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libs.hardl.prg
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subroutine ARstracture( )
if !ifVarLar=1 then
%eqnamear = @getnextname("ZZ__ARStru")
equation {%eqnamear}.ls {%lsAR}
%eqnamearS = @getnextname("ZZ__SARStru")
equation {%eqnamearS}.ls {%lsSAR}
' {%eqnamear}.arma(type=root,g)
endif
endsub
subroutine GecikmeHesapla( scalar sayi )
if !ifVarLar=1 then
call MakeLsEquation (sayi)
%lsAR=%BagimliDegisken+%ls1 +%ARvars +%DigerDegiskenler
%lsSAR=%BagimliDegisken+%ARvars +%DigerDegiskenler
%ls=%BagimliDegisken+%ls1 + %ls2 +%DigerDegiskenler
'{%Logtxt}.append %ls
'%statmsg4="Computing....."+%ls
'statusline %statmsg4
'seterr %NARDLWaldTXTQ
call WriteToLog(%ARDLN +" : "+ %ls)
%buyazi= "Estimate of "+ %vars +" "+ %ARDLN
statusline {%buyazi}
equation {%eqname}.ls {%ls}
!ac={%eqname}.@aic
!sw={%eqname}.@schwarz
!hq= {%eqname}.@hq
!lg= {%eqname}.@logl
if(!ac<!a_1) then
!a_1=!ac
!b_1=sayi
%LagArdl1=%ARDLNa
endif
if(!sw<!a_2) then
!a_2=!sw
!b_2=sayi
%LagArdl2=%ARDLNa
endif
if(!hq<!a_3) then
!a_3=!hq
!b_3=sayi
%LagArdl3=%ARDLNa
endif
if(!lg<!a_4) then
!a_4=!lg
!b_4=sayi
%LagArdl4=%ARDLNa
endif
{%tn}(sayi+1,1)= %ARDLNa
{%tn}(sayi+1,2)=!ac
{%tn}(sayi+1,3)=!sw
{%tn}(sayi+1,4)=!hq
{%tn}(sayi+1,5)=!lg
' {%tn}(sayi+1,6)= %ls
'{%mn}(sayi,!a_1y)=!ac
'{%mn}(sayi,!a_2y)=!sw
'{%mn}(sayi,!a_3y)=!hq
d {%eqname}
endif
endsub
subroutine GenToSpec( )
if !ifVarLar=1 then
%mn = @getnextname("ZZ___mat")
!toplam=1
matrix(1 ,!n_var) {%mn}
for !j=1 to !n_var
{%mn}(1,!j)=!maxlag
next j
call MakeLsEquation(1)
%ls= %BagimliDegisken +%ls1+ %DigerDegiskenler+" @ "+ %ls2
call WriteToLog(" stepls(method = uni, back, btol = 0.05) : "+ %ls)
endif
endsub
subroutine GetMin( string %in, scalar !q1)
if !ifVarLar=1 then
%Min = %in +"_N"
if @isobject(%Min) then
d {%Min}
endif
%Din = @getnextname("ZZ__DNARDL"+%in)
%gs = @getnextname("ZZ__NARDL")
series {%Din}=d({%in})
series {%gs}= @recode({%Din}>=!q1 ,0,{%Din})
series {%Min} = @cumsum( {%gs})
d {%gs} {%Din}
endif
endsub
subroutine GetMax(string %in, scalar !q1)
if !ifVarLar=1 then
%Max = %in +"_P"
if @isobject(%Max) then
d {%Max}
endif
%Din = @getnextname("ZZ__DNARDL"+%in)
%gs = @getnextname("ZZ__NARDL")
series {%Din}=d({%in})
series {%gs}= @recode({%Din}<=!q1 ,0,{%Din})
series {%Max} = @cumsum( {%gs})
d {%gs} {%Din}
endif
endsub
subroutine LmTests( )
if !ifVarLar=1 then
%LmTable=@getnextname("ZZ__LmTable")
table {%LmTable}
{%LmTable}(1,1)="Lag"
{%LmTable}(1,2)="F-statistic"
{%LmTable}(1,3)="F Prob"
{%LmTable}(1,4)="n*R-Square"
{%LmTable}(1,5)="Prob. Chi-Square"
%LMtest=@getnextname("ZZ__LMTest")
for !lmm=1 to !maxlag
freeze({%LMtest}) {%eqname}.auto(!lmm)
{%LmTable}(1+!lmm,1)=@str(!lmm)
{%LmTable}(1+!lmm,2)={%LMtest}(3,2)
%FprobTable={%LMtest}(3,5)
if( @val(%FprobTable) < !pcrit2 ) then
!autocor=1
%FprobTable=%FprobTable +"*"
endif
%KprobTable={%LMtest}(4,5)
if( @val(%KprobTable) < !pcrit2 ) then
!autocor=1
%KprobTable=%KprobTable +"*"
endif
{%LmTable}(1+!lmm,3)=%FprobTable
{%LmTable}(1+!lmm,4)={%LMtest}(4,2)
{%LmTable}(1+!lmm,5)=%KprobTable
d {%LMtest}
next
{%LmTable}(2+!maxlag,1) ="* shows auto correlation at lag"
{%LmTable}.title "Breusch-Godfrey Serial Correlation LM Test"
{%LmTable}.setlines(@all) +a
endif
endsub
subroutine MakeBoundsTable(scalar !pl , scalar !ph ,scalar !nl , scalar !nh )
if !ifVarLar=1 then
