8:44 p.m.
Hi,
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?
Thanks in advance.
Regards,
Sanzad
5:31 p.m.
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
7:51 a.m.
Hi Allin,
Thanks for your prompt help. This is really very much helpful for me.
Just to check with you, I am getting linker error for the
function dataset_set_time_series(dset, 4, 1980, 1); I have build the latest
source from CVS. Do you have any idea. If I comment that line, things are
just fine.
Thanks,
Sanzad
On Tue, Oct 16, 2012 at 12:31 PM, Allin Cottrell <cottrell(a)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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12:33 p.m.
On Wed, 17 Oct 2012, Sanzad Siddique wrote:
Thanks for your prompt help. This is really very much helpful for
me.
Just to check with you, I am getting linker error for the
function dataset_set_time_series(dset, 4, 1980, 1); I have build the latest
source from CVS. Do you have any idea. If I comment that line, things are
just fine.
The new function dataset_set_time_series() is in dataset.c,
with its declaration in dataset.h, in CVS. It would also be
possible to use the older function set_obs() for this purpose
(it's in gretl_utils.c). The latter function is more flexible;
its first argument is a "command line" of the same form that
you'd use with the gretl command "setobs", e.g.
set_obs("setobs 4 1980:1", dset, OPT_T);
for a quarterly time series starting in 1980, quarter 1.
Allin Cottrell
4766
days inactive
4768
days old
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