion of :outputxg are performed. If :nointerpol is specified, then no interpolation is performed. In general the larger NG, the less interpolation is needed. Since forecasts are produced from the XG matrix, if actual values are supplied, the "forecasts" will differ from the "residuals" for the same observation because of the use of the XG matrix. :nocorner - The default is to set right-hand side variables outside their ranges for the training dataset to their upper or lower bounds, give a message and calculate a forecast. If :nocorner is set, a message is given and the forecast is set to missing. Variables Created %YVAR - Name of left hand var. %NAMES - Names of exogen. var. %LAG - Lag of independent variable %K - # on right %NOB - # of observations in model %RSS - Residual sum of sq. %SUMRE - Sum absolute residuals %REMAX - Maximum absolute residual %RESVAR - Residual Var. %YHAT - Estimated Y %Y - Y variable. Same # obs as YHAT %RES - Residual %NAMES - Names of exogen. var. %LAG - Lag of independent variable %K - # on right %xg - xg(n,m,it) n=1,ng m = 1, numvar, it=1,nproducts %ng - Dimension # 1 of %xg %numvar - Dimension # 2 of %xg %nprod - Dimension # 3 of %xg In these examples both PISPLINE and Matrix PISPLINE shown Simple Example b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; /$ Both PISPLINE Commands shown b34sexec pispline; model gasout = gasin; b34srun; b34sexec matrix; call loaddata; call pispline(gasout gasin :print); call names(all); call graph(%res :heading 'Residual from pispline'); call graph(%y %yhat:heading 'Fit from Pispline'); b34srun; Example using Forecasting without a saved model. Second example uses a saved model b34sexec options ginclude('b34sdata.mac') member(breiman); b34srun; /$ both pispline commands shown b34sexec pispline center=2.526 pmodel$ forecast c_ratio(12. 12.) e_ratio(.907 .761)$ model y = e_ratio c_ratio$ b34seend$ b34sexec matrix; call loaddata; * We forecast 2 insample data points ; npred=2; xin=matrix(npred,3:); xin(1,1)=.907 ; xin(1,2)= 12. ; xin(1,3)= 1.0 ; xin(2,1)=.761 ; xin(2,2)= 12. ; xin(2,3)= 1.0 ; call print(xin ); call names(all); call pispline(y e_ratio c_ratio :pmodel :print :center 2.526 :forecast xin ); /$ Saved Model setup call tabulate(%y %yhat %res y e_ratio c_ratio); call tabulate(%fore %foreobs); call open(60,'junk.mod'); call pispline(y e_ratio c_ratio :print :center 2.526 :savemodel :murewind); call pispline(y e_ratio c_ratio :print :center 2.526 :getmodel :forecast xin ); call tabulate(%fore %foreobs); b34srun; PLOT - Line-Printer Graphics call plot(x,y :opts) Line printer plots. PLOT command should be used if high resolution graphics are not available. Up to ten series can be passed. All series must be same length. Advanced PLOT features :xyplot plots series 2,..,8 against x :heading 'Up to 72 characters' :xlabel 'Up to 36 characters' :ylabel 'Up to 36 characters' :char 'abcdefghi' sets plot char :col132 plot using 132 columns Examples of PLOT command call plot(x,y); call plot(x,y,z :xyplot); call plot(x,y :char 'xy') For a related command see graph. POLYFIT Fit an nth degree polynomial call polyfit(x,y,n,coef,printit); Fit an nth degree polynomial subroutine polyfit(x,y,n,coef,printout); /; /; x => input /; y => output /; n => order /; coef => coefficients /; printout => =0 no print, =1 print results /; Example: b34sexec matrix; call load(polyfit); call load(polyval); call print(polyfit,polyval); /$ Test case from Mastering Matlab 6 x=dfloat(integers(0,10))/10.; y=array(11:-.447,1.978,3.28,6.16,7.08,7.34, 7.66,9.56,9.48,9.30,11.2); xx=x*x; call olsq(y,x,xx:print); call tabulate(%yhat); call echooff; call polyfit(x,y,2,coef,1); call polyval(coef,x,yhat); call tabulate(x,y,yhat); b34srun; POLYMCONV Convert storage of a polynomial matrix call polymconv(:byorderin old iold new); call polymconv(:byvarin old new inew); Converts storage of a polynomial matrix :byorderin old index - sets old as pointing to a row * col * (order+1) object :byvarin old - sets old as row * (row*(order+1) Required :byvarin or :byorderin Note: For a :byorder object if we know the # rows and # cols and # of elements in the object we know the order. However the object pointed to can be a 1-D object. Example: b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call echooff; ibegin=1; iend=296; nlag=2; call olsq(gasin gasin{1 to nlag} gasout{1 to nlag} :print); b1=%coef; call olsq(gasout gasin{1 to nlag} gasout{1 to nlag} :print); b2=%coef; beta=matrix(2,norows(%coef):); beta(1,)=vfam(b1); beta(2,)=vfam(b2); /; /; Convert both ways /; call polymconv(:byvarin beta new inew); call polymconv(:byorderin new inew beta2); call print(beta,new,inew,beta2); call polymdisp(:display new inew); b34srun; POLYMDISP Display/Extract/Load a polynomial matrix call polymdisp(:display old iold); call polymdisp(:extract old iold oldterm index(irow icol iorder)); call polymdisp(:load old iold newterm index(irow icol iorder)); Display/Extract/Load a polynomial matrix old is assumed to be saved in :byorder form. iold is a three element integer array describing # rows # cols and # orders for old. If any one of the three integers supplied in index( ) is zero, the whole vector is extracted/loaded. Example: b34sexec matrix; * problem from Enders page 158; a=array(:2,1,0,6,1,0,1,1); ia=index(2,2,2); nterms=10; call echooff; call polymdisp(:display a ia); call polyminv(a,ia,ainv,iainv,nterms); call names(all); call print(%p,%det); call polymdisp(:display ainv iainv); call polymdisp(:display %adj %iadj); call polymmult(a ia ainv iainv test itest); call polymdisp(:display test itest); call polymdisp(:extract ainv iainv vec1 index(1,1,0)); call polymdisp(:extract ainv iainv vec2 index(2,1,0)); call polymdisp(:extract ainv iainv vec3 index(1,2,0)); call polymdisp(:extract ainv iainv vec4 index(2,2,0)); call names(all); call tabulate(vec1,vec2,vec3,vec4); b34srun; POLYMINV Invert a Polynomial Matrix call polyminv(a,ia,ainv,iainv,nterms); Invert a Polynomial Matrix a = n by n polynomial matrix of degree m where a is n*n*(m+1) ia = 3 element integer array where ia(1)=n ia(2)=n ia(3)=m+1 ainv = n by n polynomial of degree nterms-1 iainv = 3 element integer array where ia(1)=n ia(2)=n ia(3)=nterms Variables created: %adj adjoint of a %iadj index array for %adj %p Characteristic polynomial of a %ip index of %p %det determinant of a If nterms is not supplied, 20 is assumed. a is assumed to be saved in :byorder form. Example: b34sexec matrix; * problem from Enders page 158; a=array(:2,1,0,6,1,0,1,1); ia=index(2,2,2); nterms=10; call echooff; call polymdisp(:display a ia); call polyminv(a,ia,ainv,iainv,nterms); call names(all); call print(%p,%det); call polymdisp(:display ainv iainv); call polymdisp(:display %adj %iadj); call polymmult(a ia ainv iainv test itest); call polymdisp(:display test itest); call polymdisp(:extract ainv iainv vec1 index(1,1,0)); call polymdisp(:extract ainv iainv vec2 index(2,1,0)); call polymdisp(:extract ainv iainv vec3 index(1,2,0)); call polymdisp(:extract ainv iainv vec4 index(2,2,0)); call names(all); call tabulate(vec1,vec2,vec3,vec4); b34srun; POLYMMULT Multiply a Polynomial Matrix call polymmult(a,ia,b,ib,c,ic); Note: a and b are assumed to be in :byorder form. Example: b34sexec matrix; * problem from Enders page 158; a=array(:2,1,0,6,1,0,1,1); ia=index(2,2,2); nterms=10; call echooff; call polymdisp(:display a ia); call polyminv(a,ia,ainv,iainv,nterms); call names(all); call print(%p,%det); call polymdisp(:display ainv iainv); call polymdisp(:display %adj %iadj); call polymmult(a ia ainv iainv test itest); call polymdisp(:display test itest); call polymdisp(:extract ainv iainv vec1 index(1,1,0)); call polymdisp(:extract ainv iainv vec2 index(2,1,0)); call polymdisp(:extract ainv iainv vec3 index(1,2,0)); call polymdisp(:extract ainv iainv vec4 index(2,2,0)); call names(all); call tabulate(vec1,vec2,vec3,vec4); b34srun; POLYVAL Evaluates a nth degree polynomial call polyfit(coef,x,yhat); Evaluates a nth degree polynomial coef - Estimated coefficients from polyval x - Input series yhat - Output forecast Note: Polyval is a subroutine and must be loaded prior to use. Example: b34sexec matrix; call load(polyfit); call load(polyval); call print(polyfit,polyval); /$ Test case from Mastering Matlab 6 x=dfloat(integers(0,10))/10.; y=array(11:-.447,1.978,3.28,6.16,7.08,7.34, 7.66,9.56,9.48,9.30,11.2); xx=x*x; call olsq(y,x,xx:print); call tabulate(%yhat); call echooff; call polyfit(x,y,2,coef,1); call polyval(coef,x,yhat); call tabulate(x,y,yhat); b34srun; PP - Calculate Phillips Perron Unit Root test call pp(x,d); Returns Phillips Perron Test. Added options: :app n => augmented PP test :appt n => augmented PP with trend :zform => uses z-form of test :print => Print value and significance Automatic Variable Created %PPPROB - Probability of PP t test .05 => Cannot reject unit root at 95% .10 => Cannot reject unit root at 90% Example: The .05 critical value for N=100 is -1.95. This suggests that if the value found was -2.0 (-1.95) we could reject (could not reject) a unit root at the 95% level. The .10 critical value is -1.61. Using this standard we can reject a unit root. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call echooff; call print('Phillips-Perron Tests on Gasout'); call pp(gasout,p :print); n=30; app=array(n:); appt=array(n:); lag=array(n:); do i=1,n; call pp(gasout,a1:app i); call pp(gasout,a2:appt i); app(i)=a1; appt(i)=a2; lag(i)=dfloat(i); enddo; call print('Phillips-Perron test':); call tabulate(lag,app,appt); b34srun; PRINT - Print text and data objects. call print(x); Prints variables and text in any order. Examples include: call print('Some Message here'); call print('X was found to be ',x); Up to 400 objects can be printed with one statement. Print format is set with display=key on the statement b34sexec matrix; Optional keyword: :line - Prints text or text variable on one line. Variable must be kind=0 and must be real*4, real*8 or integer. Example call print('OLS Estimation' :line); call print('Using LINPACK ' :line); call print('Rsquared ',rsq :line); call print('# of Obs ',n :line); See also eprint and epprint. For printing under total user control, see fprint command. Note: If the option :line is used, there is no , before :line. If this is not followed there will be no print. Arrays and vectors are printed without numbers. Arrays and vectors can be repackaged as k,1 of 1,k 2-D objects if numbers are desired. As an example see x=rn(array(100:)); call print(x,matrix(100,1:x),matrix(1,100:x)); PRINTOFF - Turn off Printing call printoff; Turns off printing of results. The command call printon; starts the printing again. If screen output in in effect, this will be displayed. Unless call printon; is given, no output will be seen for B34S routines using the call byplin( ) routines. For the matrix command this is 100% of the commands. Note that call echooff; only turns off command listing, not printing. Example b34sexec matrix; do i=1,10; call print(i); enddo; * Now we run silently ; call echooff; call printoff; do i=1,10; call print(i); enddo; call printon; call print('We are done!!'); b34srun; PRINTON - Turn on Printing (This is the default) call printon; Turns off printing of results. The command call printon; starts the printing again. If screen output in in effect, this will be displayed. If call printoff; is given, unless call printon; is given later, no output will be seen for B34S routines using the call byplin( ) routines. For the matrix command this is 100% of the commands. Note that call echooff; only turns off command listing, not printing. Example b34sexec matrix; do i=1,10; call print(i); enddo; * Now we run silently ; call echooff; call printoff; do i=1,10; call print(i); enddo; call printon; call print('We are done!!'); b34srun; PRINTALL - Lists all variables in storage. call printall; Lists all variables currently in storage. This command is usually not used by anyone who is not a developer. See also call names(all); PROBIT Estimate a Probit Model on (0-1) data. call probit(y x1 x2); does Probit estimation. The variables y, x1 and x2 must be real*8. If only one right hand side variable is supplied it can be a matrix. The right hand side variables can be specified as x{1 to 4} to indicate lags. Options: :print - Print results. :printvcv - Print Variance - Coveriance matrix :secd - if want output of second derivatives matrix :nstrt i1 - beginning observation for output of calculated and actual dependent variable and density if nstrt = 0 program defaults to l :nstop i2 - ending observation for output of calculated and actual dependent variable and density. if nstop = 0 program defaults # of observations. :tola r1 - convergence tolerence,default = .0000l :iitlk - print log of likehood after each iteration :iiesk - print estimates after each iteration :savex - Saves the X matrix in %x. :sample mask - Specifies a mask real*8 variable that if = 0.0 drops that observation. Unless the mask is the number of obs after any lags, an error message will be generated. The sample variable must be used with great caution when there are lags. A much better option is :holdout. :holdout n - Sets number of observations to hold out. Variables created: %yvar - Name of left hand variable. %y - y variable adjusted for observations dropped %yhat - predicted y %names - Names of exogenous variables. %lag - Lag of exogenous variable. %coef - Estimated Coefficient. %se - Estimated SE. %t - Estimated t. %func - -2.0 times Log Likehood %funcsig - Significance of %func %dffunc - Degrees of freedom of %func %limits - # of zero dependent variables %rcond - 1 / conditon of variance covariance matrix. %hessian - Hessian matrix Note: If lags are present then based on minimum lag the following is saved %XFOBS - Observation number. %XFUTURE - Same as %x but for out of sample data that is available. Note: PROBIT analysis is only used when the left hand variable is 0 or 1 . For a further discussion of the Probit technique see Theil (1971) pp. 630-1. If the left hand variable has more than 2 categories, the MPROBIT option (b34sexec mprobit) can be used. The matrix call probit command uses the same logic as the b34sexec probit command Example showing all options: Note use of yhat=probnorm(%x*%coef); to generate forecasts. b34sexec options ginclude('b34sdata.mac') macro(murder)$ b34seend$ b34sexec matrix; call loaddata; call load(tlogit :staging); call echooff; call probit(d1 t y lf nw :print ); call tabulate(%names,%lag,%coef,%se,%t); upper=.5; lower=.5; iprint=1; call character(cc,'Tests on probit Model 1'); call tlogit(%y ,%yhat,upper,lower,cc,ntruer,ntruep nfalser,nfalsep,nunclear,ptruer,pfalser,iprint); call probit(d1 t{1} y{1} lf{1} nw{1} :print); call print('Probit model':); call tabulate(%names,%lag,%coef,%se,%t); upper=.5; lower=.5; iprint=1; call character(cc,'Tests on probit Model 2'); call tlogit(%y ,%yhat,upper,lower,cc,ntruer,ntruep nfalser,nfalsep,nunclear,ptruer,pfalser,iprint); call print(%func,%funcsig,%dffunc,%limits, %rcond,%hessian); call probit(d1 t y lf nw :print :secd :tola .1e-14 :iitlk :iiesk :savex :holdout 2); call print('Testing Y yhat error'); %error=%y-%yhat; yyhat=probnorm(%x*%coef); error=%y-yyhat; call names(all); call tabulate(%y,%yhat,%error,yyhat,error); call print(%xfuture); call print(probnorm(%xfuture*%coef)); b34srun; PVALUE_1 Present value of $1 recieved at end of n years call pvalue_1(iend,r,amount); Calculates the present value of $1.00 recieved at end of n years. pvalue_1 is a subroutine and has to be loaded. Arguments: iend = end period r = interest amount = Present value of $1 recieved at end of n years Usage call pvalue_1(2,.02,a); => for two years For a reference on usage see 'Managerial Economics' By Evan Douglas 4th Edition Example: b34sexec matrix; call print('PV of $1 recieved at end of n years'); call print('See Douglas table 1',:); call echooff; call load(pvalue_1); interest=.06; n=20; years=integers(n); pv=array(n:); do i=1,n; call pvalue_1(i,interest,a); pv(i)=a; enddo; call tabulate(years,pv :noobslist :title 'Present value of 6% recieved after n years'); b34srun; Test case: pvalue_1 PVALUE_2 Present Value of an Annuity of $1 call pvalue_2(iend,r,amount); Gives the Present Value of an Annuity of $1 Arguments: iend = end period r = interest amount = Present Value of an Annuity of $1 Usage call pvalue2(2,.02,a); => for two years Gets Present Value of an Annuity of $1 For detail see 'Managerial Economics By Evan Douglas 4th Ed. Example: b34sexec matrix; call print('PV of an Annuity of $1 after n years'); call print('See Douglas table 2',:); call echooff; call load(pvalue_2); call load(pvalue_1); sum=0.0; n=20; interest=.06; aa=array(n:); do i=1,n; call pvalue_2(i,interest,a); aa(i)=a; enddo; yearpays=integers(n); call tabulate(yearpays,aa :noobslist :title 'Present value of 6% annuity after n years'); b34srun; Test case: pvalue_2 PVALUE_3 Present value of $1 recieved throughout year call pvalue_3(ibegin,iend,r,amount); Calculates present value of $1 recieved throughout year. ibegin => begin period iend => end period r => interest amount => Present value of $1 recieved thoughout Year on a Daily basis Usage call pvalue_3(1,2,.02,a); => for two years Gets present value of $1. recieved throughout year See 'Managerial Economics By Evan Douglas 4th Edition Example: b34sexec matrix; call print( 'PV of $1 recieved througout year on daily basis',:); call print('Years Hence',:); call print('See Douglas table 3',:); call echooff; call load(pvalue_3); interest=.06; n=20; years=integers(n); pv=array(n:); do i=1,n; call pvalue_3(i,i,interest,a); pv(i)=a; enddo; call tabulate(years,pv :noobslist :title 'Present value of 6% annuity $1 daily'); b34srun; Test case: pvalue_3 QPMIN - Quadratic Programming. call qpmin(G,A,B,H neq); Solves Quadratic Programing problem of the form: min g'x + .5 * x'*Hx s.t. A1*x = b1 A2*x ge b2 Parameters: G = n coefficients of objective function. A = m by n equality (neq) and inequality constraints. Equality constraints are placed first. B = m right hand side linear constraints. H = n by n positive definite matrix. Options :print => Optionally will print results. Automatic Variables: %sol = Vector of length n containing solution %diag = scalar equal to multiple of identity matrix added to H to make it positive definite. %nact = Final # of active constraints. %iact = Location of final active constraints. %alamda = Vector of length n containing lagrange multiplier estimates of the final active constraints in first %nact locations. Example: b34sexec matrix; * answers should be vector of 1. ; * Problem came from IMSL ; ncon=2; nvar=5; neq= 2; a=matrix(ncon,nvar: 1., 1., 1., 1., 1., 0., 0., 1.,-2.,-2.); b=vector(ncon : 5.,-3.); g=vector(nvar :-2., 0., 0., 0.); h=matrix(nvar,nvar: 2., 0., 0., 0., 0. 0., 2.,-2., 0., 0. 0.,-2., 2., 0., 0. 0., 0., 0., 2.,-2. 0., 0., 0.,-2., 2.); call qpmin(g,a,b,h,neq :print); b34srun; The QPMIN command uses the IMSL routine DQ2ROG QUANTILE - Calculate interquartile range. call quantile(x,q,qvalue); Calculates the interquartile range. x = vector of elements to be tested. q = quantile value. qvalue = the quantile value. call quantile(x,.95,qvalue); gives the value of x such that 95% of the values are less than or equal to this value. To calculate the median give command. call quantile(x,.50,median); Optional arguments 4 and 5 give smaller and larger datum values. call quantile(x,q,qvalue,xlow,xhigh); QUANTREG - Calculate Quantile Regression. call quantreg; Calculates a Quantile Regression Note: quantreg is a program contained in matrix2.mac. Before use it must be loaded with: call load(quantreg); Example of use: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call echooff; call loaddata; call olsq(gasout gasin :l1 :minimax :print); call load(quantreg); * See if can get L1; iprint=1; theta=.5; y=gasout; x=matrix(norows(gasin),2:); x(,1)=1.0; x(,2)=vfam(gasin); call quantreg; call print('Sum absolute errors L1 (Theta = .5)', sumabs:); b34srun; Note: Only four arguments are required: iprint set = 0,1 for printing y left hand side x X matrix theta Theta value in range .01 - .99 For further detail see full QUANTREG example in matrix.mac and help document under TOOLKIT READ - Read data directly into MATRIX workspace from a file. call read(x,n); Reads defined object x from unit n. Optionally a format can be specified as the third argument. X must be real*8, real*4, real*16, integer*4, character*8 or character*1. VPA data of the form fm, fp, im, ip, zm & zp can be read. For an example see the test problem VPA1. If the buffer is greater than the number of data points the