%tnb = @getnextname("ZZ__tableBounds")
table {%tnb}
{%tnb}(1,2)="I(0)"
{%tnb}(1,3)="I(1)"
{%tnb}(2,1)="Pesaran"
{%tnb}(2,2)= !pl
{%tnb}(2,3)= !ph
{%tnb}(3,1)="Narayan"
if(!rest > 1) then
{%tnb}(3,2)= !nl
{%tnb}(3,3)= !nh
endif
{%tnb}.setlines(@all) +a
{%tnb}.title=" bound table values"
{%Abst}.append {%tnb}
d {%tnb}
endif
endsub
subroutine MakeLibreFormulas( )
if !ifVarLar=1 then
%LibreFormulas = @getnextname("ZZ__LibreFormulas")
%gostergeler="p q m n v w b h g d s r o"
%Libre_ex=""
%asVar=""
%Libre_SSum_InDep =""
%LibreO_AsyShort=""
%LibreO_AsyLong=""
%Libre_SSum_InDep2=""
%anlamAsy1=""
%anlamAsy2=""
%anlam1=""
%anlam2=""
%LDependVar=""""+%DependVar+""""
text {%LibreFormulas}
%Libre_Dependent =" %DELTA "+%LDependVar+"_t = "
%Libre_Long_Dependent =" "+%LDependVar+"_t = " 'Uzun Dönem
%anlam1Oratk=" %eta _0 =%theta"
%anlam2Ortak =" ~ %theta = %eta _0 "
if(!a_vars > 0) then
%LibreO_Asy1=""
%LibreO_AsyDyn=""
for !aslar=1 to !a_vars
%asVar=""""+@word(%avars,!aslar )+""""
if !aslar>1 then %SonrakiSatir=" newline " else %SonrakiSatir="" endif
%LibreO_Asy1= %LibreO_Asy1+%SonrakiSatir+%asVar+"^{size 12 {+"" ""}}_t = sum from{i=1} to{t} { %DELTA "+ %asVar+"^{size 12 {+"" ""}}_i } = sum from{i=1} to{t} {max(%DELTA "+ %asVar+"_i ,0) } ~;~"+ %asVar+"^{size 12 {-"" ""}}_t = sum from{i=1} to{t} { %DELTA "+ %asVar+"^{size 12 {-"" ""}}_i }= sum from{i=1} to{t} {min(%DELTA "+ %asVar+"_i ,0) }"
%LibreO_AsyDyn=%LibreO_AsyDyn+%SonrakiSatir+"m^{size 12 {+"" ""}} _h = sum from{i=0} to{h} { { partial "+%LDependVar+" _{t+i} }over {partial "+%asVar+"^{size 12 {+"" ""}} _t} } ~;~ m^{size 12 {-"" ""}} _h = sum from{i=0} to{h} { { partial "+%LDependVar+" _{t+i} }over {partial "+%asVar+"^{size 12 {-"" ""}} _t} } newline lim from{ h toward %infinite } m^{size 12 {+"" ""}} _h = %alpha^{size 12 {+"" ""}} _1 ~ , ~ lim from{ h toward %infinite } m^{size 12 {-"" ""}} _h = %alpha^{size 12 {-"" ""}} _1 "
next !aslar
endif
if(!rest <> 1) then
%Libre_C =" %beta_0 + "
%Libre_C1 =" %alpha_0 "
%Libre_C2 =" %psi + "
%anlam1Oratk= "%psi = %beta_0 - %theta %alpha_0 ~, ~ "+%anlam1Oratk
endif
!ekGosterde=0
%Libre_SSum_Dep ="sum from{j=1} to{"+@word(%gostergeler,1)+"} { %beta_1j %DELTA "+%LDependVar+"_{t-j} }"
%LibreO_ulaTxtLOrtak ="%eta _0 "+%LDependVar+"_{t-1} "
%ARDLFormF="ARDL("+@word(%gostergeler,1)
if(!DifferentAsymLag > 0 AND !a_Svars >0 )then
!eklenecekSayi=1
else
!eklenecekSayi=0
endif
for !v=2 to !n_var
%buDeg= @word(%vars,!v)
%LbuDeg=""""+%buDeg+""""
%Libre_SSum_InDep =%Libre_SSum_InDep +"+ sum from{j=0} to{"+@word(%gostergeler,!v+!ekGosterde)+"} { %beta_"+@str(!v)+"j %DELTA "+%LbuDeg+"_{t-j} }"
%ARDLFormF=%ARDLFormF+","+@word(%gostergeler,!v+!ekGosterde)
%Libre_SSum_InDep2 =%Libre_SSum_InDep2 +" + %eta _"+@str(!v-1)+" "+%LbuDeg+"_{t-1} "
%Libre_SSum_InDep1 =%Libre_SSum_InDep1 +" + %alpha _"+@str(!v-1)+" "+%LbuDeg+"_{t } "
if !a_vars > 0 then
if @wcount(@wintersect( %asvars , %buDeg )) then
%LibreO_AsyShort= %LibreO_AsyShort+"+ sum from{j=0} to{"+@word(%gostergeler,!v+!ekGosterde)+"}{%beta^{size 12 {+"" ""}}_"+@str(!v)+"j %DELTA "+%LbuDeg+"^{size 12 {+"" ""}}_{t-j}}+"
!ekGosterde= !ekGosterde+!eklenecekSayi
%LibreO_AsyShort= %LibreO_AsyShort+"sum from{j=0} to{"+@word(%gostergeler,!v+!ekGosterde)+"} {%beta^{size 12 {-"" ""}}_"+@str(!v)+"j %DELTA "+%LbuDeg+"^{size 12 {-"" ""}}_{t-j}}"
else
