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var.h

/* 
 *  gretl -- Gnu Regression, Econometrics and Time-series Library
 *  Copyright (C) 2001 Allin Cottrell and Riccardo "Jack" Lucchetti
 * 
 *  This program 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 3 of the License, or
 *  (at your option) any later version.
 * 
 *  This program 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 program.  If not, see <http://www.gnu.org/licenses/>.
 * 
 */

#ifndef VAR_H_
#define VAR_H_

#include "gretl_matrix.h"
#include "gretl_restrict.h"

enum Detflags {
    DET_CONST = 1 << 0,
    DET_TREND = 1 << 1,
    DET_SEAS  = 1 << 2
};

typedef struct JohansenInfo_ JohansenInfo;

00034 struct GRETL_VAR_ {
    int ci;              /* command index (VAR or VECM) */
    int refcount;        /* for saving/deleting */
    int err;             /* error code */
    int neqns;           /* number of equations in system */
    int order;           /* maximum lag order */
    int t1;              /* starting observation */
    int t2;              /* ending observation */
    int T;               /* number of observations */
    int df;              /* T - average coeffs per equation */
    int ifc;             /* equations include a constant (1) or not (0) */
    int ncoeff;          /* total coefficients per equation */
    int ycols;           /* maximum columns of Y (VECM special) */
    int xcols;           /* maximum columns of X (VECM special) */
    int *lags;           /* list of specific lags */
    int *ylist;          /* list of stochastic vars */
    int *xlist;          /* list of exogenous variables */
    int *rlist;          /* restricted exogenous variables (VECM only) */
    int detflags;        /* record of automatic deterministic vars added */
    int robust;          /* computing robust std errors? */
    gretl_matrix *Y;     /* matrix of dependent variables */
    gretl_matrix *X;     /* matrix of independent variables */
    gretl_matrix *B;     /* basic coefficient matrix */
    gretl_matrix *XTX;   /* X'X inverse */
    gretl_matrix *A;     /* augmented coefficient matrix (companion form) */
    gretl_matrix *L;     /* lambda: inverse roots of A(L) polynomial */
    gretl_matrix *E;     /* residuals matrix */
    gretl_matrix *C;     /* augmented Cholesky-decomposed error matrix */
    gretl_matrix *S;     /* cross-equation variance matrix */
    gretl_matrix *F;     /* optional forecast matrix */
    gretl_matrix *ord;   /* optional Cholesky-ordering vector */
    MODEL **models;      /* pointers to individual equation estimates */
    double *Fvals;       /* hold results of F-tests */
    double *Ivals;       /* hold results of info criteria comparisons */
    double ldet;         /* log-determinant of S */
    double ll;           /* log-likelihood */
    double AIC;          /* Akaike criterion */
    double BIC;          /* Bayesian criterion */
    double HQC;          /* Hannan-Quinn criterion */
    double LR;           /* for likelihood-ratio testing */
    double LB;           /* Ljung-Box (Portmanteau) test statistic */
    int LBs;             /* order for for Portmanteau test */
    JohansenInfo *jinfo; /* extra information for VECMs */
    char *name;          /* for use in session management */
};

#define var_n_lags(v) ((v->lags != NULL)? v->lags[0] : v->order)
#define var_max_lag(v) ((v->lags != NULL)? v->lags[v->lags[0]] : v->order)

int var_max_order (const int *list, const DATAINFO *pdinfo);

GRETL_VAR *gretl_VAR (int order, int *list, 
                  const double **Z, const DATAINFO *pdinfo,
                  gretlopt opt, PRN *prn, int *errp);

GRETL_VAR *gretl_VECM (int order, int rank, int *list, 
                   const double **Z, const DATAINFO *pdinfo,
                   gretlopt opt, PRN *prn, int *err);

const gretl_matrix *
gretl_VAR_get_forecast_matrix (GRETL_VAR *var, int t1, int t2, 
                         const double **Z, DATAINFO *pdinfo,
                         gretlopt opt, int *err);

const gretl_matrix *
gretl_VAR_get_residual_matrix (const GRETL_VAR *var);

gretl_matrix *
gretl_VAR_get_fcast_decomp (const GRETL_VAR *var, 
                      int targ, int periods,
                      int *errp);

gretl_matrix *
gretl_VAR_get_vma_matrix (const GRETL_VAR *var, const DATAINFO *pdinfo,
                    int *err);

gretl_matrix *gretl_VAR_get_FEVD_matrix (const GRETL_VAR *var, 
                               int targ, int horizon, 
                               const DATAINFO *pdinfo,
                               int *err);

gretl_matrix *
gretl_VAR_get_full_FEVD_matrix (const GRETL_VAR *var, 
                        const DATAINFO *pdinfo,
                        int *err);

gretl_matrix *
VECM_get_EC_matrix (const GRETL_VAR *v, 
                const double **Z, 
                const DATAINFO *pdinfo, 
                int *err);

int 
gretl_VAR_do_error_decomp (const gretl_matrix *S, gretl_matrix *C,
                     const gretl_matrix *ord);

const gretl_matrix *gretl_VAR_get_roots (GRETL_VAR *var, int *err);

int gretl_VAR_autocorrelation_test (GRETL_VAR *var, int order, 
                            double ***pZ, DATAINFO *pdinfo,
                            PRN *prn);

int gretl_VAR_arch_test (GRETL_VAR *var, int order, 
                   DATAINFO *pdinfo, PRN *prn);

int gretl_VAR_normality_test (const GRETL_VAR *var, PRN *prn);

int set_VAR_model_stats (GRETL_VAR *var, int i);

const int *gretl_VAR_get_exo_list (const GRETL_VAR *var);

