system

system

Synopsis

enum                GretlSystemMethods;
typedef             id_atom;
typedef             identity;
typedef             predet;
typedef             liml_data;
equation_system *   equation_system_start               (const char *line,
                                                         char *name,
                                                         gretlopt opt,
                                                         int *err);
char *              get_system_name_from_line           (const char *s);
equation_system *   get_anonymous_equation_system       (void);
int                 equation_system_append              (equation_system *sys,
                                                         const int *list);
int                 equation_system_append_multi        (equation_system *sys,
                                                         const char *param,
                                                         const DATASET *dset);
int                 system_parse_line                   (equation_system *sys,
                                                         const char *line,
                                                         DATASET *dset);
int                 equation_system_finalize            (equation_system *sys,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 equation_system_estimate            (equation_system *sys,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 estimate_named_system               (const char *line,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);
void                equation_system_destroy             (equation_system *sys);
void                delete_anonymous_equation_system    (int level);
int                 system_want_df_corr                 (const equation_system *sys);
int                 system_n_restrictions               (const equation_system *sys);
int                 system_max_indep_vars               (const equation_system *sys);
int                 system_n_indep_vars                 (const equation_system *sys);
int *               system_get_list                     (const equation_system *sys,
                                                         int i);
int                 system_get_list_length              (const equation_system *sys,
                                                         int i);
int *               compose_ivreg_list                  (const equation_system *sys,
                                                         int i);
int                 system_get_depvar                   (const equation_system *sys,
                                                         int i);
const char *        system_short_string                 (const MODEL *pmod);
void                equation_system_set_name            (equation_system *sys,
                                                         const char *name);
int                 system_method_from_string           (const char *s);
const char *        system_method_full_string           (int method);
const char *        system_method_short_string          (int method);
int *               system_get_endog_vars               (const equation_system *sys);
int *               system_get_instr_vars               (const equation_system *sys);
void                system_attach_uhat                  (equation_system *sys,
                                                         gretl_matrix *E);
void                system_attach_sigma                 (equation_system *sys,
                                                         gretl_matrix *S);
void                system_attach_coeffs                (equation_system *sys,
                                                         gretl_matrix *b);
void                system_attach_vcv                   (equation_system *sys,
                                                         gretl_matrix *vcv);
MODEL *             system_get_model                    (const equation_system *sys,
                                                         int i);
int                 system_get_overid_df                (const equation_system *sys);
int                 system_vcv_geomean                  (const equation_system *sys);
double              system_vcv_denom                    (const equation_system *sys,
                                                         int i,
                                                         int j);
int                 rhs_var_in_identity                 (const equation_system *sys,
                                                         int lhsvar,
                                                         int rhsvar);
void                print_equation_system_info          (const equation_system *sys,
                                                         const DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);
void                system_set_restriction_matrices     (equation_system *sys,
                                                         gretl_matrix *R,
                                                         gretl_matrix *q);
int                 system_normality_test               (const equation_system *sys,
                                                         PRN *prn);
int                 system_wald_test                    (const equation_system *sys,
                                                         const gretl_matrix *R,
                                                         const gretl_matrix *q,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 system_diag_test                    (const equation_system *sys,
                                                         double *test,
                                                         double *pval);
double *            system_get_resid_series             (equation_system *sys,
                                                         int eqnum,
                                                         DATASET *dset,
                                                         int *err);
double *            equation_system_get_series          (const equation_system *sys,
                                                         const DATASET *dset,
                                                         int idx,
                                                         const char *key,
                                                         int *err);
gretl_matrix *      equation_system_get_matrix          (const equation_system *sys,
                                                         int idx,
                                                         int *err);
int                 highest_numbered_var_in_system      (const equation_system *sys,
                                                         const DATASET *dset);
int                 equation_system_serialize           (equation_system *sys,
                                                         SavedObjectFlags flags,
                                                         FILE *fp);
int                 gretl_system_print                  (equation_system *sys,
                                                         const DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 system_print_sigma                  (const equation_system *sys,
                                                         PRN *prn);
const gretl_matrix * system_get_forecast_matrix         (equation_system *sys,
                                                         int t1,
                                                         int t2,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         int *err);
gretl_matrix *      sys_get_fitted_values               (equation_system *sys,
                                                         int v,
                                                         int t1,
                                                         int t2,
                                                         const DATASET *dset,
                                                         int *err);
int                 system_adjust_t1t2                  (equation_system *sys,
                                                         const DATASET *dset);
int                 system_supports_method              (equation_system *sys,
                                                         int method);
equation_system *   equation_system_from_XML            (xmlNodePtr node,
                                                         xmlDocPtr doc,
                                                         int *err);
int                 system_save_and_print_results       (equation_system *sys,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 system_autocorrelation_test         (equation_system *sys,
                                                         int order,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 system_arch_test                    (equation_system *sys,
                                                         int order,
                                                         gretlopt opt,
                                                         PRN *prn);
MODEL               single_equation_liml                (const int *list,
                                                         DATASET *dset,
                                                         gretlopt opt);