%LibreO_AsyShort= %LibreO_AsyShort+"+ sum from{j=0} to{"+@word(%gostergeler,!v+!ekGosterde)+"} { %beta_"+@str(!v)+"j %DELTA "+%LbuDeg+"_{t-j} }"
endif
if @wcount(@wintersect( %alvars , %buDeg )) then
%LibreO_AsyLong=%LibreO_AsyLong+" + %eta^{size 12 {+"" ""}} _"+@str(!v-1)+" "+%LbuDeg+"^{size 12 {+"" ""}}_{t-1} + %eta^{size 12 {-"" ""}} _"+@str(!v-1)+" "+%LbuDeg+"^{size 12 {-"" ""}}_{t-1} "
%LibreO_ulaAsyTxtS1 =%LibreO_ulaAsyTxtS1 +" + %alpha^{size 12 {+"" ""}} _"+@str(!v-1)+" "+%LbuDeg+"^{size 12 {+"" ""}}_{t } + %alpha^{size 12 {-"" ""}} _"+@str(!v-1)+" "+%LbuDeg+"^{size 12 {-"" ""}}_{t }"
%anlamAsy1=%anlamAsy1+" ~ , ~ %eta^{size 12 {+"" ""}} _"+@str(!v-1)+" `= `-`{%theta %alpha^{size 12 {+"" ""}} _"+@str(!v-1)+" } ~ , ~ %eta^{size 12 {-"" ""}} _"+@str(!v-1)+" = `-{%theta %alpha^{size 12 {-"" ""}} _"+@str(!v-1)+" } "
%anlamAsy2=%anlamAsy2+" ~ , ~ %alpha^{size 12 {+"" ""}} _"+@str(!v-1)+" ` =`- `{ { %eta^{size 12 {+"" ""}} _"+@str(!v-1)+" }over {%theta }} ~ , ~ %alpha^{size 12 {-"" ""}} _"+@str(!v-1)+" `= ` - `{ { %eta^{size 12 {-"" ""}} _"+@str(!v-1)+" }over {%theta }} "
else
%LibreO_AsyLong=%LibreO_AsyLong+" + %eta _"+@str(!v-1)+" "+%LbuDeg+"_{t-1} "
%LibreO_ulaAsyTxtS1 =%LibreO_ulaAsyTxtS1 +" + %alpha _"+@str(!v-1)+" "+%LbuDeg+"_{t } "
%anlamAsy1=%anlamAsy1+" ~ , ~ %eta _"+@str(!v-1)+" `= - `{%theta %alpha _"+@str(!v-1)+" } "
%anlamAsy2=%anlamAsy2+" ~ , ~ %alpha _"+@str(!v-1)+" `= - `{{ %eta _"+@str(!v-1)+" }over {%theta }} "
endif
endif
%anlam1=%anlam1+" ~ , ~ %eta _"+@str(!v-1)+" = - `{%theta %alpha _"+@str(!v-1)+" } "
%anlam2=%anlam2+" ~ , ~ `{ %alpha _"+@str(!v-1)+" =`- ` { %eta _"+@str(!v-1)+" }over {%theta }} "
next !v
%ARDLFormF=%ARDLFormF+")"
if !e_var >0 then
for !v=1 to !e_var
%Libre_ex=%Libre_ex+"+ %gamma_"+@str(!v)+" """+@word(%evars,!v)+"""_{t} "
next !v
endif
if(!rest = 3) then
%Libre_ex=%Libre_ex+" + %varphi t "
endif
%LibreO_ECM =%Libre_Dependent +%Libre_C+%Libre_SSum_Dep+%Libre_SSum_InDep+%Libre_ex+"+ %theta %epsilon _{t-1} + e_t"
%LibreO_Long =%Libre_Long_Dependent+ %Libre_C1 +%Libre_SSum_InDep1+" + %epsilon _t"
%LibreO_ARDL =%Libre_Dependent +%Libre_C2+%LibreO_ulaTxtLOrtak+%Libre_SSum_InDep2+"+"+%Libre_SSum_Dep+%Libre_SSum_InDep+%Libre_ex+"+ e_t"
%LibreO_AsyEq= %Libre_Dependent +%Libre_C2+%LibreO_ulaTxtLOrtak+%LibreO_AsyLong+"+"+%Libre_SSum_Dep+%LibreO_AsyShort+%Libre_ex+"+ e_t"
%LibreO_AsyEqShort= %Libre_Dependent +%Libre_C2+%LibreO_ulaTxtLOrtak+%Libre_SSum_InDep2+"+"+%Libre_SSum_Dep+%LibreO_AsyShort+%Libre_ex+"+ e_t"
%LibreO_AsyEqLong= %Libre_Dependent +%Libre_C2+%LibreO_ulaTxtLOrtak+%LibreO_AsyLong+"+"+%Libre_SSum_Dep+%Libre_SSum_InDep+%Libre_ex+"+ e_t"
%LibreO_AsyTxt1=%Libre_Long_Dependent+ %Libre_C1 +%LibreO_ulaAsyTxtS1+" + %epsilon _t"
{%LibreFormulas}.append ___Long run _________________________________________
{%LibreFormulas}.append %LibreO_Long
{%LibreFormulas}.append ___ECM_______________________________________________
{%LibreFormulas}.append %LibreO_ECM
{%LibreFormulas}.append ___ARDL______________________________________________
{%LibreFormulas}.append %LibreO_ARDL
{%LibreFormulas}.append ___Model_____________________________________________
{%LibreFormulas}.append %ARDLFormF
{%LibreFormulas}.append _____Where___________________________________________
%anlam1 = %anlam1Oratk + %anlam1
{%LibreFormulas}.append %anlam1
{%LibreFormulas}.append _____Long run Coeficients____________________________
