Re: [Gretl-users] Function for Automatic Modelling of ARIMA Models

> on Wed, 25 Apr 2012, Henrique Andrade wrote: > >> matrix teste_t = $coeff./$stderr >> matrix roots = $["roots"] >> if abs(teste_t)>critical(t, $T, 0.025) && abs(roots[,1])>1 > > What do you want to do here, exactly? "teste_t" is a matrix, so its absolute > value is a matrix too. How can you base an "if" condition on a > multiple-valued object? You can actually do that, but (as I think Jack is implying) you have to be careful what you intend. In this case the "if" condition will evaluate as true if and only if _every_ element of the matrix teste_t exceeds the two-sided 5% critical value of the student t distribution -- that is, iff every arima coefficient is "significant". (...)

> So I need to make some modifications in my Hansl code. Please look at this > small code: > > <hansl> > function list testarima (series y, int p[1:12:2], int q[1:12:2]) > list Forecasts = null > loop P=1..p > loop Q=1..q > arima P 1 Q ; y --nc --quiet > series dummy_mais = misszero(($uhat >= +2*sd($uhat))) > series dummy_menos = misszero(($uhat <= -2*sd($uhat))) > arima P 1 Q ; y dummy_mais dummy_menos --nc --quiet > matrix teste_t = $coeff./$stderr > matrix roots = $["roots"] > if abs(teste_t)>critical(t, $T, 0.025) && abs(roots[,1])>1 > arima P 1 Q ; y --nc > fcast Y_hat_$P_1_$Q > list Forecasts += Y_hat_$P_1_$Q > print Forecasts --byobs > endif > endloop > endloop > return Forecasts > end function > > open fedstl.bin > data exbzus exchus > dataset addobs 12 > list Lista = testarima(exchus) > print Lista --byobs > </hansl> > > The problem now is that my function only prints the forecasts but doesn't > store them appropriately inside the list "Projecoes". Are you sure? If I run the script exactly as copied from above, the final command, "print Lista --byobs", prints three series returned in Lista by your function, namely Y_hat_1_1_1, Y_hat_1_1_2 and Y_hat_2_1_1. (I don't know anything about "Projecoes" since that does not appear anywhere in the script.)