Description

Details

enum GretlSystemMethods

typedef enum {
    SYS_METHOD_SUR = 0,
    SYS_METHOD_3SLS,
    SYS_METHOD_FIML,
    SYS_METHOD_LIML,
    SYS_METHOD_OLS,
    SYS_METHOD_TSLS,
    SYS_METHOD_WLS,
    SYS_METHOD_MAX
} GretlSystemMethods;

SYS_METHOD_SUR

SYS_METHOD_3SLS

SYS_METHOD_FIML

SYS_METHOD_LIML

SYS_METHOD_OLS

SYS_METHOD_TSLS

SYS_METHOD_WLS

SYS_METHOD_MAX


id_atom

typedef struct id_atom_ id_atom;


identity

typedef struct identity_ identity;


predet

typedef struct predet_ predet;


liml_data

typedef struct liml_data_ liml_data;


equation_system_start ()

equation_system *   equation_system_start               (const char *line,
                                                         char *name,
                                                         gretlopt opt,
                                                         int *err);

Start compiling an equation system. Either line must contain an estimation method or the system must be given a name. If a method is given, the system will be estimated as soon as its definition is complete. If a name is given, the system definition is saved on a stack and it can subsequently be estimated via various methods. If both a name and an estimation method are given, the system is both estimated and saved.

The name may be given via the name argument, or (for backward compatibility) it may be given via "name=foo" in line. In the latter case, if name is non-NULL, the name extracted from line is written into that variable on output. The variable must be able to hold up to MAXSAVENAME bytes.

line :

command line.

name :

On input, name to be given to system, if any (otherwise may be NULL or an empty string). On output, if non-NULL, the name given via "name=foo" mechanism in line, if present.

opt :

may include OPT_I for iterative estimation (will be ignored if the the estimation method does not support it).

err :

location to receive error code.

Returns :

pointer to a new equation system, or NULL on error.

get_system_name_from_line ()

char *              get_system_name_from_line           (const char *s);


get_anonymous_equation_system ()

equation_system *   get_anonymous_equation_system       (void);


equation_system_append ()

int                 equation_system_append              (equation_system *sys,
                                                         const int *list);

Adds an equation, as represented by list, to sys.

sys :

initialized equation system.

list :

list containing dependent variable and regressors.

Returns :

0 on success, non-zero on failure, in which case sys is destroyed.

equation_system_append_multi ()

int                 equation_system_append_multi        (equation_system *sys,
                                                         const char *param,
                                                         const DATASET *dset);

Adds one or more equations to sys in one or other of two ways, as follows.