%anlam2 = %anlam2Ortak + %anlam2
{%LibreFormulas}.append %anlam2
if(!a_vars > 0) then
{%LibreFormulas}.append ____Asymetrics__________________________________
{%LibreFormulas}.append %LibreO_Asy1
{%LibreFormulas}.append ____Asymetrics Long Run_________________________
{%LibreFormulas}.append %LibreO_AsyTxt1
{%LibreFormulas}.append ____Asymetrics Model____________________________
{%LibreFormulas}.append %LibreO_AsyEq
{%LibreFormulas}.append _____Where___________________________________________
%anlamAsy1 = %anlam1Oratk+ %anlamAsy1
{%LibreFormulas}.append %anlamAsy1
{%LibreFormulas}.append _____Long run Coeficients____________________________
%anlamAsy2 = %anlam2Ortak + %anlamAsy2
{%LibreFormulas}.append %anlamAsy2
{%LibreFormulas}.append ____Asymetrics Short Run Model____________________________
{%LibreFormulas}.append %LibreO_AsyEqShort
{%LibreFormulas}.append ____Asymetrics Long Run Model____________________________
{%LibreFormulas}.append %LibreO_AsyEqLong
{%LibreFormulas}.append ____Asymetrics Dynamic____________________________
{%LibreFormulas}.append %LibreO_AsyDyn
endif
endif
endsub
subroutine MakeLsEquation ( scalar sayi )
if !ifVarLar=1 then
%ls=""
%ls1=""
%ls2=""
%lsECM1=""
%ARvars=""
%lsAR=""
%lsSAR=""
!DegSay=0
!SDegSay=!n_var
if @wcount(%alvars) >0 then
!SDegSay=!SDegSay+@wcount(%alvars)
endif
%NARDLWaldTXTQ=""
%NARDLWaldTXTp=""
%NARDLWaldTXTm=""
%NARDLEQ=""
%ARDLNa=""
%ARDLN=""
!matrisSutunu1=0
for !v=1 to !n_var
!DegSay=!DegSay+1
%NARDLEpm=""
%NARDLEpm2=""
%degisken=@word(%vars,!v)
!SNARDLsay= @wfind( %asvars , %degisken)
' @uiprompt(@str( !SNARDLsay)+ " >> "+%asvars + " ___ "+ %degisken)
if(!v>1 AND !SNARDLsay >0 ) then
%buDegS1="NARDLWaldTxtS1"+@str(!SNARDLsay)
%{%buDegS1}=""
%buDegS2="NARDLWaldTxtS2"+@str(!SNARDLsay)
%{%buDegS2}=""
endif
!LNARDLsay= @wfind( %alvars , %degisken)
%buDegL="NARDLWaldTxtL"+@str(!LNARDLsay)
%{%buDegL}=""
' !SNARDLsay=@wcount(@wintersect( %asvars , %degisken ))
' !LNARDLsay=@wcount(@wintersect( %alvars , %degisken ))
if(!v>1 AND !LNARDLsay >0) then
%ls1 =%ls1+" "+%degisken+"_N(-1) "+%degisken+"_P(-1) "
%lsECM1=%lsECM1+" "+%degisken+"_N "+%degisken+"_P "
!DegSay=!DegSay+1
%{%buDegL}=" -C("+@str(!DegSay-1)+")/c(1) =-C("+@str(!DegSay)+")/c(1) "
' @uiprompt(%NARDLWaldTxtL1)
' stop
else
%ls1 =%ls1+" "+%degisken+"(-1) "
%lsECM1=%lsECM1+" "+%degisken+" "
endif
'kisa döneme gidelim
if(!v>1 ) then
!basla=0
else
!basla=1
endif
!matrisSutunu1=!matrisSutunu1+1
%ARDLNa=%ARDLNa+@str({%mn}(sayi,!matrisSutunu1))
if( !v<!n_var )then
%ARDLNa=%ARDLNa+","
endif
for !j=!basla to {%mn}(sayi,!matrisSutunu1)
!SDegSay=!SDegSay+1
if(!v>1 AND !SNARDLsay >0 ) then
if %{%buDegS1}<>"" then
%NARDLEpm=" + "
endif
%{%buDegS1}=%{%buDegS1}+%NARDLEpm+"C("+@str(!SDegSay)+") "
%LaggedVars=" d("+%degisken+"_N(-"+@str(!j)+"))"
else
%LaggedVars=" d("+%degisken+"(-"+@str(!j)+")) "
endif
%ls2=%ls2+ %LaggedVars '%ls2=%ls2+"_1_"+ %LaggedVars+"_2_"
next j
if(!DifferentAsymLag > 0 AND !a_Svars >0 AND !SNARDLsay >0)then
!matrisSutunu1=!matrisSutunu1+1
%ARDLNa=@left(%ARDLNa,@length(%ARDLNa)-1)+":"+@str({%mn}(sayi,!matrisSutunu1)) '@left(%ARDLNa,@length(%ARDLNa)-1) remove last ,
if( !v<!n_var)then
%ARDLNa=%ARDLNa+","
endif
endif
for !j2=!basla to {%mn}(sayi,!matrisSutunu1)
if(!v>1 AND !SNARDLsay >0 ) then
if %{%buDegS2}<>"" then
%NARDLEpm2=" + "
endif
