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h Appendix 12 Programs for the Estimation of Autoregressive- Moving Average Models and data listing.

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Page 1: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

h

Appendix 12

Programs for the Estimation of Autoregressive-

Moving Average Models and data listing.

Page 2: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

Five programs for the estimation of autoregressive-moving average

models are listed in this volumewith the correspondence to the estimators

and chapters of my thesis being determined by the following table»

Program Estimator Chapter

PH,PH/0 PH/R SYSTEM A - F c D o A „ F „ D » / S

Before reading the descriptions the following points should be

noted

1 As well as comments in this volume there are comment cards contained

within the programs themselves»

2„ The programs are neither as efficient as they might be nor do they

embody good programming practices»

3 Each of the descriptions to follow concentrates upon providing

information on the subroutines and data input that must be changed

as the model changes» In the program listings a model has been

assumed and this is indicated under the EXAMPLE heading»

4- The program length is for the maximum sizes indicated by the cards

in the MAIN routine of each program»

5- Where a routine is repeated a description is given only once and

backward references are made.

Page 3: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

PROGRAM 1

USE:

EXAMPLE:

STRUCTURE:

This program estimates a single ARMAX equation by Phillips'

estimator and is an application of a numerical derivative

Gauss-Newton algorithm to the solution of non-linear

equations,

The model is (1-L)(1-L4)y(t) = (1+a L4)e(t)

For each type of equation equation estimated 3 subroutines

must be modified in the following manner,

DATA 1 - All data must be read into and stored in the program

in this subroutine. To do this READ statements (and their

associated FORMAT statements) must be supplied. Two arrays -

YSTAR AND EXOG - are supplied for this purpose but, if

unsuitable, the user must supply DIMENSION statements for

any arrays into which he wishes the data to be read, In

the sample program 80 observations have been read in under

format 8F10,0 and stored in YSTAR, After all data has been

read in all variables (including lagged ones) must be stored

in the W array: in the example y(t),y(t-1),y(t-4) and y(t-5)

are stored in W by cards B15-B18, Note that y(t) must

always be set equal to YSTAR,

RES1D - Subroutine RESID defines u(t) = B(L)y(t)-C(L)x(t)

(for a general ARMAX equation) and then obtains e(t) from

A(L)e(t) = u(t). Within the DO loop beginning with card

D12 the user must define u(t): in the example first and

fourth differencing is required and this is done in D 14,

Page 4: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

Array TEMP stores the M,A- parameters so that only the

fourth element in TEMP will be non-zero (card D 19)„

Finally all parameter estimates are stored in BN, and as

there is only one parameter (all lagged values of e(t) are

ignored i.e, the estimator is PH/0) it must be the M.A,

coefficient.

TEST - If it is desired to prevent the roots of A(L) = 0

from lying within the unit circle subroutine TEST may be

invoked. Array COEF is used to construct the polynomialA

A(L). The call to INIT merely initializes COEF (1) at

1.0 and all other elements at zero. As the example contains

a fourth order M.A. the parameter (stored in BN(1)) will be

the fifth element in COEF. Finally NPP is the order of the

polynomial plus one and a call to ROOT must be made. In

the example only A(L) = 0 is tested, but the procedure may

be repeated for B(L) = 0 (although the user will need to

duplicate card C 24)„

All other subroutines (including the main one) may be left

untouched.

CARD INPUT: Card 1: cols 1-4 The number of series for analysis

with the given model

Card 2: cols 1-4 The number of rows in the data matrix

W set up in DATA 1„

cols 4-8 The number of columns in the data

matrix W set up in DATA 1 re. the

total number of observations to be used

Page 5: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

cols 8-12 The total number of parameters to be

estimated»

cols 12-16 The order of the moving average»

Card 3 Starting values for the parameters must be read in

under FORMAT 8F100» The number must be equal

to that punched in cols 8-12 of card 2, and no

value may be zero»

All cards following will be data.

SUBROUTINESREQUIRED: EIGEN from I»B»M, Scientific Subroutine Package, If this

is not available remove card J 36.

PROGRAMLENGTH: 77K (bytes).

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Page 26: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

PROGRAM 2

USE:

EXAMPLE:

STRUCTURE:

CARD INPUT:

SUBROUTINES REQUIRED:

PROGRAMLENGTH:

This program, by building on PROGRAM 1, estimates models

in which the disturbance term has a composite form,

The model is

(l-L)y(t) = u(t) = y + (1-L)e1(t) + e2(t).

The parameters are stored in BN in the following order2 2BN (13 is the variance ratio A = / 0^

BN(2) is the mean y „

BN (30 is e (-1) .

Apart from the changes in PROGRAM 1 the following modific­

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RESID - as described for PROGRAM 1, but this special version

of RESID must replace that listed earlier„ Nevertheless

u(t) must still be defined (but not TEMP)-

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T (Z) = (1-Z) (1-Z + o\ „ Card B 31 defines (1 -2J anduu 1 2the output (Cl) of DERS converts this to (1-Z)(1-Z i).

Finally COMB makes all powers of Z positive i,e, 2-1-2 *2becomes 2Z-Z -1 and stores the result in TEMP 1„ NPP must

be equal to the order of the M,A„ for the component under

examination» Cards B 36 and B 39 rewrite T (Zj asuuruu (Z) = [(2z-z2-i)A + zjo2 .

As for Program 1.

As for Program 1-

113K (bytes) (Includes PROGRAM 1).

Page 27: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

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Page 42: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

PROGRAM 3

USE:

EXAMPLE:

STRUCTURE:

CARD INPUT

This program estimates a system of ARMAX equations by

Phillips’ estimator and is an application of a numerical

derivative Gauss-Newton algorithm to the solution of non­

linear equations.