excess length is set to: For real*8, real*4, real*16 missing For integer*4, integer*8 -999999999 For Character*8 and Character*1 reads, a message is given if an end of file is found. The example files read1 and read2 illustrate advanced features of the read/write facility. I/O Package. If it is desired to read complex*16, or complex*32 the data can be read as real*8 or real*16 respectively and converted. Example I/O job from read1: b34sexec matrix; * Tests I/O package ; * Real*8, Integer, Character*1 & Character*8 are written and read back ; * Note: Before reading, structure of object must be known; n=1000; test=rn(array(n:)); call open(70,'testdata'); call write(test,70); tmean=mean(test); call print(tmean); i=integers(1,20); call write(i,70); call character(cc,'This is a test'); call write(cc,70); a=array(3:'joan','Margo','Nancy'); call write(a,70); call names(all); call free(test); call rewind(70); call close(70); call open(71,'testdata'); test2=array(n:); call character(cc,'this is less '); call read(test2,71); i=i+100; call read(i,71); call print(i); call read(cc,71); call print(cc); a(1)='bob'; call read(a,71); call print(a); tmean2=mean(test2); call print(tmean2); call names(all); b34srun; The job FORTRAN illustrates using the LF95 compiler to build data which is loaded into the B34S MATRIX command. The below listed job show trying to read more data than is there: b34sexec matrix; * attempting a read for more data that is there; n=10; test=rn(array(n:)); ii=integers(n); call open(70,'testdata'); call rewind(70); call write(test,70); tmean=mean(test); call print(tmean); call free(test); call rewind(70); call close(70); call open(71,'testdata'); n=20; test2=array(n:); call read(test2,71); call print(test2); tmean2=mean(goodrow(test2)); call print(tmean2); call names(all); call open(70,'testdata'); call rewind(70); call write(ii,70); call print(ii); call free(ii); call rewind(70); call close(70); call open(71,'testdata'); n=20; test2=idint(array(n:)); call read(test2,71); call print(test2); call names(all); b34srun; Example of reading from datacards /; /; Various data precision reads /; b34sexec matrix; datacards; 1.25 4.11 4. 2. b34sreturn; call load(ntokin :staging); call load(getvpa :staging); call echooff; x8=array(4:); x4=sngl(x8); x16=r8tor16(x8); x_vpa=vpa(x8); call read(x4,4); call rewind(4); call read(x8,4); call rewind(4); call read(x16,4); call rewind(4); c=c1array(72:); call read(c,4); call print(c); call ntokin(c,nn,0,ibad); call getvpa(c,nn,x_vpa,i); call print(x4,x8,x16,x_vpa); b34srun; REAL16 - Input real*16 variable in a Character String Creates a real*16 variable from Character string. This allows calculations to be made without the accuracy loss if real*8 data is moved to real*16. r16=real16('.9q+00'); Example: b34sexec matrix; r16= real16('.9q+00'); r16a=r8tor16(.9); call print('R16', r16:); call print('R16A' r16a:); call print('Difference ',(r16a-r16):); b34srun; REAL16INFO - Obtain Real16 info call real16info; Obtains real16 setting. For a test case look at Filippelli dataset in stattest.mac. REAL16OFF - Turn off Real16 add call real16off; Turns off real16add in ddot, dsum and dasum etc. For a test case look at Filippelli dataset in stattest.mac. REAL16ON - Turn on extended accuracy call real16on; Turns on extended accuracy add in a number of BLAS routines using IMSL routines dqadd and dqmult. If the argument :real16math is added: call real16on(:real16math); then internally full real*16 is used. This is slower due to the fact that real*16 math is not built into the chip and the mods to DDOT, DSUM and DASUM etc distroy the speed gains built into BLAS. The gain is increased accuracy in extreme problems. For a test case look at Filippelli dataset in stattest.mac. In many cases there will be no gain from increased accuracy in the calculation. REAL32OFF - Turn off Real*16 add call real32off; Turns off real*32 accuracy in in ddot, dsum and dasum etc. For a test case look at Filippelli dataset in stattest.mac. REAL32ON - Turn on extended accuracy for real*16 and complex*32 call real32on; Turns on extended accuracy add in a number of BLAS routines. For a test case look at Filippelli dataset in stattest.mac. REAL32_VPA - Turn on extended accuracy for real*16 using VPA. call real32_vpa; Turns on extended accuracy add in a number of BLAS routines. At a later date this may be extended to complex*32 improvements using VPA. This option slows down execution. For a test case look at Filippelli dataset in stattest.mac. RENAME - Rename an object call rename(x,object(x,2)); Renames an object. Example: Given x = existing object object(x,2) resolves to x2 The command call rename(x,object(x,2)); causes x to be renamed x2. Note the name x2 is not known at parse time. Note that the arguments to object can themselves be computed. xx='aa'; call rename(x,object(argument(xx),2)); renames x to aa2. Optional arguiment :global => place series at global level Note the name x2 is not known at parse time. Note: call rename(x,y); does not copy x into a variable y but rather copies x into a name contained in the variable y. This name should be a valid name. Example: b34sexec matrix; test1=object(x,y); test2=object(x,y,1); call names; call print(test1,test2); x=10.; y=40.; call rename(x,test1); call rename(y,object(p,v,0)); call names; call print(xy,pv0); b34srun; Note: eval is used to extract data from a "pointer.: test1=40.; cc='TEST1'; call print(eval(cc)); prints 40 since object builds a name on the fly. RESET - Calculate Ramsey (1969) regression specification test. call reset(x,rtest,ip,ik,prob) Calculates modified Ramsey (1969) reset (regression specification test) for the residual. The RES69 command is used for the usual RESET test The argument :print is optional. x => series rtest => reset test ip => # of lags. Must be in the range 1 - N-3*ip-3*ik ik => # of eq 2 powers on the lagged residual prob => Probability of test. (Optional argument) :print => Will give printed output. Notes: Takes the estimated residual and runs Eq 1 e(t) = f(e(t-1),...,e(t-ip)) + v Eq 2 e(t) = f(e(t-1),...,e(t-ip),((e(t-1)**2),..., (e(t-ip)**2),..., (e(t-1)**ik),..., (e(t-ip)**ik) + u Uses F test to test sig F(ik-1,n-ik) = ((v'v - u'u)/(ik-1)) /(v'v/(n-ik)) Reference: Ramsey, J. 'Tests for Specification Errors in Classical Linear Least Squares Regression Analysis', Journal of the Royal Statistical Society, Series B: 350-371 Example: b34sexec matrix; call echooff; call loaddata; call olsq(gasout gasin{1 to 6}:print); rr=%res; lower=2; do ik=2,6; do ip=lower,18; call reset(rr,tt,ip,ik,pp); j=ip-lower+1; test(j) =tt; prob(j) =pp; order(j)=ip; enddo; call print('Ramsey (1969) test for',ik); call tabulate(order,test,prob); enddo; /; alternate lower=2; do ik=2,6; do ip=lower,18; call reset(rr,tt,ip,ik :print); enddo; enddo; b34srun; RESET69 - Calculate Ramsey (1969) regression specification test. call reset69(y,x,rtest,prob,iorder,iprint) Calculates Ramsey (1969) reset (regression specification test) for the prior equation. The RES69 command is nopt the same as the RESET test which is a modification for the residual. y => left hand variable x => Original right hand side rtest => reset test prob => Probability of test iorder => Must be in range 2-(N-k) :print => Will give printed output. Notes: Takes the estimated residual and runs Eq 1 y(t) = f(x1,...,xk) + v Eq 2 y(t) = f(x1,...,xk) +(yhat(t)**2),..., yhat(t)**iorder) +u Uses F test to test sig F(iorder-1,n-k-iorder-1) = ((v'v - u'u)/(ik-1)) /(v'v/(n-k-iorder+1)) Reference: Ramsey, J. 'Tests for Specification Errors in Classical Linear Least Squares Regression Analysis', Journal of the Royal Statistical Society, Series B: 350-371 Example: b34sexec options ginxclude( b34sexec matrix; call echooff; call loaddata; call load(reset69) call olsq(gasout gasin{1 to 6}:print); x=%x; y=%y; iprint=1; do iorder=2,3; call reset69(y,x,rtest,prob,iorder,iprint) enddo; b34srun; RESET77 - Thursby - Schmidt Regression Specification Test call reset77(indata,maxp,maxk,treset77,preset77,printit); Calculates (Thursby-Schmidt, JASA, 1977) RESET(1977) Test y = b1*x_t-1 + ...+ bp*x_t-p + e rss1 =e'e e = f(x, x^2,...,x^h)+ u rss2 =u'u (rss1-rss2)/(h-1) F(h-1,n-m-p-h)~ ----------------- rss2/(n-m-p-h) where m=p*h Reference: "Some Properties of Tests for Specification Error in a Linear Regression Model" JASA September 1977 Vol 72 Number 359 pp 635-641 Arguments: indata => real*8 series to be tested maxp => integer*4 max ar order maxk => integer*4 max order of test treset77 => reset77 statistic. reset77 is a maxk-1 array preset77 => probability of reset statistic. preset77 is a maxk-1 array printit => integer switch. 1 => print table of test 2 => print OLS and table of test Note: RESET77 is a SUBROUTINE and must be loaded with the command call load(reset77); Example of use: b34sexec matrix ; call echooff ; call load(reset77); /; Build an AR model n=10000 ; ncases=5; ar=0.25 ; call free(ma); const=0.0; start=.1; wnv=1.0; nout=200; do i=1,ncases ; ar1yt =genarma(ar,ma,const,start,wnv,n,nout); call reset77(ar1yt,1,4,res77,pres77,1); enddo ; b34srun ; RESTORE - Load data in MATRIX facility from external save file. call restore; Restores the workspace from the default name. Alternative options can be passed with :keywords. Keywords supported include: :file - to pass a file name :var - to restrict what variables are restored. Do not place, between the names of variables. :list - to list what is in the file. Examples: call restore(:list); call restore(:list :file 'myrin.psv'); call restore(:var x y); call restore(:var x y :file 'mystuff.psv'); For related commands see save and checkpoint. REVERSE - Test a vector for reversibility in Freq. Domain call reverse(x : options) Performs Hinich-Rothman(1998) for reversals. x => series (must be real*8). Optional commands :print => Prints test. :freq => Sampling rate in kHz. Default is periods. :sr r1 => Sampling rate. Default = 1. If freq is in effect sampling rate in multiple of milsec (1/khz) :rb r2 => Sets resolution bandwidth in hz. default = 5. :sb r3 => Sets spectral smoothing bandwidth in hz. sb > rb. If sb not set => spectrun not smoothed. :norm k => if k = divide => divide bispectrun at (f1,f2) by sqrt[S(f1)S(f2)S(f1+f2)] if k = no => do not normalize bispectrum Here bispectrum divided by cube of sample SD. This option used if series is white noise. if k- filter => Filter out frequency components in range (0,fl) and above fu. Warning. Unless series is white noise the default :norm no should NOT be used since the bispectrum will not be correct. :fl r4 => Lower frequency for analysis. Default = 0. Note fl must never be set lt 0.0. :fu r5 => Upper frequency for analysis. Default = .475 which is the upper limit. :pt r6 => % taper of frames for sidelong reduction. Range 0.0 LE pt LT 25. Default = 0.0. :bandpass => Bandpass filter the series using fl and fu. All frequency info below fl and above fu will be removed. :save - Saves for further processing: %br - Real part of bispectrum %bi - Imag part of bispectrum %b1 - Real part counters %b2 - Imag part counters %sp - Spectrum %freq - Freq vector for plotting %sp %period - Period vector for plotting %sp %cr - Real Cum2 %ci - Imag Cum2 %c1 - Real Cum2 pointers %c2 - Imag Cum2 pointers Notes: Irreversibility can stem from two sources: 1. Underlying model can be nonlinear even though innovations are symmetrically (perhaps normally) distributed. 