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gretl_model.h

/* gretl - The Gnu Regression, Econometrics and Time-series Library
 * Copyright (C) 1999-2004 Ramu Ramanathan and Allin Cottrell
 *
 * This library is free software; you can redistribute it and/or
 * modify it under the terms of the GNU General Public License 
 * as published by the Free Software Foundation; either version 2
 * of the License, or (at your option) any later version.
 *
 * This software is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
 * General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License 
 * along with this software; if not, write to the 
 * Free Software Foundation, Inc., 59 Temple Place - Suite 330,
 * Boston, MA 02111-1307, USA.
 */

#ifndef GRETL_MODEL_H
#define GRETL_MODEL_H

#include "objstack.h"

typedef enum {
    M_ESS = 1,    /* error sum of squares */
    M_T,          /* observations used */
    M_RSQ,        /* R-squared */
    M_SIGMA,      /* standard error of residuals */
    M_DF,         /* degrees of freedom */
    M_NCOEFF,     /* total number of estimated coefficients */
    M_LNL,        /* log-likelihood */
    M_AIC,        /* Akaike info criterion */
    M_BIC,        /* Bayesian info criterion */
    M_HQC,        /* Hannan-Quinn criterion */
    M_TRSQ,       /* T * R-squared, last model */
    M_SCALAR_MAX, /* -- separator -- */
    M_COEFF_S,    /* single coefficient */
    M_SE_S,       /* single standard error */
    M_VCV_S,      /* single covariance matrix entry */
    M_RHO_S,      /* single rho array entry */
    M_ELEM_MAX,   /* -- separator -- */
    M_UHAT,       /* residuals */
    M_YHAT,       /* fitted values */
    M_AHAT,       /* per-unit intercepts in panel model */
    M_H,          /* GARCH predicted variances */
    M_SERIES_MAX, /* -- separator -- */
    M_COEFF,      /* parameter estimates */
    M_SE,         /* parameter standard errors */
    M_VCV,        /* parameter covariance matrix */
    M_RHO,        /* autoregressive coefficients */
    M_JALPHA,     /* Johansen's alpha */
    M_JBETA,      /* Johansen's beta */
    M_JVBETA,     /* Covariance matrix for Johansen's normalised beta */
    M_MAX         /* sentinel */
} ModelDataIndex;

#define model_data_is_scalar(i) (i > 0 && i < M_SCALAR_MAX)
#define model_data_is_scalar_element(i) (i > M_SCALAR_MAX && i < M_ELEM_MAX)
#define model_data_is_series(i) (i > M_ELEM_MAX && i < M_SERIES_MAX)
#define model_data_is_matrix(i) (i > M_ELEM_MAX && i != M_SERIES_MAX)

typedef enum {
    MODEL_DATA_NONE,
    MODEL_DATA_INT,
    MODEL_DATA_LIST,
    MODEL_DATA_DOUBLE,
    MODEL_DATA_INT_ARRAY,
    MODEL_DATA_DOUBLE_ARRAY,
    MODEL_DATA_STRING,
    MODEL_DATA_CHAR_ARRAY,
    MODEL_DATA_CMPLX_ARRAY,
    MODEL_DATA_STRUCT
} ModelDataType;

typedef enum {
    ARMA_SEAS  = 1 << 0, /* includes seasonal component */
    ARMA_DSPEC = 1 << 1, /* input list includes differences */
    ARMA_X12A  = 1 << 2, /* using X-12-ARIMA to generate estimates */
    ARMA_EXACT = 1 << 3, /* using exact ML */
    ARMA_VECH  = 1 << 4  /* using vech representation when computing
                      variance matrix of state for Kalman filter
                   */
} ArmaFlags;

typedef struct CoeffIntervals_ CoeffIntervals;

struct CoeffIntervals_ {
    int ncoeff;
    char **names;
    double *coeff;
    double *maxerr;
    int df;
    int ifc;
};

#define AR_MODEL(c) (c == AR || \
                     c == ARMA || \
                     c == CORC || \
                     c == GARCH || \
                     c == HILU || \
                     c == PWE)

#define AR1_MODEL(c) (c == CORC || \
                      c == HILU || \
                      c == PWE)

#define SIMPLE_AR_MODEL(c) (c == AR || \
                            c == CORC || \
                            c == HILU || \
                            c == PWE)

#define ML_ESTIMATOR(c) (c == ARMA || \
                         c == GARCH || \
                         c == LOGIT || \
                         c == MLE || \
                         c == POISSON || \
                         c == PROBIT || \
                         c == TOBIT)