The model is a 3-equation one.

1. (l-L) (i~l4)/1 (t) = u ^ lV j Co

2. (1^L)(1-L4)y2(t) = (lfCJ5LS+a6L6)e2(t)

3. (l-L)(l-ß4L4)y^(t) = (l+ajL+a^L^+a.L^+a^L^Je^Ct)

All pre-period values of e^Ct^e^Ct) and e^(t) are ignored

i.e, effectively set at zero.

DATA1 - As with PROGRAM 1 all data is read in and stored

in W.

RESID - The structure is similar to PROGRAM 1 except that

the residual and M,A. vectors become matrices with each of

the columns of REM and TEMPM corresponding to a given

equation of the system.

TEST - As for PROGRAM 1.

Card 1 cols 1-4: Number of columns in the matrix W

set up in DATA1.

cols h -8: Number of rows in the matrix W set

up in DATA1.

cols 8-12: Number of parameters to be estimated,

cols 12-16: The total number of observations

available. This will differ from the

number used owing to lags,

Page 43: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

cols 16-20: The number of equations.

cols 20-24: The maximum order of M,A„ in the

system,

cols 24-28. A variable taking values

=0, The covariance matrix of

disturbances will be computed by the

program by using the initial parameter

estimates»

-1„ The covariance matrix must be

supplied by the user on the following

card,

Card 2 If cols» 24-28 of card 1 have a zero punched in

them this card must be deleted» Otherwise the

covariance matrix must be punched in under format

8F10» 0.

Card 3 The order of the M-A. of each equation must be

punched under format 2014»

Card 4 The initial parameter estimates (format 8F10 0)„

The number of these must be equal to that punched

in cols. 8-12 of card 2 and no values may be zero»

All cards following will be data»

SUBROUTINESREQUIRED: EIGEN from Scientific Subroutine Package, If this *

is not available omit card 0 47»

PROGRAMLENGTH: 104 K (bytes)»

Page 44: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

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PROGRAM 4

USE: This program estimates a single ARMA equation in the

frequency domain,, It is a numerical derivative Newton-

Raphson algorithm for the solution of non-linear equations.

EXAMPLE: The model estimated is (1-L) (l-L^)y(t) = (1+a^L^)e(t) „

STRUCTURE: Only two subroutines need changing,

DATA3 - All data is read in and any differencing required

is performed. The differenced variable is stored in YSTAR;

otherwise the modifications are as for DATA1 in PROGRAM 1,

FORM - The relation between the parameters stored in BN

and the A,R, (BETA) and M.A, (ROE) parameters is defined.

Card C 17 defines the

CARD INPUT: Card 1 cols 1-4

Card 2 cols 1-4

cols 4-8

cols 8-12

cols 12-16

cols 16-20

cols 20-24

fourth order M.A„ of the example.

Number of series for analysis,

Number of observations available.

Number of observations used.

Order of A,R„ This must be set at

1 if the model has only an Mi, part.

Order of M,A. This must be set at 1

if the model has only an A,R, part.

Number of parameters to be estimated,

Number of frequency bands contained

between 0 and tt.

Card 3 Initial estimates of the parameters. There must

be the same number as in cols, 16-20 of card 2 and

no value may be zero.

All cards following will be data.

Page 65: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

S UB RO UT IN ESREQUIRED: EIGEN from I B M Scien ti fi c S u b ro ut in e Package,,

PROGRAMLENGTH: 71 K ( b y t e s ) .

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Page 84: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

PROGRAM 5

USE: This program estimates a system of ARMA equations in the

frequency domain by the application of a numerical derivative

Gauss-Newton algorithm to the solution of non-linear

equations»

EXAMPLE: The model estimated is a

1» (l-LHi-i-VjCt) =

2» (1-L)(l-L4)y2(t) =

3» (l-L)(l-ß4L4)y3(t)

3 equation one»

(l+a4L4)e1(t)

(l+acL5+a.L^je.(t)D O A

4 5 6- (l+o^L+a.L +acL +a.L )e7(t;1 4 0 o j

STRUCTURE: Four subroutines must be changed»

DATAi - As for PROGRAM 4»

FORM - As for PROGRAM 4»

TEST - As for PROGRAM 1»

DECIDE - As for PROGRAM 3»

CARD INPUT: Card 1 cols 1-4

cols 4-8

cols 8-12

cols 12-16

cols 16-20

cols 20-24

Number of observations available.

Number of observations used.

Maximum order A,R» in the system, If

there are only M»A, components this

must be 1»

Maximum order M»A» in the system. If

there are only A,R, components this

must be 1»

Number of parameters to be estimated.

Number of equations.

Card 2 The covariance matrix of the disturbances must be

read in under format 8F10»0,

Page 85: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

Card 3 The order of the A.R, and M A, of each equation is

read in under format 2014= This is done equation

by equation 1 e, the card would be punched

cols 1-4

cols 4-8

cols 8-12

cols 12-16

Order of A CR 0 of the first equation.,

Order of M.A. of the first equation,,

Order of A=R, of the second equation.

Order of M = A. of the second equation.

As with the maximum orders each value must always

be at least unity,

Card 4 Initial estimates of the parameters. There must

be the same number as punched in cols 16-20 of

card 1 and no value may be zero. The card is

read under format 8F10.0.

All cards following will contain data.

SUBROUTINES REQUIRED: None.

PROGRAMLENGTH: 115 K (bytes).

Page 86: Appendix 12 Programs for the Estimation of Autoregressive ... · PDF fileDATA 1 - All data must be ... format 8F10,0 and stored in YSTAR, After all data has been read in all variables

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