2. Underlying innovations may be drawn from a non-Gaussian probability distribution while the model is linear. 3. With small numbers of observations it may not be possible to get consistent estimates without having too low a blocksize. Variables Created %t1 - Sig of sum of squares of real bispectrum %t2 - Sig of Sum of squares of imag bispectrum. Significance => No reversibility or business cycle asymmetry %tc - Cum2 stationarity test. %tcs - Probability of Cum2 test %ts - Stationarity test %alm - average noncentrality lamda for bispectrum %sgl - SD for %alm Sample jobs b34sexec options ginclude('b34sdata.mac') member(rothtr1); b34srun; b34sexec matrix; call loaddata; call reverse(nomgnp :print); call rothman(nomgnp :order 5 :print); b34srun; b34sexec options ginclude('b34sdata.mac') member(rothtr2); b34srun; b34sexec matrix; call loaddata; call reverse(gnpdefl :print); call rothman(gnpdefl :order 5 :print); b34srun; REWIND - Rewind logical unit. call rewind(n); Rewinds unit n. Example: call rewind(72); ROTHMAN - Test a real*8 vector for reversibility in Time Domain call rothman(x :options); The rothman sentence performs various time reversibility tests suggested Rothman using the TR1 and TR2 programs. For refeneces see BTIDEN command help file. The TR1 program is designed to calculate Ramsey and Rothman (1996) standardized TR test statistics for a raw series. An ARMA model is fitted to the series to estimate the standard deviation of the statistics. The Rothman (1994) portmanteau test is also calculated. The TR2 program is designed to calculate the TR test for residuals using equation (10) of Ramsey and Rothman (1996). If the series is not white noise, it can be filtered. The Rothman (1994) portmanteau test is also calculated. A Monti Carlo simulation is run to estimate the p-values of the maximum (in absolute value) of the standardized TR test statistics and of the portmanteau statistic. Required x => Series to be tested. Must be a 1 dimensional real*8 object. Optional :test key => key = tr1 => use TR1 program. key = tr2 => use TR2 program. TR2 is the default. :order maxk => Sets order of test. Default 5. :print => Prints a detailed list of the assumptions of the test. This is usually not needed. :print2 => Prints the ARMA estimation results. This is rarely needed. :ar ip => max order of ar filter. :ma iq => max order of ma filter If TR1 ARMA model used to get sd. If TR2 ARMA model used to filter data. :tran key => Provides optional transformations of the data. Key can be set as: raw - Use raw data (default). log - Use log of data/ diflog - First difference of log of data dif - First difference of data logdt - Log detrended data rawdt - Raw detrended data :iseed ii => Sets the seed. This option is not usually set. It is useful only in replication testing. :maxit i => Sets maximum iterations for simulations. Default = 100. :maxit2 j => Sets maximum iterations for arma modeling. Default = 200. :rerror d => Sets the relative error for arma termination. Default = 0.0 :maxbc i => Set maximum lag backforecasting. Default=0. :tolbc r => Sets convergence for backforecasting. :tolss r => Sets convergence for nonlinear least squares. Must be in range 0.0 - .9999 Test makes: %tr1 => TR1 test - Abs of Max Standardized TR Statistic %tr2 => TR2 test - Abs of Max Standardized TR Statistic %tr1prob => Probability of TR1 test %tr2prob => Probability of TR1 test %tr1pt => Portmanteau test from TR1 run %tr2pt => Portmanteau test from TR2 run %tr1ptp => Portmanteay test probability for %tr1pt %tr2ptp => Portmanteay test probability for %tr2pt Samples of Rothman Test b34sexec options ginclude('b34sdata.mac') member(rothtr1); b34srun; b34sexec matrix; call loaddata; call rothman(nomgnp :maxit 100 :test tr1 :order 5 :ar 1 :tran logdif :iseed 25443332 :print); b34srun; b34sexec options ginclude('b34sdata.mac') member(rothtr2); b34srun; b34sexec matrix; call loaddata; call rothman(nomgnp :maxit 100 :test tr2 :order 5 :ar 1 :tran logdif :iseed 25443332 :print); b34srun; RMATLAB - Runs Matlab call rmatlab; Runs Matlab from a file passed in to the Matrix comamnd with DATACARDS; or PGMCARDS; The command rmatlab is a program and must be loaded. Example /$ Running Matlab script under B34S Matrix /$ First define matlab commands /$ b34sexec matrix; datacards; % The example runs a matlab problem under B34S Matrix % page 10-24 Graphics load earth sphere; h= findobj('TYPE','surface'); hem=[ones(257,125),X,ones(257,125)]; set(h,'CData',flipud(hem),'FaceColor','texturemap') colormap(map) axis equal view([90 0]) set(gca,'CameraViewAngleMode','manual') view([65 30]) pause quit b34sreturn; * Here load all commands ; call load(rmatlab); call rmatlab; b34srun; Notes: Since datacards; and pgmcards; write to unit 4, an alternative method of operating is to write the Matlab command in the b34s matrix command on unit 4 and then call rmatlab. The rmatlab program may have to be modified if the user uses a non-standard Matlab setup. RRPLOTS - Plots Recursive Residual Data call rrplots(rrstd,rss,nob,k,sumsq1,sumsq2,list); Plots Recursive Residual output from OLSQ Arguments rrstd => Standardized Recursice Residual rss => Residual sum of squares fopr OLS nob => Number of Observations for OLS k => Number of right hand side variables sumsq1 => Sum of squares # 1 sumsq2 => Sum of squares # 2 list => =0 no list, =1 list results The following plot files are automatically made: rr.wmf cusum.wmf cusumsq.wmf ql.wmf This command must be loaded. Example: b34sexec options ginclude('b34sdata.mac') macro(eeam88)$ b34srun$ b34sexec matrix; call loaddata; call load(rrplots); call olsq( lnq lnk lnl :rr 1 :print); call print(%rrcoef,%rrcoeft); call rrplots(%rrstd,%rss,%nob,%k,%ssr1,%ssr2,1); b34srun; RTEST - Test Residuals of Model call rtest(res1,y,nacf); Tests the residuals of a Model. This is single equation version of GTEST. The RTEST command must be loaded. If plots are not needed see RTEST2. subroutine rtest(res1,y,nacf); /; /; res1 => First Moment Residual /; y => Input Series /; nacf => Number acf terms /; /; Plots made: /; /; acfa.wmf => acf of residual Moment 1 /; acfb.wmf => acf of residual Moment 2 /; acfy.wmf => acf of y series /; mqa.wmf => Q stats residual Moment 1 /; mqb.wmf => Q stats residual Moment 2 /; pacfa.wmf => pacf of residual Moment 1 /; pacfb.wmf => pacf of residual Moment 2 /; pacfy.wmf => pacf of y series /; resa.wmf => Plot of residual Moment 1 /; resb.wmf => Plot of residual Moment 1 /; Example: /$ Illustrates incomplete and complete Model b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call load(rtest); call olsq(gasout gasin:print :diag); call rtest(%res,gasout,48); call olsq(gasout gasin{1 to 6} gasout{1 to 6} :print); call rtest(%res,gasout,48); b34srun; RTEST2 - Test Residuals of Model - No RES and Y Plots call rtest2(res1,y,nacf); Tests the residuals of an OLS Model. This is single equation version of GTEST. The RTEST2 command must be loaded. If plots are desired, use RTEST. subroutine rtest2(res1,y,nacf); /; /; res1 => First Moment Residual /; y => Input Series /; nacf => Number acf terms Example: /$ Illustrates incomplete and complete Model b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call load(rtest2); call olsq(gasout gasin:print :diag); call rtest2(%res,gasout,48); call olsq(gasout gasin{1 to 6} gasout{1 to 6} :print); call rtest2(%res,gasout,48); b34srun; RUN - Terminates the matrix command being in "manual" mode. call run; Gets out of manual mode. call manual; - Allows user to enter commands at the terminal. This command works only with the Display Manager. SAVE - Save current workspace in portable file format. call save; Will save the workspace with a default name. Alternative options can be passed with :keywords. Keywords supported include: :file - to pass a file name. Default name is 'matrix.psv'. :var - to restrict saving to a list of variables. Do not place , between names. If variable is known at the local and global level, the local copy is saved. This means that formula results not formulas are saved. If :var is not present all objects will be saved. :speakeasy - Only pass data, no programs. If this option is used, the save file can be read by the Speakeasy(r) program. The call checkpoint; command automatically assumes this option. As a result real*16 and complex*32 variables are saved as real*8 and complex*16 respectively. If call save; is used, then this conversion is not made. Here the save file will preserve real(16 and complex*32 variables but will not work with Speakeasy! :ndigits4 - Sets save format e12.4 :ndigits8 - Sets save format e16.8. :ndigits16 - Sets save format e24.16. This is the default. :ndigits32 - Sets save format e40.32 Examples: call save(:var x y z); call save(:var x y z :file 'myrun.psv'); call save(:file 'myrun.psv'); call save(:var x y :file 'mygood.psv' :speakeasy); If you are running with Speakeasy, it is suggested that you use the ending *.psv. The SAVE and RESTORE commands use a subset of the Speakeasy EXPORTALL & IMPORTALL format and are designed to facilitate moving objects from one system to another. Since B34S MATRIX PROGRAMS, SUBROUTINES and FUNCTIONS will not work on Speakeasy, the keyword :speakeasy MUST be used to save into a