If param contains a single name it is taken to be the name of a matrix, and we interpret the rows of the specified matrix as lists. Lists of differing length can be accommodated by padding unused trailing elements of short rows with zeros. (EXPERIMENTAL, may be dropped)

If param contains two names, they are taken to be the names of lists. The first serves as a list of g regressands, one per equation. If the second list contains no instances of LISTSEP it is treated as a common set of regressors; otherwise it should contain g sub-lists, one per equation, separated by LISTSEP.

sys :

initialized equation system.

param :

the name of a pre-defined matrix, or the names of two pre-defined lists (space-separated).

dset :

dataset information.

Returns :

0 on success, non-zero on failure, in which case sys is destroyed.

system_parse_line ()

int                 system_parse_line                   (equation_system *sys,
                                                         const char *line,
                                                         DATASET *dset);

Modifies sys according to the command supplied in line, which must start with "identity" (and supply an identity to be added to the system, or "endog" (and supply a list of endogenous variables), or "instr" (and supply a list of instrumental variables).

sys :

initialized equation system.

line :

command line.

dset :

dataset struct.

Returns :

0 on success, non-zero on failure, in which case sys is destroyed.

equation_system_finalize ()

int                 equation_system_finalize            (equation_system *sys,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);

Finalize an equation system, e.g. in response to "end system". If the system has a specified name, we save it on a stack of defined systems. If it has a specified estimation method, we go ahead and estimate it. If it has both, we do both.

sys :

pre-defined equation system.

dset :

dataset struct.

opt :

may include OPT_V for verbose operation, OPT_S to permit estimation of a single equation.

prn :

printing struct.

Returns :

0 on success, non-zero on error. If the system is mal-formed, it is destroyed.

equation_system_estimate ()

int                 equation_system_estimate            (equation_system *sys,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);

Estimate a pre-defined equation system and print the results to prn.

sys :

pre-defined equation system.

dset :

dataset struct.

opt :

may include OPT_V for more verbose operation.

prn :

printing struct.

Returns :

0 on success, non-zero on error.

estimate_named_system ()

int                 estimate_named_system               (const char *line,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);


equation_system_destroy ()

void                equation_system_destroy             (equation_system *sys);


delete_anonymous_equation_system ()

void                delete_anonymous_equation_system    (int level);


system_want_df_corr ()

int                 system_want_df_corr                 (const equation_system *sys);


system_n_restrictions ()

int                 system_n_restrictions               (const equation_system *sys);


system_max_indep_vars ()

int                 system_max_indep_vars               (const equation_system *sys);


system_n_indep_vars ()

int                 system_n_indep_vars                 (const equation_system *sys);


system_get_list ()

int *               system_get_list                     (const equation_system *sys,
                                                         int i);


system_get_list_length ()

int                 system_get_list_length              (const equation_system *sys,
                                                         int i);


compose_ivreg_list ()

int *               compose_ivreg_list                  (const equation_system *sys,
                                                         int i);


system_get_depvar ()

int                 system_get_depvar                   (const equation_system *sys,
                                                         int i);


system_short_string ()

const char *        system_short_string                 (const MODEL *pmod);


equation_system_set_name ()

void                equation_system_set_name            (equation_system *sys,
                                                         const char *name);


system_method_from_string ()

int                 system_method_from_string           (const char *s);


system_method_full_string ()

const char *        system_method_full_string           (int method);


system_method_short_string ()

const char *        system_method_short_string          (int method);


system_get_endog_vars ()

int *               system_get_endog_vars               (const equation_system *sys);


system_get_instr_vars ()

int *               system_get_instr_vars               (const equation_system *sys);


system_attach_uhat ()

void                system_attach_uhat                  (equation_system *sys,
                                                         gretl_matrix *E);


system_attach_sigma ()

void                system_attach_sigma                 (equation_system *sys,
                                                         gretl_matrix *S);


system_attach_coeffs ()

void                system_attach_coeffs                (equation_system *sys,
                                                         gretl_matrix *b);


system_attach_vcv ()

void                system_attach_vcv                   (equation_system *sys,
                                                         gretl_matrix *vcv);


system_get_model ()