%LaggedVars=" d("+%degisken+"_P(-"+@str(!j2)+")) "
!SDegSay=!SDegSay+1
%{%buDegS2}=%{%buDegS2}+%NARDLEpm2+"C("+@str(!SDegSay)+") "
%ls2=%ls2+ %LaggedVars '%ls2=%ls2+"_3_"+ %LaggedVars+"_4_"
endif
next j2
' {%Logtxt}.append ____________
' {%Logtxt}.append %{%buDegS1} "==" %{%buDegS2} +" XXXX "+ !LNARDLsay
next v
%ARDLN="ARDL("+%ARDLNa+")"
%DigerDegiskenler=%syntaxtrent+%syntaxintercept+" "+ %evars
%BagimliDegisken=" d("+@word(%vars,1)+") "
endif
endsub
subroutine MatrisOlustur()
if !ifVarLar=1 then
%mn = @getnextname("ZZ___mat")
!yn_var=!n_var
if(!a_Svars > 0)then
if(!DifferentAsymLag > 0)then
!yn_var=!n_var+!a_Svars
endif
endif
!toplam=(!maxlag+1)^!yn_var-(!maxlag+1)^(!yn_var-1) ' sifirdan baslayan icin
!baslangic=0 ' 0 sifirdan baslar
' @uiprompt(!toplam)
' stop
matrix(!toplam ,!yn_var) {%mn}
!satir=1
for !k_1=1 to !maxlag
{%mn}(!satir,1)=!k_1
if !yn_var>1 then
for !k_2=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
if !yn_var>2 then
for !k_3=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
if !yn_var>3 then
for !k_4=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
if !yn_var>4 then
for !k_5=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
if !yn_var>5 then
for !k_6=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
if !yn_var>6 then
for !k_7=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
if !yn_var>7 then
for !k_8=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
{%mn}(!satir,8)=!k_8
if !yn_var>8 then
for !k_9=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
{%mn}(!satir,8)=!k_8
{%mn}(!satir,9)=!k_9
if !yn_var>9 then
for !k_10=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
{%mn}(!satir,8)=!k_8
{%mn}(!satir,9)=!k_9
{%mn}(!satir,10)=!k_10
if !yn_var>10 then
for !k_11=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
{%mn}(!satir,8)=!k_8
{%mn}(!satir,9)=!k_9
{%mn}(!satir,10)=!k_10
{%mn}(!satir,11)=!k_11
if !yn_var>11 then
for !k_12=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
{%mn}(!satir,8)=!k_8
{%mn}(!satir,9)=!k_9
{%mn}(!satir,10)=!k_10
{%mn}(!satir,11)=!k_11
{%mn}(!satir,12)=!k_12
if !yn_var>12 then
for !k_13=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
{%mn}(!satir,8)=!k_8
{%mn}(!satir,9)=!k_9
{%mn}(!satir,10)=!k_10
{%mn}(!satir,11)=!k_11
{%mn}(!satir,12)=!k_12
{%mn}(!satir,13)=!k_13
if !yn_var>13 then
for !k_14=!baslangic to !maxlag
{%mn}(!satir,1)=!k_1
{%mn}(!satir,2)=!k_2
{%mn}(!satir,3)=!k_3
{%mn}(!satir,4)=!k_4
{%mn}(!satir,5)=!k_5
{%mn}(!satir,6)=!k_6
{%mn}(!satir,7)=!k_7
{%mn}(!satir,8)=!k_8
{%mn}(!satir,9)=!k_9
{%mn}(!satir,10)=!k_10
{%mn}(!satir,11)=!k_11
{%mn}(!satir,12)=!k_12
{%mn}(!satir,13)=!k_13
{%mn}(!satir,14)=!k_14
!satir=!satir+1
next k_14
endif
next k_13
else
!satir=!satir+1
endif
next k_12
else
!satir=!satir+1
endif
next k_11
else
!satir=!satir+1
endif
next k_10
else
!satir=!satir+1
endif
next k_9
else
!satir=!satir+1
endif
next k_8
else
!satir=!satir+1
endif
next k_7
else
!satir=!satir+1
endif
next k_6
else
!satir=!satir+1
endif
next k_5
else
!satir=!satir+1
endif
next k_4
else
!satir=!satir+1
endif
next k_3
else
!satir=!satir+1
endif
next k_2
else
!satir=!satir+1
endif
next k_1
endif
endsub
subroutine MatrisOlustur2()
if !ifVarLar=1 then
%mn = @getnextname("ZZ___mat")
!toplam=1
matrix(1 ,!ulags_num) {%mn}
for !j=1 to !ulags_num
%v=@word(%userdefined,!j)
{%mn}(1,!j)={%v}
next j
endif