file that will be read by Speakeasy(r). VPA data can not be directly saved in a savefile. However VPA data can be hidden in a real*8 variable so VPA numbers can be saved with checkpoints etc using the command call vpaset(vpa r8 :saveasr8); The variable r8 can be reloaded into a VPA variable with call vpaset(r8 vpa :saveasvpa); The first four elements give kind, nr8, norows, nocols. For related commands see restore and checkpoint. SCHUR - Performs Schur decomposition call schur(a,s,u); factors real*8 matrix A such that A=U*S*transpose(U) and S is upper triangular. For complex*16 the equation is A=U*S*transpose(dconj(U)) U is an orthogonal matrix such that for real*8 u*transpose(u) = I Real*8 Eigenvalues of A are along diagonal of S. An optional calling sequence for real*8 is call schur(a,s,z,wr,wi); where wr and wi are the real and imaginary parts, respectively, of the computed eigenvalues in the same order that they appear on the diagonal of the output Schur form s. Complex conjugate pairs of eigenvalues will appear consecutively with the eigenvalue having the positive imaginary part first. The optional calling sequence for complex*16 is call schur(a,s,z,w); where w contains the complex eigenvalues. The Schur decomposition can be performed on many real*8 and complex*16 matrices for which eigenvalues cannot be found. For detail see the Matlab manual page 4-36. The schur command uses the lapack version 3 routines dgees and zgees. Example: b34sexec matrix; * Example from Matlab - General Matrix; a=matrix(3,3: 6., 12., 19., -9., -20., -33., 4., 9., 15.); call schur(a,s,u); call print(a,s,u); is_ident=u*transpose(u); is_a =u*s*transpose(u); * Positive Def. case ; aa=transpose(a)*a; call schur(aa,ss,uu); ee=eigenval(aa); call print(aa,ss,uu,ee); * Expanded calls; call schur(a,s,u,wr,wi); call print('Real and Imag eigenvalues'); call tabulate(wr,wi); * Testing Properties; call print(is_a,is_ident); * Random Problem ; n=10; a=rn(matrix(n,n:)); call schur(a,s,u); call print(a,s,u); is_ident=u*transpose(u); is_a =u*s*transpose(u); call schur(a,s,u,wr,wi); call print('Real and Imag eigenvalues'); call tabulate(wr,wi); call print(is_a,is_ident); * Complex case ; a=matrix(3,3: 6., 12., 19., -9., -20., -33., 4., 9., 15.); ca=complex(a,2.*a); call schur(ca,cs,cu,cw); call print(ca,cs,cu, 'Eigenvalues two ways',cw,eigenval(ca)); is_ca=cu*cs*transpose(dconj(cu)); call print(is_ca); b34srun; SCREENCLOSE - Turn off Display Manager call screenclose; Turns of Display Manager prior to a call dounix( ); command. Use call screenopen; after the external command finishes/ends, b34s returns to the Display Manager. SCREENOPEN - Turn on Display Manager call screenon; For detail on use see screenclose. SCREENOUT1 - Turn screen output off. call screenoutoff; Turns off screenout output. SCREENOUT2 - Turn screen output on. call screenouton; Directs most matrix output to screen. When MATRIX command ends, b34s returns to Display Manager. SET - Set all elements of an object to a value. call set(name,value); Sets all elements of name to value. Name cannot be a structured object. The commands setrow and setcol are used for setting rows and columns. c=rtoch(array(3:)); call set(c,'text'); places 'text' in character*8 array c. The commands d=array(4:); call set(d,1.0); put 1.0 in all elements of d. SETCOL - Set column of an object to a value. call setcol(name,row,value); Sets a col of name to value. Name cannot be a structured object. The command call setcol(x,5,6.); sets col 5 of x to 6.0. An alternative is x(,5)=6.0; Warning: While setcol checks for type x(,1)=88; ' Redefines x as an integer matrix!! SETLABEL - Set the label of an object. call setlabel(x,'x is sin(xx)/2. '); Sets label for object x. The string can be up to 40 characters. b34sexec matrix; short=10.; long= 20; call names; call setlabel(short,'test'); call setlabel(long, 'This is a long label'); call names; call print('Label for long' ,label(long), 'Label for short',label(short)); b34srun; SETLEVEL - Set level. call setlevel(key); Sets the level of the program. Arguments: key = up => Move data save level up 1 key = down => Move data save level down 1 key = base => Move data save level to base level key = now => prints level now. This command is rarely used. It is for custom jobs where more than a two level link is used. This command is NOT for the faint at heart!! Warning: If you change the level in a subroutine then it cannot access data unless it is at global level. If used in open code the user may get a object not found message unless the object is at the global level. Inside a do loop it is imperative that the level not be changed from top to bottom or else the counter will not be found. SETNDIMV - Sets value in an N Dimensional Object call setndimv(index(4 5 6),index(2 3 4),xx,value); places value in element 2 3 4 of the 4 by 5 by 6 dimensioned variable xx. Example: b34sexec matrix; mm=index(4,5,6:); xx=rn(array(mm:)); idim =index(4,5,6); idim2=index(2,2,2); call setndimv(idim,idim2,xx,10.); vv= getndimv(idim,idim2 ,xx); call print(xx,vv); b34srun; SETROW - Set row of an object to a value. call setrow(name,row,value); Sets a row of name to value. Name cannot be a structured object. call setrow(x,5,6.); sets row 5 of x to 6.0 An alternative is x(5,)=6.0; Warning: While setrow checks for type x(5,)=88; ' Redefines x as an integer matrix/array!! SETTIME - Sets the time info in an existing series call settime(series,timebase,tstart,freq); Sets the time info in an existing series Arguments series => existing series timebase => integer year base tstart => integer period base freq => real*8 frequency Example: call settime(x,1960,1,12.); Sets the time info in series x More complex Example: b34sexec matrix; x=rn(array(120:)); call settime(x,1960,1,12.); jdate=makejul(x); year=fyear(jdate); call graph(year,x :plottype xyplot); b34srun; SETWINDOW - Set window to main(1), help(2) or error(3). call setwindow(i); Sets to the current window. Use with caution. i=1 => main window i=2 => help window i=3 => error window SIGD - Set print digits. Default g16.8 call sigd(5); Sets the default print to g16.5. If argument > 8 then width increases. The command fprint( ) can override format. Example: b34sexec matrix; r=pi(); do i=1,8; call print('sigd was ',i); call sigd(i); call print('pi was ',pi() :line); call print('pi was ',pi()); enddo; b34srun; /$ Illustrates OLS Capability under Matrix Command /$ # digits changed b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix sigd(4); call loaddata; call olsq(gasout gasin:print :diag); call sigd(10); call olsq(gasout gasin:print :diag); b34srun; SIMULATE - Dynamically Simulate OLS Model call simulate(yhat,coef,x,nerror); call simulate(yhat,coef,x,nerror :lags n ny); Required inputs yhat => Calculated by routine coef => Coefficient vector ususlly calculated by OLSQ x => X matrix saved as x1 x2 x3 x4 x5 const if y is lagged, ylags are placed first in dataset and are changed on the fly nerror => Input error. Usually calculated as bootv(%res) where %res was from the origional OLS equatoion Optional inputs :lags nlag ny :MA maparm maorder Model estimated yhat = coef*transpose(x) For a good reference see Enders(2004) page 235-238. Assume a model y=a + b1*x1 + b2*x2 + e 1. First estimate model and save coef. Coef are a, b1, and b2 and estimated error is e. 2. Form new y (y*) = a+b1*x1 +b2*x2 + e* where e* is selected from e with replacement. 3. Run y* on x1 and x2 and save coef. Repeat steps 2 and 3 over and over. If y has lags on the right, we have to dynamically update these values. The call simulate( ) does step # 2 above. Example of use where there are lag lags of the left hand variable. if(lag.ne.0)then; lagorder=integers(lag); do ii=1,nboot$ nerror=bootv(error); ny =bootv(y); call simulate(ywork,coef,x,nerror :lags lag ny); call olsq(ywork x :noint); %hcoef(ii,)=%coef$ %hse(ii,) =%se$ %hrsq(ii) =%rsq$ call outstring(3,3,'Time Series Bootstrap #'); call outinteger(14,4,ii); enddo$ endif; Without lags on the y variable use: do ii=1,nboot$ nerror=bootv(error); ny =bootv(y); call simulate(ywork,coef,x,nerror); call olsq(ywork x :noint); %hcoef(ii,)=%coef$ %hse(ii,) =%se$ %hrsq(ii) =%rsq$ call outstring(3,3,'Bootstrap #'); call outinteger(14,4,ii); enddo$ endif; Note: See bootols in staging.mac for a running example. SMOOTH - Do exponential smoothing. call smooth(x :options); Allows calculation of many exponential smoothing methods. The smooth command can be made to "automatically" forecast large numbers of series. Options. Note if :method key is supplied it MUST be first. :method nce => no change extrapolation (default) ncept => no change + trend avetd => average to date mave => moving average dmave => double moving average es => exponential smoothing des => double exponential smoothing holt => holts method winters=> winters' method :lag n => sets lag. n determines number of forecasts for nce, ncept, dmave, des, Holt and Winters methods. For Winters method max lag = nma. :nma nn => Number of terms for moving average. Default=4. If method set to winters, nma = lag on S :alpha d => Alpha for es, des, holt and winters method. Default = .3 0 < d < 1 :beta b => Beta for Holt and Winters method. Default = .2 0 < b < 1 Beta is the smoothing constant for the trend estimate. :gamma g => Gamma for Winters method. Default = .1. Gamma is the smoothing constant for the seasonality estimate. :astart a0 => Used for double exponential smoothing. Default = x(1) :bstart b0 => Used for double exponential smoothing. Default=0.0 :ia a => Initial A for Holt and Winters Method. Initial yhat for es. Default = x(1) or data value for Holt. For Winters use OLS. :itrend itrend => Initial Trend for for Holt and Winters Method. Default =0. :print => prints summary data to evaluate the lag = 1 forecast. Notes: Initial values of a0 and b0 for double exponential smoothing, Winters and Holt method established using OLS on the trend. Variables created %xhatmat => Forecasts. Saved as Obs # actual lag1 forecast ... lagn forecast. %xhat => lag 1 forecast for observations for which there are data. %xhatobs => xhat obs vector. Useful for tabulation. %actual => Actual data with one obs missing %error => Error of Model for lag1 %rss => residual sum of squares for nlags %mad => sum(dabs(x-xhat))/n for n lags %mse => rss/n %mape => sum(dabs(x-xhat)/X)/n how large forecast is in relation to series %mpe => sum((x-xhat)/x)/n + and - tests if over or under %corr => Correlation between x and xhat using usual formula. Notes: %xhatmat contains duplicate data but in addition contains forecasts. Col 1 is obs #, Col 2 is actual. Col 3.. lag+2 contain lag = 1 ,..., lal = lag forecasts. For detail on the methods used see Hanke & Reitsch (1998) page 171-172. The advantage of the smooth command is the forecasts are automatic and can be done for large number of series. If user model building is possible, VARMA and BJ methods usually will be superior. The constrained minimize commands can be used to optimize the selection of alpha, beta and gamma as needed. Calculation notes on methods used: nce => yhat(t+1) = y(t) ncept => yhat(t+1) = y(t)+(y(t)-y(t-1)) avedt => yhat(t+1) = average(y(t),..,y(1)) mave => yhat(t+1) = average(y(t),..,y(t-nma)) dmave => yhat(t+p) = a(t) + b(t)*p a(t) = 2*M(t) - MP(t) b(t) = (2/(n-1))*(M(t)-MP(t)) MP(t) = (M(t) + M(t-1) + ... M(t-nma+1))/n es => yhat(t+1) = alpha*y(t) + (1-alpha)*yhat(t) des => yhat(t+p) = a(t) + b(t)*p A(t) = alpha*y(t) + (1-alpha)*y(t-1) AP(t) = alpha*A(t) + (1-alpha)*AP(t-1) a(t) = 2*A(t) - AP(t) b(t) = (alpha/(1-alpha))*(A(t)-AP(t)) A(0) = a(0) - ((1-alpha)/alpha)*b(0) AP(0) = a(0) - 2*A(t) - AP(t) holt => yhat(t+p) = A(t) + p*T(t) A(t) = alpha*y(t)+ (1-alpha)*(A(t-1)+T(t-1)) T(t) = beta*(A(t)-A(t-1))+ (1-beta)*T(t-1) winters => yhat(t+p) = (A(t)+p*T(t))*S(t-nma+p) A(t) = alpha *(y(t)/S(t-nma)) + (1-alpha)*(A(t-1)+T(t-1)) T(t) = beta*(A(t)-A(t-1))+ (1-beta)*T(t-1) S(t) = gamma* Use notes: Double exponential smoothing (Brown's Method) useful for a series with a trend. Holt's method smoothes the trend and the slope directly. Winters' method is useful if there is seasonality in the data. The Winter's method assumes the data is positive. If Data is LE 0.0 an error message is given. Example Forecasts of gasout using moving average: call smooth(gasout :method mave :print); call tabulate(%xhatobs, %xhat, %actual, %error); SOLVEFREE - Set frequency of freeing temp variables. call solvefree(i) Sets frequency of freeing temp variables for SOLVE and FORMULA variables. The alternative command: call solvefree(:print); displays current settings. ************************************************ Advanced temp variable options. If you do not completely understand these options, do not use them. Their purpose is to give the end user more control over the workspace. Inside a do loop or if structure it is possible to run out of temp variables. The commands: call solvefree(:alttemp); call solvefree(:cleantemp); placed inside a do loop can be used to clean temp variables of the form %%______ It is important that these commands be used in pairs at the right spot. For example: do i=1,largenum; call solvefree(:alttemp); * many statements here !! ; call solvefree(:cleantemp); enddo; will work but call solvefree(:alttemp); do i=1,large num; * many statements here !! ; call solvefree(:cleantemp); enddo; will fail since variables to control the do loop will be opened using the %%____ temp variables and then before the do loop is ended the temps may be lost when they are cleaned. This will cause unpredictable results. Using :cleantemp ## temps are cleaned at or above the current level. If at level 100, then level 1 temps are cleaned. Once :cleantemp is found the default ##____ temp variable is reset. It is possible to set %%______ then clean every k times. For example do i=1,nbig; if(i.eq.1)call solvefree(:alttemp); * statements here; if(dmod(i,10000).eq.0)then; call solvefree(:cleantemp); call solvefree(:alttemp); endif; enddo; /$ be sure we are in default temp mode call solvefree(:cleantemp); ******************************************* The alternative commands call solvefree(:basetemp); sets ## temp without cleaning. call solvefree(:cleantemp1); cleans user (##) temps at or above the current level but does not reset to ##______ temp. call solvefree(:cleantemp2); cleans user (%%) temps at or above the current level. but does not reset the default temp. If this command is used, a call call solvefree(:cleantemp); or call solvefree(:basetemp); is needed to get back in ##_____ temp mode!! call solvefree(:gettemp ii); returns in ii a 0 or 1 depending on the current temp variable setting. Warning: The calls call solvefree(:alttemp); * commands here; call solvefree(:basetemp); will waste space in the allocator since the %% temp variables have not been cleaned. SORT - Sort a real vector. call sort(x); Sorts x in place. X can be real*8, character*8 or character*1. If x is character*1, it is sorted by row. Real*8 data can also be sorted by the use of ranker. Data is sorted in ascending order unless : is present. SPECTRAL - Spectral analysis of a vector or 1d array. call spectral(x,sinx,cosx,px,sx,freq:weights); Does spectral analysis on one series. The spectral command has 6 or 7 arguments depending on whether weights are supplied. The command: call spectral(x,sinx,cosx,px,sx,freq:weights); calculates for series x sinx - sine transform cosx - cosine transform px - Periodogram sx - Spectrum freq - Frequency where x = input series and the number of weights is odd. The period can be calculated as period = 1/freq; The spectral command calculates both periodogram, spectrum and sine and cosine transfoms. If only the periodogram is needed use the function spectrum px=spectrum(gasout); If only the spectrun is needed, use sx=spectrum(gasout:1 2 3 2 1) For this command call spectral(gasout,sinx,cosx,px,sx,freq:1 2 3 2 1); or w=array(:1 2 3 2 1); call spectral(gasout,sinx,cosx,px,sx,freq:w); work the same way. The call: call spectral(gasout,sinx,cosx,px,sx,freq:1); sets sx=px/.07958 which implies no smoothing. Using the graph command, the calculation can be calculated and displayed with call graph(spectrum(gasout:1 2 3 2 1) :heading 'Spectrum of Gasout'); Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec matrix; call loaddata; call spectral(gasin,sinx,cosx,px,sx,freq); freq2=freq/(2.0*pi()); period=vfam(1.0/afam(freq2)); call tabulate(freq freq2 period sinx cosx px sx); call spectral(gasin,sinx,cosx,px,sx,freq:1 2 3 2 1); call tabulate(freq freq2 period sinx cosx px sx); call graph(freq2,sx :heading 'Spectrum of Gasin' :plottype xyplot); b34srun; For more than one series see cspectral command. STOP - Stop execution of a program. call stop; Stops matrix command running. Usual use is if(%error.ne.0)call stop; Alternative use to pause execution call stop(pause); The command call stop(return); will terminate a subroutine function or program and return to manual mode. The command call stop(stopb34s); terminates the b34s and is usually not used. SUBRENAME - Internally rename a subroutine. call subrename(name1); Internally renames object name1 to name1 where name1 must be a defined PROGRAM, SUBROUTINE, FORMULA or FUNCTION. Assuming user has a SUBROUTINE MYSUB1. The command: mysub2=mysub1; creates an object mysub2 which is an exact copy of mysub1. If the old header was subroutine mysub1(i,j); it will not be changed. The command call subrename(mysub2); will fix the name in place. Examples: /$ Tests SUBRENAME command /$ Command renames a routine in place b34sexec matrix; subroutine test(x); call print(x); return; end; x=rn(array(10:)); call test(x); newtest=test; call names(all); call free(test); call names(all); call print(newtest); call subrename(newtest); call print(newtest); call names(all); call newtest(x); b34srun; /$ Job Part # 2 b34sexec matrix ; * Shows use of formulas in simple case; function test(i); x=i*i; return(i); end; formula double = gasout*2.; call names; call print(double); call printall; call save; b34srun; b34sexec matrix; call restore; call names(all); call printall; y=double; call print('This has a bad copy ',y); tt=test; call printall; call subrename(y); call print('This is a good copy',y); b34srun; SUSPEND - Suspend loading and Execuiting a program call suspend(pgm,file,iwait); pgm - name of a program in a mac file file - file name for mac file iwait - # of centtiseconds to wait. Default=50 The purpose is this is to leave b34s open to get more commands. Example of delayed execution b34sexec matrix; call suspend(doit 'c:\b34slm\matrix.mac',100); /; alternatives without a wait /; call load(doit ); /; call doit; /; ------------------------------------------------------- b34srun; Listing of doit in matrix.mac ==DOIT Used to test call suspend( ); program doit; /; testing of call suspend(doit,'c:\b34slm\matrix.mac'); call print('this is from program doit'); x=rn(matrix(3,3:)); call print(x,inv(x),x*inv(x)); call print('Program doit returns.'); return; end; == SYSTEM - Issue a system command. call system('command'); Runs a system command. The alternate: call system; gets the user into the command line where commands can be entered at the terminal. Note: The form call system(' command'); should be used if "silent" operation is desired. If the command writes any output, the form call system('command',:); should be used. If what is desired is for B34S to terminate and the program called to be active, the command call system('command',::); should be used. SWARTEST - Stock-Watson VAR Test call swartest(x,ibegin1,iend1,ibegin2,iend2, sigma1,sigma2,psi1,ipsi1,psi2,ipsi2,iprint, nterms,nlag,test11,test12,test21,test22 var1,var2,varxhat1,varxhat2,rsq1,rsq2); Test of change in structure of VAR model based on work by Stock-Watson "Has the Business Cycle changed and Why?" NBER Working Paper 9127 December 2002 x n by k matrix of the series in var model - ibegin1 Start of period 1 - iend1 End of period 1 - ibegin2 Start of period 2 - iend2 End of period 2 - sigma1 Variance Covariance of errors period1 - sigma2 Variance Covariance of errors period2 - psi1 psi weights period 1 - ipsi1 index to read psi weights 1 - psi2 psi weights period 2 - ipsi2 index to read psi weights 2 - iprint set 1 to print estimation results - 2 to print estimation results and psi matrix -1 or -2 if want summary printed only nterms - # of terms in psi matrix nlag - lag for VAR test11 - psi1 & sigma1 test12 - psi1 & sigma2 test21 - psi2 & sigma1 test22 - psi2 & sigma2 var1 - k element variance of series in period 1 var2 - k element variance of series in period 2 varxhat1 - k element variance of xhat in period 1 