Re: [Gretl-devel] generate dataset

On Mon, 15 Oct 2012, Sanzad Siddique wrote: > I would like to generate an arma dataset using libgretl which is same as > the datase created by below code: > > nulldata 2000 > setobs 7 2006/06/02 > series a = normal() > series z = 0 > z = 0.4*z(-1) + 0.40*z(-2) + a + 0.5*a(-1) + 0.6*a(-2) > z1 = z-mean(z) > z2 = z/sd(z) > z3 = (z-mean(z))/sd(z) > > I have started with DATASET *dset = create_new_dataset(3, 2000, 0); and > don't know how to move further. Is there any sample code for data series > generation like above? can anyone help? As it happens I've been working with something very similar lately, so here's a stripped-down version of my program (it requires current CVS for a couple of small things): <C> #include <gretl/libgretl.h> static int make_ARMA_data (int nobs, PRN *prn) { DATASET *dset; gretl_matrix *A; gretl_matrix *B; double *y, *eps, *u; double mu = 4.0; int Nrep = 1; int k, t; dset = create_new_dataset(4, nobs, 0); dataset_set_time_series(dset, 4, 1980, 1); dataset_rename_series(dset, 1, "y"); dataset_rename_series(dset, 2, "eps"); dataset_rename_series(dset, 3, "u"); y = dset->Z[1]; eps = dset->Z[2]; u = dset->Z[3]; /* simulated data spec: y = mu + u(t) u(t) = 0.5*u(t-1) + eps(t) + 0.3*eps(t-1) */ /* AR term */ A = gretl_vector_alloc(1); A->val[0] = 0.5; /* MA terms */ B = gretl_vector_alloc(2); B->val[0] = 1; B->val[1] = 0.3; for (k=0; k<Nrep; k++) { gretl_rand_normal_full(eps, 0, dset->n-1, 0.0, 1.0); filter_series(eps, u, dset, A, B, 0.0); for (t=0; t<dset->n; t++) { y[t] = mu + u[t]; } printdata(NULL, NULL, dset, OPT_O, prn); /* now actually do stuff with data */ } gretl_matrix_free(A); gretl_matrix_free(B); destroy_dataset(dset); return 0; } int main (void) { PRN *prn; int nobs = 50; int err = 0; libgretl_init(); prn = gretl_print_new(GRETL_PRINT_STDOUT, &err); make_ARMA_data(nobs, prn); gretl_print_destroy(prn); libgretl_cleanup(); return 0; } </C> Allin Cottrell _______________________________________________ Gretl-devel mailing list Gretl-devel(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-devel