endsub
subroutine MakeGraph(string %i ,string %independent ,scalar !laglength)
' %i independent var.
if !ifVarLar=1 then
local smpl
!bandwidth = 1.64
!multiplierlength=!Graphlength-1
%buSmpl={%eqname}.@smpl
%firstperiod = @word(%buSmpl,1)
%lastperiod = @word(%buSmpl,2)
!height = @obsrange
if @wcount(@wintersect( %avars , %independent )) then
!GASYM_var=1
else
!GASYM_var=0
endif
!BurdakiLaglength=!laglength+2 'making it work as d(dependent) make it smaller at begining of series
%Model=@getnextname("ZZ__Model")
%graph=@getnextname("ZZ__graph")
model {%Model}
{%Model}.merge {%eqname}
' %ttg={%eqname}.@smpl
' seterr ( %ttg)
if !GASYM_var>0 then
!uzunluq=14
%ind_P=%independent+"_P"
%ind_N=%independent+"_N"
{%Model}.append @identity {%independent} = {%ind_P} + {%ind_N}
' {%Model}.append @identity d{%i} = d({%i})
else
!uzunluq=10
%ind_P=%independent
%ind_N=%independent
endif
matrix(!height, !uzunluq) multiplier_h
smpl %firstperiod+!BurdakiLaglength %lastperiod
{%Model}.scenario baseline
' call WriteToLog(%firstperiod +@str(!laglength) +"1"+ %lastperiod )
{%Model}.stochastic(c = t, b = .95)
{%Model}.solve(s = s, a = t)
{%Model}.scenario(c) "baseline"
'***Compute multiplier for {%independent}_p
{%Model}.scenario(n) "Scenario 2"
copy {%ind_P} {%ind_P}_2
{%Model}.override {%ind_P}
smpl %lastperiod-!multiplierlength %lastperiod
{%ind_P}_2 = {%ind_P}+1
smpl %firstperiod+!BurdakiLaglength %lastperiod
{%Model}.stochastic(c = t, b = .95)
{%Model}.solve(s = s, a = t)
'***Restore baseline as active scenario
{%Model}.scenario baseline
smpl %firstperiod+!BurdakiLaglength %lastperiod
{%Model}.stochastic(c = t, b = .95)
{%Model}.solve(s = s, a = t)
if !GASYM_var >0 then
{%Model}.scenario(n) "Scenario 3"
copy {%ind_N} {%ind_N}_3
{%Model}.override {%ind_N}
smpl %lastperiod-!multiplierlength %lastperiod
{%ind_N}_3 = {%ind_N}+1
smpl %firstperiod+!BurdakiLaglength %lastperiod
{%Model}.stochastic(c = t, b = .95)
{%Model}.solve(s = s, a = t)
endif
'***Calculates the difference line and it's SE's:
{%Model}.scenario(c) "Scenario 2"
{%Model}.stochastic(c = t, b = .95)
{%Model}.solve(s = s, a = t)
'***Places coefficients into matrix
if !GASYM_var >0 then
' colplace(multiplier_h, {%i}_0_0m, 1)
' colplace(multiplier_h, {%i}_0_0s, 2)
' colplace(multiplier_h, {%i}_0m, 3)
' colplace(multiplier_h, {%i}_0s, 4)
' colplace(multiplier_h, {%i}_2_0m, 5)
' colplace(multiplier_h, {%i}_2_0s, 6)
' colplace(multiplier_h, {%i}_2m, 7)
' colplace(multiplier_h, {%i}_2s, 8)
' colplace(multiplier_h, {%i}_3_0m, 9)
' colplace(multiplier_h, {%i}_3_0s, 10)
' colplace(multiplier_h, {%i}_3_2m, 11)
' colplace(multiplier_h, {%i}_3_2s, 12)
' colplace(multiplier_h, {%i}_3m, 13)
' colplace(multiplier_h, {%i}_3s, 14)
else
' colplace(multiplier_h, {%i}_0_0m, 1)
' colplace(multiplier_h, {%i}_0_0s, 2)
' colplace(multiplier_h, {%i}_0_2m, 3)
' colplace(multiplier_h, {%i}_0_2s, 4)
' colplace(multiplier_h, {%i}_0m, 5)
'colplace(multiplier_h, {%i}_0s, 6)
' colplace(multiplier_h, {%i}_2_0m, 7)
' colplace(multiplier_h, {%i}_2_0s, 8)
' colplace(multiplier_h, {%i}_2m, 9)
' colplace(multiplier_h, {%i}_2s, 10)
endif
'***Plot multipliers
' smpl %lastperiod-!multiplierlength+1 %lastperiod
' series tarih =1
' tarih= @cumsum(tarih)
smpl %lastperiod-!multiplierlength-1 %lastperiod
%trend=@getnextname("ZZ__trend")
%index=@getnextname("ZZ__index")