varxhat2 - k element variance of xhat in period 2 rsq1 - k element centered R**2 in period 1 rsq2 - k element centered R**2 in period 2 Routine developed 1 November 2002 Arguments added 31 January 2003 ********************************************** Example: b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call load(buildlag); call load(varest); call load(swartest); call echooff; ibegin1=1; iend1=200; ibegin2=201; iend2=296; nlag=6; nterms=20; iprint=1; x=catcol(gasin,gasout); call swartest(x,ibegin1,iend1,ibegin2,iend2, sigma1,sigma2,psi1,ipsi1,psi2,ipsi2,iprint, nterms,nlag,test11,test12,test21,test22, var1,var2,varyhat1,varyhat2,rsq1,rsq2); call print(test11,test12,test21,test22, var1,var2,varyhat1,varyhat2,rsq1,rsq2); b34srun; TABULATE - List vectors in a table. call tabulate(x y); Lists x and y in a table. Variables must be 1d objects. If data is not available, missing is shown. Max of 10 series can be listed. Optional setup to write to a file This file can be read into Excel. call open(71 'mydata.dat'); call tabulate(x,y,z :unit 71); Other options :unit n Set unit number :cdf use comma delimited form :nonames Suppress names :title 'string ' list a title :noobslist Turns off Obs list :format '(f10.4)' Sets a format for real*4, real*8 and complex*16. Length of result of format must be LE 12. Length of format string LE 20. Default g12.4. :ljname Left justify names over Col. :rjname Right justify names over col. :cname Center Names over Col Example: b34sexec matrix; n=12; rad=array(n:); ss=array(n:); cc=array(n:); call echooff; do i=1,n; rad(i)=dfloat(i)*pi()/6.; ss(i)=dsin(rad(i)); cc(i)=dcos(rad(i)); enddo; /$ Write to output and file call open(71,'tab.txt'); call tabulate(rad,ss,cc:title 'Test of Tabulate'); call tabulate(rad,ss,cc:unit 71 :cdf); call close(71); /$ Change Format /$ Note use of " " to allow 'A ' inside format /$ /$ Warning: Result must not be > 12. This may be /$ changed in later releases call tabulate(rad,ss,cc :format '(f10.4)'); call tabulate(rad,ss,cc :format "('A ',f6.2)"); b34srun; Note: The STATA program can read a tabulate file provided that the option :cdf is used. If more than 10 variables need to be passed to STATA, load the data back in b34s and use PGMCALL. See also call print. TESTARG - Lists what is passed to a subroutine or function. call testarg( ); Lists what is passed. Useful for debugging subroutines and functions. Example: a=1.0; b=rn(matrix(10,10:)); call testarg(a,b,c); TIMER - Gets CPU time. call timer(x); Gets a CPU time value in real*8. Example: call timer(base); xinv=inv(x); call timer(base2); call print('Inverse took ',base2-base); TRIPLES - Calculate Triples Reversability Test call triples(x :options); Basic code built by: Randal J. Verbrugge Reference: Randles, Fligner, Policello and Wolfe 'An Asymptotically distribution-free test for symmetry vs. Asymmetry' JASA 75 (March 1980) 168-172 The null of the test is a symmetric distribution. This test cannot detect asymmetric distributions with median=mean. Test requires a minimum of 5 data points. call triples(x :options); Variables created: %eta = the estimated variable %vareta = variance of eta %triples = eta/sqrt(variance), %prob = probability of %triples Example: b34sexec matrix ; * Correct Answers should be: ; * eta =-.23333 ; * vareta = .01333 ; * Stat =-2.0207 ; n=6; x=vector(n: 2.373, 3.339, 1.980, 3.102, 0.000 3.335) ; call triples(x :print); n=100; x=rn(vector(n:)); call triples(x :print); b34srun ; The test code triples_2 uses the matrix command to validate the calculations for the test. Notes: This test is very slow for large n. TSAY - Calculate Tsay nonlinearity test. call tsay(x,m,tsaytest,probf) Calculates Tsay (1986) test. x = series to be tested m = the degree of the test, tsaytest = is the Tsaytest F(M(M+1)/2,(T-M(M+3)/2)-1) probf = the significance of tsaytest. The Tsay test code was obtained from Douglas Patterson. Major improvements were made. As setup the first stage prewhitening filter has not been implemented. Hence this test must be applied to prewhiten data such as residuals, not raw series. If raw series are to be analysed, they should be filtered first. Example: b34sexec options ginclude('gas.b34'); b34srun; b34sexec reg; model gasout=gasin{0 to 12} gasout{1 to 12}; bispec iauto iturno bds tsay tsayorder=10; b34srun; b34sexec options ginclude('b34sdata.mac') member(blake); b34srun; b34sexec matrix; * Both TSAY and BDS tests illustrated ; call loaddata; call bds(blake,.5,5:); call tsay(blake,20,tsaytest,prob:); call print('Random Data'); x=rn(array(5000:)); call tsay(x,20,tsaytest,prob:); b34srun; TSD - Interface to TSD Data set The below listed commands provide an interface into the Alphametrtics tsd data base convention. Not all options are supported for put's at this time. The TSD format is supported in Eviews and other systems. The command call tsd(:info :file 'tsd1.tsd'); will list what is in a TSD database. The command call tsd(:load :file 'mytsd.tsd'); will load all series currently in the tsd database. If the key word :print if given, then :load includes :info. If the series name is > 8 characters, a message is given and the name %ser___n is assigned. All series have an associated time variable %tsd____n unless the key :notime is added. The option :nodate can be used in place of :notime to save space. Since a julian date can be obtained from any time series by the command jdate=makejul(x); where x is a time series, what is the need to automatically create a date julian? The answer is that if there are special data loaded from the tsd option that involve only 5 days out of a week etc, then the automatic julian routine makejul( ) will not work and a custom date vector is needed. If the custon date vector is not needed, then code :notime or :nodate on the command line. If names extend over 8 characters, then a name %ser___n will be created and a message given. A specific series can be loaded with call tsd(:get name :file 'mytsd.tsd'); Optional arguments :rename newname :datename dtname :nodate :notime :nomessage - Turn off recode message for long names. Series can be loaded from b34s into a tsd database with call tsd(:put name :timeseries juldaydmy(iday,imonth,iyear) freq :file 'mytsd.tsd'); Optional arguments :timeseries juldaydmy(iday,imonth,iyear) freq :add :new (default) If the series is not a "time series," it can be hidden inside the tsd database and passed as if it had a date. This feature is good for saving residuals, forecasts etc. Examples: b34sexec matrix; /; List what is in Libraries call tsd(:info :file 'c:\b34slm\tsd1.tsd'); call tsd(:info :file 'c:\b34slm\tsd2.tsd'); call tsd(:info :file 'c:\b34slm\tsd3.tsd'); /; call tsd(:info :file '/usr/local/lib/b34slm/tsd1.tsd'); /; call tsd(:info :file '/usr/local/lib/b34slm/tsd2.tsd'); /; call tsd(:info :file '/usr/local/lib/b34slm/tsd3.tsd'); /; Load all series call tsd(:load :file 'c:\b34slm\tsd1.tsd'); call tsd(:load :file 'c:\b34slm\tsd3.tsd'); call tsd(:load :file 'c:\b34slm\tsd2.tsd'); /; call tsd(:load :file '/usr/local/lib/b34slm/tsd1.tsd'); /; call tsd(:load :file '/usr/local/lib/b34slm/tsd3.tsd'); /; call tsd(:load :file '/usr/local/lib/b34slm/tsd2.tsd'); year=fyear(%tsd_142); call tabulate(%tsd_142,year,%ser_142 :format '(f10.4)'); call names; /; Building and testing x=dfloat(integers(10)); y=x*x; call print(mean(x)); call tsd(:put x :file 'new.tsd' :new); call tsd(:put y :file 'new.tsd' :add :timeseries juldaydmy(1,1,1960) 4.); call tsd(:put ce :file 'new.tsd' :add); call free(x,ce); call tsd(:load :file 'new.tsd' :print); call clearall; call tsd(:get ce :file 'new.tsd' :print); call tsd(:get x :file 'new.tsd' :rename newx :print :datename newxdate); call names; b34srun; Advanced Example /; /; Shows line up and purging time series data. /; Due to possible missing data inside the series the /; timestart and timebase have not been set. However a /; date variable can be added to preserve the date of each /; observation /; b34sexec matrix; call tsd(:get c :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call tsd(:get c96c :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call tsd(:get cd :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call names(:); /; do i=1,norows(%names%); /; call print(argument(%names%(i))); /; enddo; call names; call tabulate(c c96c cd); call tslineup(c c96c cd); call tabulate(c c96c cd); call align(c c96c cd); call tabulate(c c96c cd); call names; /; Using a date variable call clearall; call tsd(:get c :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a1); call tsd(:get c96c :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a2); call tsd(:get cd :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a3); call names(:); /; do i=1,norows(%names%); /; call print(argument(%names%(i))); /; enddo; call names; call tabulate(c a1 c96c a2 cd a3); call tslineup(c a1 c96c a2 cd a3); call tabulate(c a1 c96c a2 cd a3); call align( c a1 c96c a2 cd a3); call tabulate(c a1 c96c a2 cd a3); call names; b34srun; TSLINEUP Line up Time Series Data call tslineup(ts1,ts2); The align command trims series that are the same length initially but contain missing data. The align command is usually used after the tslineup command has been used to process the data. call tslineup(ts1,ts2); After this command runs ts1 and ts2 are the same length but may contain missing data. The tslineup command requires that the series are time series of type 1d. A date vector %julian% is automatically created to help with lineing up the series. Example: /; /; Shows line up and purging time series data. /; Due to possible missing data inside the series the /; timestart and timebase have not been set. However a /; date variable can be added to preserve the date of each /; observation /; b34sexec matrix; call tsd(:get c :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call tsd(:get c96c :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call tsd(:get cd :file 'c:\b34slm\tsd3.tsd' :print :nomessage); call names(:); /; do i=1,norows(%names%); /; call print(argument(%names%(i))); /; enddo; call names; call tabulate(c c96c cd); call tslineup(c c96c cd); call tabulate(c c96c cd); call align(c c96c cd); call tabulate(c c96c cd); call names; /; Using a date variable call clearall; call tsd(:get c :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a1); call