MODEL *             system_get_model                    (const equation_system *sys,
                                                         int i);


system_get_overid_df ()

int                 system_get_overid_df                (const equation_system *sys);


system_vcv_geomean ()

int                 system_vcv_geomean                  (const equation_system *sys);


system_vcv_denom ()

double              system_vcv_denom                    (const equation_system *sys,
                                                         int i,
                                                         int j);


rhs_var_in_identity ()

int                 rhs_var_in_identity                 (const equation_system *sys,
                                                         int lhsvar,
                                                         int rhsvar);


print_equation_system_info ()

void                print_equation_system_info          (const equation_system *sys,
                                                         const DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);

Prints details of an equation system to prn.

sys :

gretl equation system.

dset :

dataset information.

opt :

use OPT_H for printing in a form designed to appear in the header when results of estimation are printed.

prn :

printing struct.

system_set_restriction_matrices ()

void                system_set_restriction_matrices     (equation_system *sys,
                                                         gretl_matrix *R,
                                                         gretl_matrix *q);


system_normality_test ()

int                 system_normality_test               (const equation_system *sys,
                                                         PRN *prn);


system_wald_test ()

int                 system_wald_test                    (const equation_system *sys,
                                                         const gretl_matrix *R,
                                                         const gretl_matrix *q,
                                                         gretlopt opt,
                                                         PRN *prn);


system_diag_test ()

int                 system_diag_test                    (const equation_system *sys,
                                                         double *test,
                                                         double *pval);


system_get_resid_series ()

double *            system_get_resid_series             (equation_system *sys,
                                                         int eqnum,
                                                         DATASET *dset,
                                                         int *err);


equation_system_get_series ()

double *            equation_system_get_series          (const equation_system *sys,
                                                         const DATASET *dset,
                                                         int idx,
                                                         const char *key,
                                                         int *err);


equation_system_get_matrix ()

gretl_matrix *      equation_system_get_matrix          (const equation_system *sys,
                                                         int idx,
                                                         int *err);


highest_numbered_var_in_system ()

int                 highest_numbered_var_in_system      (const equation_system *sys,
                                                         const DATASET *dset);


equation_system_serialize ()

int                 equation_system_serialize           (equation_system *sys,
                                                         SavedObjectFlags flags,
                                                         FILE *fp);


gretl_system_print ()

int                 gretl_system_print                  (equation_system *sys,
                                                         const DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);


system_print_sigma ()

int                 system_print_sigma                  (const equation_system *sys,
                                                         PRN *prn);


system_get_forecast_matrix ()

const gretl_matrix * system_get_forecast_matrix         (equation_system *sys,
                                                         int t1,
                                                         int t2,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         int *err);


sys_get_fitted_values ()

gretl_matrix *      sys_get_fitted_values               (equation_system *sys,
                                                         int v,
                                                         int t1,
                                                         int t2,
                                                         const DATASET *dset,
                                                         int *err);


system_adjust_t1t2 ()

int                 system_adjust_t1t2                  (equation_system *sys,
                                                         const DATASET *dset);


system_supports_method ()

int                 system_supports_method              (equation_system *sys,
                                                         int method);


equation_system_from_XML ()

equation_system *   equation_system_from_XML            (xmlNodePtr node,
                                                         xmlDocPtr doc,
                                                         int *err);


system_save_and_print_results ()

int                 system_save_and_print_results       (equation_system *sys,
                                                         DATASET *dset,
                                                         gretlopt opt,
                                                         PRN *prn);


system_autocorrelation_test ()

int                 system_autocorrelation_test         (equation_system *sys,
                                                         int order,
                                                         gretlopt opt,
                                                         PRN *prn);


system_arch_test ()

int                 system_arch_test                    (equation_system *sys,
                                                         int order,
                                                         gretlopt opt,
                                                         PRN *prn);


single_equation_liml ()

MODEL               single_equation_liml                (const int *list,
                                                         DATASET *dset,
                                                         gretlopt opt);