%mygroup=@getnextname("ZZ__mygroup")
series {%trend}=@trend
series {%index} = {%trend}-@first({%trend})
smpl %lastperiod-!multiplierlength-1 %lastperiod
%legendArti=%independent+ " +"
%legendEksi=%independent+ " -"
if !GASYM_var >0 then
if !PlotDiffs=1 then
if !PlotTrashhold=1 then
group {%mygroup} {%index} {%i}_2_0m -{%i}_3_0m -{%i}_3_2m (-{%i}_3_2m + !bandwidth*{%i}_3_2s) (-{%i}_3_2m - !bandwidth*{%i}_3_2s)
else
group {%mygroup} {%index} {%i}_2_0m -{%i}_3_0m -{%i}_3_2m
endif
else
group {%mygroup} {%index} {%i}_2_0m -{%i}_3_0m
endif
else
if !PlotDiffs=1 then
group {%mygroup} {%index} {%i}_2_0m -{%i}_2_0m ({%i}_2_0m -{%i}_2_0m)
else
group {%mygroup} {%index} {%i}_2_0m -{%i}_2_0m
endif
endif
freeze({%graph}) {%mygroup}.xyline
{%graph}.shade(shade, left) 0
{%graph}.options linepat
{%graph}.setelem(1) lcolor({%IncreaseColor}) lwidth(!IncreaseWidth) lpat(!IncreasePat) legend()
{%graph}.setelem(2) lcolor({%DecreaseColor}) lwidth(!DecreaseWidth ) lpat(!DecreasePat) legend({%legendArti})
{%graph}.setelem(3) lcolor({%DiffColor}) lwidth(!DiffWidth) lpat(!DiffPat) legend({%legendEksi})
{%graph}.setelem(4) lcolor({%TrashholdColor}) lwidth(!TrashholdWidth ) lpat(!TrashholdPat) legend(diff)
{%graph}.setelem(5) lcolor({%TrashholdColor}) lwidth(!TrashholdWidth) lpat(!TrashholdPat)legend()
{%graph}.setelem(6) lcolor(red) lwidth(0) lpat(2) legend()
{%graph}.options size(4,2) -inbox
{%graph}.legend position(botcenter)
' {%graph}.shade(shade, left) 0
' {%graph}.options linepat
' {%graph}.setelem(2) lcolor(black) lwidth(2) lpat(1)legend({%legendEksi})
' {%graph}.setelem(3) lcolor(red) lwidth(2) lpat(1) legend(diff)
' {%graph}.setelem(1) lcolor(black) lwidth(2) lpat(2) legend({%legendArti})
' {%graph}.setelem(4) lcolor(red) lwidth(1) lpat(2) legend()
' {%graph}.setelem(5) lcolor(red) lwidth(1) lpat(2)legend()
' {%graph}.options size(4,2) -inbox
' {%graph}.axis(bottom)
'***Clean up
smpl %buSmpl
delete {%independent}_0* {%independent}_2* {%independent}_3* d{%independent}_0* d{%independent}_2* d{%independent}_3*
delete {%ind_P}_0* {%ind_P}_2* {%ind_P}_3* d{%ind_P}_0* d{%ind_P}_2* d{%ind_P}_3*
delete {%ind_N}_0* {%ind_N}_2* {%ind_N}_3* d{%ind_N}_0* d{%ind_N}_2* d{%ind_N}_3*
delete {%i}_0* {%i}_2* {%i}_3* d{%i}_0* d{%i}_2* d{%i}_3*
delete multiplier_h {%Model}
'###################################################################
endif
endsub
subroutine ShortRunECM( )
if !ifVarLar=1 then
%LRECM= @getnextname("ZZ__LRECM")
%SRECM= @getnextname("ZZ__SRECM")
if @isobject("ECM") then
%LRECMresid= @getnextname("ECM")
else
%LRECMresid= "ECM"
endif
'equation {%LRECM}.ls {%vars} {%syntaxintercept}
equation {%LRECM}.ls {%lsECM1} {%syntaxintercept}
{%LRECM}.makeresid {%LRECMresid}
if !criterion=4 then
%KisaDonemVars = %BagimliDegisken+ %DigerDegiskenler+" "+%LRECMresid+"(-1)"+" @ "+%ls2
equation {%SRECM}.stepls(method = uni, back, btol = 0.05) {%KisaDonemVars}
else
%KisaDonemVars = %BagimliDegisken+ %DigerDegiskenler+%ls2+%LRECMresid+"(-1)"
equation {%SRECM}.ls {%KisaDonemVars}
endif
endif
endsub
subroutine UzunDonem()
if !ifVarLar=1 then
%longRun = @getnextname("ZZ__longRun")
table {%longRun}
%TheResults=@getnextname("TheResults")
freeze({%TheResults}) {%eqname}
sym zcov1={%eqname}.@coefcov
{%longRun}(1,1)="Variable"
{%longRun}(1,2)="Coeficient"
{%longRun}(1,3)="Std. Error"
{%longRun}(1,4)="t-statistic"
{%longRun}(1,5)="Prob."