tsd(:get c96c :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a2); call tsd(:get cd :file 'c:\b34slm\tsd3.tsd' :print :nomessage :datename a3); call names(:); /; do i=1,norows(%names%); /; call print(argument(%names%(i))); /; enddo; call names; call tabulate( c a1 c96c a2 cd a3); call tslineup( c a1 c96c a2 cd a3); call tabulate( c a1 c96c a2 cd a3); call align( c a1 c96c a2 cd a3); dates=chardate(a1); call tabulate(dates,c,a1,c96c,a2,cd,a3 :title 'Lined up Data with a Date Variable'); call names; year=fyear(a1); call graph(year,c c96c cd :plottype xyplot :Heading 'TSD Data'); b34srun; VAREST - VAR Modeling call varest(x,nlag,ibegin,iend,beta,t,sigma,corr, residual,iprint,a,ai,varx,varxhat,rsq); VAR Estimation in Matrix Command x(n,k) - n,k matrix of data values nlag - Number of lags ibegin - Begin Data point iend - End Data Point beta - nlag+1 (k+1),matrix of coefficients t - nlag+1 (k+1),matrix of t tests coefficients sigma - Sigma (k by k) for that period corr - correlation (k by k) for that period Residual - nn by k matrix of residuals where nn = iend-ibegin+1-nlag iprint - 0 => do not print, ne 0 => print a - (I - P(B)) if a is inverted gets Psi Weights P(B) are ar terms. ai - Index for a varx - k element variance of x series varxhat - k element variance of xhat rsq - Centered R**2 Built 10 October 2002 Arguments added 31 January 2003 Note: User must load the routine buildlag Note: VAREST is a subroutine. ----------------------- Example: b34sexec options ginclude('b34sdata.mac') member(gas); b34srun; b34sexec matrix; call loaddata; call load(buildlag); call load(varest); call echooff; ibegin=1; iend=296; nlag=2; x=catcol(gasin,gasout); call varest(x,nlag,ibegin,iend,beta,t,sigma, corr,residual,1,a,ai,varx,varxhat,rsq); call print(beta,t,sigma,corr,varx,varxhat,rsq); call polymdisp(:display a ai); b34srun; VOCAB - List built-in subroutine vocabulary. call vocab(c); Places in c, a n by 12 character variable containing all current vocabulary for call statements. The command f=vocab(); does the same for analytical statements. The variants call vocab(c:); f=vocab(:); list with command internal number. VPASET - Set Variable Precision Math Options call vpaset(:info); Lists the current settings in the B34S Variable Precision Math module that was developed using the fm_zmlib.f library from David M. Smith. The library is documented in Algorithm 693, ACM Transactions on Mathematical Software, Vol. 17, No. 2, June 1991, pages 273-283. Other options available include: call vpaset(:ndigits 70); to set the precision of calculation to 70. Unless a futher command is given, the display will default to 70 digits. The sequence call vpaset(:ndigits 70); call vpaset(:jform2 10); will use 70 digits for the calculation but only prints 10. The setting :ndigits can be set as high as 1750 using the default b34s VPA code. call vpaset(:settings); to place in memory %ndig %lunpck1 %lpack1 %lunpkz1 %lpackz1 The option call vpaset(fm1 fm2 ndig_old ndig_new :convert); will convert fm1 with ndig_old to fm2 with ndig_new. The call vpaset(:settings); will supply the correct values. VPA data can be saved as r8 so VPA numbers can be saved with checkpoints etc using the command call vpaset(vpa r8 :saveasr8); The variable r8 can be reloaded into a VPA variable with call vpaset(r8 vpa :saveasvpa); The first four elements give kind, nr8, norows, nocols. There is no accuracy lost using this approach. The alternative dp=vpa(fm :to_dp); converts fm a VPA number to the real*8 dp and loses accuracy. The option call vpaset(:jform1 n1); will set the output format as: n1 = 0 => E format ( .314159M+6 ) n1 = 1 => 1PE format ( 3.14159M+5 ) n1 = 2 => F format ( 314159.000 ) call vpaset(:jform2 n2); Sets the number of digits to display if n1=0 or n1=2. If n2=0, then a default number of digits is chosen. The default is roughly the full precision of the number. If n1=2, then n2 sets the number of digits after the decimal point call vpaset(:jformz n3); Sets complex output: JFORMZ = 1 => 1.23 - 4.56 i = 2 => use capital I : 1.23 - 4.56 I = 3 => parenthesis format ( 1.23 , -4.56 ) call vpaset(:jprntz n4); controls whether to print real and imaginary parts on one line whenever possible. JPRNTZ = 1 => print both parts as a single string : 1.23456789M+321 - 9.87654321M-123 i = 2 => print on separate lines without the 'i' : 1.23456789M+321 -9.87654321M-123 call vpaset(:stringout nn); sets the length of stringoutput in statements such as ss=vpa(fm1 :to_str); Internal debug info from the library can be obtained by call vpaset(:trace nn2); which sets the trace level. The usual settings for trace is nn2=2 or nn2=1. nn2=0 => No printout except warnings and errors. nn2=1 => The result of each call to one of the routines is printed in base 10, using FMOUT. nn2=-1 => The result of each call to one of the routines is printed in internal base MBASE format. nn2=2 => The input arguments and result of each call to one of the routines is printed in base 10, using FMOUT nn2=-2 => The input arguments and result of each call to one of the routines is printed in base MBASE format. Termination messages can be modified with the parameter call vpaset(:kwarn nn); The usual setting is nn=1. Other options are nn = 0 => Execution continues and no message is printed. nn = 1 => A warning message is printed and execution continues. This is the default nn = 2 => A warning message is printed and execution stops. vp (variable precision) data is saved in the B34S matrix command workspace using real*8 data. Assuming ndigmx=256 lpack = (ndigmx+1)/2+1 +1 lunpck = (6*ndigmx)/5+20 +1 lpackz = 2*lpack+1+1 lunpkz = 2*lunpck+1+1 lunpcki= (6*ndigmx)/5+20 +1 LPACK = number of real*8 data points for VPA real/integer packed data. LUNPCK = number of real*8 data points for VPA real unpacked data. LPACKZ = number of real*8 data points for VPA complex packed data. LUNPCK = number of real*8 data points for VPA complex unpacked data. LUNPCK = number of real*8 data points for integer unpacked data. For example if the internal B34S has been set to ndigmx=256 lpack =130.5 => 131 lunpck =328.2 => 328 lpackz =263 => 263 lunpkz =658.4 => 658 lunpcki=328.2 => 328 For further detain on the VPA capability see info on the vpa command. An example of VPA math is shown below. Example: /; /; Shows gains in accuracy of the inverse with vpa /; b34sexec matrix; call echooff; n=6; x=rn(matrix(n,n:)); ix=inv(x,rcond8); r16x=r8tor16(x); ir16x=inv(r16x,rcond16); call print('Real*4 tests', sngl(x), inv(sngl(x)), sngl(x)*inv(sngl(x))); call print('Real*8 tests',x, ix, x*ix); call print('Real*16 tests',r16x,ir16x,r16x*ir16x); vpax=vpa(x); ivpax=inv(vpax,rcondvpa); detvpa=%det; call print(rcond8,rcond16,rcondvpa,det(x), det(r16x),detvpa); call print('Default accuracy'); call print('VPA Inverse ',vpax,ivpax,vpax*ivpax); /; call vpaset(:info); /; Accuracy imporvements 100 - 1800 do i=100,1850,100; call vpaset(:ndigits i); call vpaset(:jform2 10); call print('******************************************':); vpax=mfam(dsqrt(dabs(vpa(x)))); call vpaset(:jform2 i); call print('vpax(2,1) given ndigits was set as ',i:); call print(vpax(2,1)); ivpax=inv(vpax); call print('VPAX and Inverse VPAX at high accuracy ', vpax,ivpax,vpax*ivpax); call print('******************************************':); enddo; b34srun; WRITE - Write an object to an external file. call write(x,n); Writes defined object on open unit n. Optionally a third argument can be supplied to contain a format. I/O Examples: n=70; call open(n,'c:\junk\mydata'); x=array(100:); call read(x,n); call close(n); n=70; call open(n,'c:\junk\mydata'); x=rn(array(100:)); call write(x,n); call close(n); X must be real*8, integer*4, real*4, character*8 or character*1 of size le 130. The example files write1 and write2 illustrate advanced features of the write facility. VPA data of the form fm, fp, im, ip, zm & zp can be written. For an example see the test problem VPA1. I/O Package. If it is desired to write complex*16 or complex*32 data, the data can be written as as real*8 or real*16 as a eral and imag array. Built in Matrix Command functions that return values. For futher examples, see problems in matrix.mac There can be a number of commands on the same line. For example x=sin(y); z=tan(q); ACF - Calculate autocorrelation function of a 1d object. acf_x=acf(x,n); Calculates ACF for n lags of real*8 variable x. Alternative calls are: acf_x=acf(x,n,se); acf_x=acf(x,n,se,pacf); acf_x=acf(x,n,se,pacf,mq); acf_x=acf(x,n,se,pacf,mq,probq); where se = SE of ACF pacf = the partial autocorrelation mq = Modified Q (Ljung-Box Statistic) probq= Probability of modified q For small sample acf use forms acfsmall=acf(x,n:); acfsmall=acf(x:); Example: b34sexec options ginclude('gas.b34')$ b34srun$ b34sexec matrix; call loaddata; acf1=acf(gasout,24,se1,pacf1); acfsmall=acf(gasout,24:); call tabulate(acf1,acfsmall); call graph(acf1,pacf1 :heading 'ACF & PACF of Gasout'); call graph(acf(dif(gasout),24) :heading 'ACF of Gasout(1-B)'); call graph(acf(dif(gasout,2,1),24) :heading 'ACF of Gasout(1-B)**2'); acf2=acf(gasin,24,se2,pacf2); call graph(acf2,pacf2 :heading 'ACF & PACF of Gasin'); call graph(acf1,SE1 :heading 'ACF and SE of ACF of Gasout'); i=integers(24); call tabulate(i,acf1,acf2,se1,se2,pacf1,pacf2); n=400; rr=rn(array(n:)); call graph(acf(rr,24) :heading 'ACF of Random series'); call graph(acf(dif(rr) ,24) :heading 'ACF of rn(1-B)'); call graph(acf(dif(rr,2,1),24) :heading 'ACF of rn(1-B)**2'); b34srun$ AFAM - Change a matrix or vector to be an array class object. x=afam(y); Creates an array from object y Example - Converts vector v and matrix xx into arrays v=vector(4:1 2 3 4); xx=matrix(2,2:v); call print(xx); ax=afam(x); call print(ax); av=afam(v); call print(v); ARGUMENT - Unpack character argument at run-time argument(cc) Will place character string cc at run time. Since cc can be built at run time this command allows the user to modify program logic at runtime. Uses: argument(string) allows: - Passing of arguments to programs. - Changing arguments to a command of a running program " on the fly." - An easy way to "duplicate" arguments to a function or subroutine. Examples: call character(in,'x'); call character(out,'y); call copy(argument(in),argument(out)); in place of argument(out)=argument(in); which will fail. call copy(