#define LIMDEP(c) (c == LOGIT || \
                   c == PROBIT || \
                   c == TOBIT)

#define LSQ_MODEL(c) (c == CORC || \
                      c == HCCM || \
                      c == HILU || \
                      c == HSK || \
                      c == OLS || \
                      c == PWE || \
                      c == WLS)

#define ASYMPTOTIC_MODEL(c) (c == ARMA || \
                             c == GARCH || \
                             c == LOGIT || \
                             c == MLE || \
                             c == POISSON || \
                             c == PROBIT || \
                             c == TOBIT || \
                             c == TSLS)

#define is_model_ref_cmd(c) (c == ADD || \
                           c == ARCH || \
                           c == CHOW || \
                           c == CUSUM || \
                           c == FCAST || \
                           c == FCASTERR || \
                           c == FIT || \
                             c == LEVERAGE || \
                           c == LMTEST || \
                             c == OMIT || \
                           c == RESTRICT || \
                             c == VIF)

typedef enum {
    GRETL_TEST_ADD,
    GRETL_TEST_ARCH,
    GRETL_TEST_AUTOCORR,
    GRETL_TEST_CHOW,
    GRETL_TEST_CUSUM,
    GRETL_TEST_QLR,
    GRETL_TEST_GROUPWISE,
    GRETL_TEST_LOGS,
    GRETL_TEST_NORMAL,
    GRETL_TEST_OMIT,
    GRETL_TEST_RESET,
    GRETL_TEST_SQUARES,
    GRETL_TEST_WHITES,
    GRETL_TEST_SARGAN,
    GRETL_TEST_TSLS_HAUSMAN,
    GRETL_TEST_PANEL_HAUSMAN,
    GRETL_TEST_PANEL_F,
    GRETL_TEST_PANEL_BP,
    GRETL_TEST_MAX
} ModelTestType;

#ifndef GRETLCLI
int attach_model_tests_from_xml (MODEL *pmod, xmlNodePtr node);
#endif

MODEL *gretl_model_new (void);

MODEL *gretl_model_new_protected (void);

void gretl_model_init (MODEL *pmod);

int gretl_model_allocate_storage (MODEL *pmod);

MODEL **gretl_model_array_new (int n);

void gretl_model_array_destroy (MODEL **models, int n);

void gretl_model_smpl_init (MODEL *pmod, const DATAINFO *pdinfo);

void impose_model_smpl (const MODEL *pmod, DATAINFO *pdinfo);

void gretl_model_set_auxiliary (MODEL *pmod, ModelAuxCode aux);

void clear_model (MODEL *pmod);

void gretl_model_free (MODEL *pmod);

void gretl_model_free_on_exit (MODEL *pmod);

int gretl_model_set_data_with_destructor (MODEL *pmod, const char *key, void *ptr, 
                                ModelDataType type, size_t size, 
                                void (*destructor) (void *));

int gretl_model_set_data (MODEL *pmod, const char *key, void *ptr, 
                    ModelDataType type, size_t size);

int gretl_model_set_list_as_data (MODEL *pmod, const char *key, int *list);

int gretl_model_set_string_as_data (MODEL *pmod, const char *key, char *str);

int gretl_model_destroy_data_item (MODEL *pmod, const char *key);

int gretl_model_detach_data_item (MODEL *pmod, const char *key);

int gretl_model_set_int (MODEL *pmod, const char *key, int val);

int gretl_model_set_double (MODEL *pmod, const char *key, double val);

void *gretl_model_get_data (const MODEL *pmod, const char *key);

void *gretl_model_get_data_and_size (const MODEL *pmod, const char *key,
                             size_t *sz);

int gretl_model_get_int (const MODEL *pmod, const char *key);

double gretl_model_get_double (const MODEL *pmod, const char *key);

int *gretl_model_get_list (const MODEL *pmod, const char *key);

char *gretl_model_get_param_name (const MODEL *pmod, 
                          const DATAINFO *pdinfo,
                          int i, char *targ);

int gretl_model_get_param_number (const MODEL *pmod, 
                          const DATAINFO *pdinfo,
                          char *pname);

void free_coeff_intervals (CoeffIntervals *cf);