!dep_coef={%eqname}.@coefs(1)
!mydf={%eqname}.@df'{%eqname}.@df
!n_LongVars=@wcount(%lsECM1)
for !j=2 to !n_LongVars
%v=@word(%lsECM1,!j)
{%longRun}(!j,1)=%v
!ind_coef={%eqname}.@coefs(!j)
!A=1/!dep_coef
!B=-!ind_coef/!dep_coef^2
!longRuncoef=-!ind_coef/!dep_coef
{%longRun}(!j,2)=!longRuncoef
!stde= @sqrt((!A^2)*zcov1(!j,!j)+2*!A*!B*zcov1(!j,1)+(!B^2)*zcov1(1,1)) '@sqrt({%eqname}.@coefcov(!j,!j))
{%longRun}(!j,3)=!stde
!myt=!longRuncoef/!stde
{%longRun}(!j,4)=!myt
{%longRun}(!j,5)= 2* @ctdist(-abs(!myt),!mydf)
'{%longRun}(!j,4)=-{%eqname}.@coefs(!j)/!dep_coef
next j
!ConstantRow={%eqname}.@ncoefs
{%longRun}(!j,1)="C"
!ind_coef={%eqname}.@coefs(!ConstantRow)
!A=1/!dep_coef
!B=-!ind_coef/!dep_coef^2
!longRuncoef=-!ind_coef/!dep_coef
{%longRun}(!j,2)=!longRuncoef
!stde= @sqrt((!A^2)*zcov1(!ConstantRow,!ConstantRow)+2*!A*!B*zcov1(!ConstantRow,1)+(!B^2)*zcov1(1,1)) '@sqrt({%eqname}.@coefcov(!j,!j))
{%longRun}(!j,3)=!stde
!myt=!longRuncoef/!stde
{%longRun}(!j,4)=!myt
{%longRun}(!j,5)= 2* @ctdist(-abs(!myt),!mydf)
endif
endsub
subroutine TabloBasiHazirla()
if !ifVarLar=1 then
%statmsg4="Stimating"
' statusline %statmsg4
!a_1=1000000
!a_2=!a_1
!a_3=!a_1
!a_4=!a_1
!b_1=0
!b_2=0
!b_3=0
!b_4=0
!a_1y=!n_var+1
!a_2y=!n_var+2
!a_3y=!n_var+3
%tn = @getnextname("ZZ__tabletest")
table {%tn}
%tn2 = @getnextname("ZZ__tabletest2")
table {%tn2}
' {%tn}.displayname "All Computed information criterion values"
' {%tn2}.label "Best Models based on information criterion values"
{%tn}(1,1)="ARDL"
{%tn}(1,2)="AIC"
{%tn}(1,3)="Schwarz"
{%tn}(1,4)="Hannan-Quinn"
{%tn}(1,5)="Log Likelihood"
{%tn2} ={%tn}
'{%tn}(1,6)="LS"
endif
endsub
subroutine TabloSonuHazirla()
if !ifVarLar=1 then
{%tn2}(2,2)= %LagArdl1
{%tn2}(2,3)= %LagArdl2
{%tn2}(2,4)= %LagArdl3
{%tn2}(2,5)= %LagArdl4
{%tn2}(3,1)="Selected criterion is colored. Max lag is "+%maxlag
if(!criterion=1)then
call GecikmeHesapla(!b_1)
{%tn}.setfillcolor(!b_1+1) @rgb(255, 255, 0)
{%tn2}.setfillcolor(2,2) @rgb(255, 255, 0)
endif
if(!criterion=2)then
' @uiprompt(@str(!b_2)+" > "+ %buDegS1+" > "+ %buDegS2 )
call GecikmeHesapla(!b_2)
{%tn}.setfillcolor(!b_2+1) @rgb(255, 255, 0)