Sanzad

On Tue, Oct 16, 2012 at 12:31 PM, Allin Cottrell <cottrell@wfu.edu> wrote:

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
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