CoeffIntervals *
gretl_model_get_coeff_intervals (const MODEL *pmod, 
                         const DATAINFO *pdinfo);

int gretl_model_get_depvar (const MODEL *pmod);

int *gretl_model_get_x_list (const MODEL *pmod);

int arma_model_nonseasonal_AR_order (const MODEL *pmod);

int arma_model_nonseasonal_MA_order (const MODEL *pmod);

int arma_model_max_AR_lag (const MODEL *pmod);

int arma_model_max_MA_lag (const MODEL *pmod);

int arma_model_integrated_AR_MA_coeffs (const MODEL *pmod,
                              double **phi_star,
                              double **theta_star);

int regarma_model_AR_coeffs (const MODEL *pmod,
                       double **phi0,
                       int *pp);

const double *arma_model_get_x_coeffs (const MODEL *pmod);

int regarima_model_get_AR_coeffs (const MODEL *pmod,
                          double **phi0,
                          int *pp);

int gretl_model_new_vcv (MODEL *pmod, int *nelem);

VMatrix *gretl_model_get_vcv (MODEL *pmod, const DATAINFO *pdinfo);

int gretl_model_add_arinfo (MODEL *pmod, int nterms);

MODEL *gretl_model_copy (const MODEL *pmod);

void swap_models (MODEL *targ, MODEL *src);

int is_model_cmd (const char *line);

int is_quiet_model_test (int ci, gretlopt opt);

int command_ok_for_model (int test_ci, int model_ci);

int model_test_ok (int ci, gretlopt opt, const MODEL *pmod, 
               const DATAINFO *pdinfo);

int gretl_is_arima_model (const MODEL *pmod);

int get_first_model_stat (const char **word, const char **desc);

int get_next_model_stat (const char **word, const char **desc);

int get_model_count (void);

void reset_model_count (void);

int model_count_plus (void);

void model_count_minus (void);

void set_model_id (MODEL *pmod);

ModelTest *model_test_new (ModelTestType ttype);
void model_test_free (ModelTest *test);

int maybe_add_test_to_model (MODEL *pmod, ModelTest *test);

void model_test_set_teststat (ModelTest *test, unsigned char ts);
void model_test_set_order (ModelTest *test, int order);
void model_test_set_dfn (ModelTest *test, int df);
void model_test_set_dfd (ModelTest *test, int df);
void model_test_set_value (ModelTest *test, double val);
void model_test_set_pvalue (ModelTest *test, double pval);
void model_test_set_param (ModelTest *test, const char *s);
void model_test_set_allocated_param (ModelTest *test, char *s);
void model_test_set_crit_and_alpha (ModelTest *test, 
                            double crit,
                            double alpha);

void gretl_model_test_print (const MODEL *pmod, int i, PRN *prn);
void gretl_model_print_last_test (const MODEL *pmod, PRN *prn);
void gretl_model_test_print_direct (const ModelTest *test, PRN *prn);

void gretl_model_destroy_tests (MODEL *pmod);

void model_list_to_string (int *list, char *buf);

int highest_numbered_var_in_model (const MODEL *pmod, 
                           const DATAINFO *pdinfo);

int mle_criteria (MODEL *pmod, int addk);

double coeff_pval (const MODEL *pmod, double x, int df);

int gretl_model_add_arma_varnames (MODEL *pmod, const DATAINFO *pdinfo,
                           int yno, int p, int q, int P, int Q, 
                           int r);

int gretl_model_add_panel_varnames (MODEL *pmod, const DATAINFO *pdinfo,
                            const int *ulist);

void gretl_model_add_allocated_varnames (MODEL *pmod, char **vnames);

char *gretl_model_get_fitted_formula (const MODEL *pmod, int xvar,
                              const double **Z,
                              const DATAINFO *pdinfo);

void gretl_model_set_name (MODEL *pmod, const char *name);

const char *gretl_model_get_name (const MODEL *pmod);

int gretl_model_data_index (const char *s);

double gretl_model_get_scalar (const MODEL *pmod, ModelDataIndex idx, 
                         int *err);

double *
gretl_model_get_series (const MODEL *pmod, const DATAINFO *pdinfo, 
                  ModelDataIndex idx, int *err);

gretl_matrix *gretl_model_get_matrix (MODEL *pmod, ModelDataIndex idx, 
                              int *err);

int gretl_model_serialize (const MODEL *pmod, SavedObjectFlags flags,
                     FILE *fp);

#ifndef GRETLCLI

MODEL *gretl_model_from_XML (xmlNodePtr node, xmlDocPtr doc, int *err);

#endif

#endif /* GRETL_MODEL_H */

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