GRETL_VAR *gretl_VAR_omit_test (const int *omitvars, const GRETL_VAR *orig, 
                        const double **Z, DATAINFO *pdinfo, 
                        PRN *prn, int *err);

double *gretl_VECM_get_EC (GRETL_VAR *vecm, int j, const double **Z, 
                     const DATAINFO *pdinfo, int *err);

void gretl_VAR_free (GRETL_VAR *var);

int default_VAR_horizon (const DATAINFO *pdinfo);

gretl_matrix *
gretl_VAR_get_impulse_response (GRETL_VAR *var, 
                        int targ, int shock,
                        int periods, double alpha,
                        const double **Z,
                        const DATAINFO *pdinfo,
                        int *err);

void gretl_VAR_set_name (GRETL_VAR *var, const char *name);

const char *gretl_VAR_get_name (const GRETL_VAR *var);

int gretl_VAR_get_variable_number (const GRETL_VAR *var, int k);

int gretl_VAR_get_n_equations (const GRETL_VAR *var);

int gretl_VAR_get_t1 (const GRETL_VAR *var);

int gretl_VAR_get_t2 (const GRETL_VAR *var);

const MODEL *gretl_VAR_get_model (const GRETL_VAR *var, int i);

double *gretl_VAR_get_resid_series (GRETL_VAR *var, int eqnum,
                            int *err);

int gretl_VAR_set_ordering (GRETL_VAR *var, gretl_matrix *ord);

int gretl_VAR_do_irf (GRETL_VAR *var, const char *line,
                  const double **Z, const DATAINFO *pdinfo);

int gretl_VAR_get_highest_variable (const GRETL_VAR *var);

GRETL_VAR *johansen_test (int order, const int *list, 
                    const double **Z, const DATAINFO *pdinfo,
                    gretlopt opt, PRN *prn);

int johansen_test_simple (int order, const int *list, 
                    const double **Z, const DATAINFO *pdinfo,
                    gretlopt opt, PRN *prn);

int gretl_VECM_n_beta (const GRETL_VAR *vecm);

int gretl_VECM_n_alpha (const GRETL_VAR *vecm);

int gretl_VECM_test (GRETL_VAR *vecm, 
                 gretl_restriction *rset,
                 const DATAINFO *pdinfo, 
                 gretlopt opt,
                 PRN *prn);

GRETL_VAR *
real_gretl_restricted_vecm (GRETL_VAR *orig, 
                      gretl_restriction *rset,
                      const double **Z, const DATAINFO *pdinfo, 
                      PRN *prn, int *err);

int gretl_VECM_rank (const GRETL_VAR *vecm);

const int *gretl_VECM_list (const GRETL_VAR *vecm);

int beta_restricted_VECM (const GRETL_VAR *vecm);

int alpha_restricted_VECM (const GRETL_VAR *vecm);

int restricted_VECM (const GRETL_VAR *vecm);

const gretl_matrix *gretl_VECM_R_matrix (const GRETL_VAR *vecm);

const gretl_matrix *gretl_VECM_q_matrix (const GRETL_VAR *vecm);

const gretl_matrix *gretl_VECM_Ra_matrix (const GRETL_VAR *vecm);

const gretl_matrix *gretl_VECM_qa_matrix (const GRETL_VAR *vecm);

double *gretl_VAR_get_series (const GRETL_VAR *var, const DATAINFO *pdinfo, 
                        int idx, const char *key, int *err);

gretl_matrix *gretl_VAR_get_matrix (const GRETL_VAR *var, int idx, 
                            int *err);

void gretl_VAR_param_names (GRETL_VAR *v, char **params, 
                      const DATAINFO *pdinfo);

int gretl_VAR_serialize (const GRETL_VAR *var, SavedObjectFlags flags,
                   FILE *fp);

int transcribe_VAR_models (GRETL_VAR *var, 
                     const double **Z,
                     const DATAINFO *pdinfo,
                     const gretl_matrix *XTX);

#ifdef FULL_XML_HEADERS

GRETL_VAR *gretl_VAR_from_XML (xmlNodePtr node, xmlDocPtr doc, 
                         const DATAINFO *pdinfo,
                         int *err);

#endif

#endif /* VAR_H_ */


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