var

var

Functions

#define var_n_lags()
#define var_max_lag()
int var_max_order ()
GRETL_VAR * gretl_VAR ()
GRETL_VAR * gretl_VECM ()
const gretl_matrix * gretl_VAR_get_forecast_matrix ()
const gretl_matrix * gretl_VAR_get_residual_matrix ()
gretl_matrix * gretl_VAR_get_fcast_decomp ()
gretl_matrix * gretl_VAR_get_vma_matrix ()
gretl_matrix * gretl_VAR_get_FEVD_matrix ()
gretl_matrix * gretl_VAR_get_full_FEVD_matrix ()
gretl_matrix * VECM_get_EC_matrix ()
int gretl_VAR_do_error_decomp ()
const gretl_matrix * gretl_VAR_get_roots ()
int gretl_VAR_autocorrelation_test ()
int gretl_VAR_arch_test ()
int gretl_VAR_normality_test ()
int set_VAR_model_stats ()
const int * gretl_VAR_get_exo_list ()
const int * gretl_VAR_get_endo_list ()
GRETL_VAR * gretl_VAR_omit_test ()
int gretl_VAR_wald_omit_test ()
double * gretl_VECM_get_EC ()
void gretl_VAR_free ()
int default_VAR_horizon ()
gretl_matrix * gretl_VAR_get_impulse_response ()
void gretl_VAR_set_name ()
const char * gretl_VAR_get_name ()
int gretl_VAR_get_variable_number ()
int gretl_VAR_get_n_equations ()
int gretl_VAR_get_t1 ()
int gretl_VAR_get_t2 ()
int gretl_var_get_sample ()
const MODEL * gretl_VAR_get_model ()
double * gretl_VAR_get_resid_series ()
int gretl_VAR_set_ordering ()
int gretl_VAR_do_irf ()
int gretl_VAR_get_highest_variable ()
GRETL_VAR * johansen_test ()
int johansen_test_simple ()
int gretl_VECM_n_beta ()
int gretl_VECM_n_alpha ()
int gretl_VECM_test ()
GRETL_VAR * real_gretl_restricted_vecm ()
int gretl_VECM_rank ()
int beta_restricted_VECM ()
int alpha_restricted_VECM ()
int restricted_VECM ()
const gretl_matrix * gretl_VECM_R_matrix ()
const gretl_matrix * gretl_VECM_q_matrix ()
const gretl_matrix * gretl_VECM_Ra_matrix ()
const gretl_matrix * gretl_VECM_qa_matrix ()
double * gretl_VAR_get_series ()
gretl_matrix * gretl_VAR_get_matrix ()
void gretl_VAR_param_names ()
int gretl_VAR_serialize ()
int transcribe_VAR_models ()
GRETL_VAR * gretl_VAR_from_XML ()

Types and Values

typedef JohansenInfo

Object Hierarchy


Description

Functions

var_n_lags()

#define var_n_lags(v) ((v->lags != NULL)? v->lags[0] : v->order)


var_max_lag()

#define var_max_lag(v) ((v->lags != NULL)? v->lags[v->lags[0]] : v->order)


var_max_order ()

int
var_max_order (const int *list,
               const DATASET *dset);

Returns


gretl_VAR ()

GRETL_VAR *
gretl_VAR (int order,
           int *laglist,
           int *list,
           const DATASET *dset,
           gretlopt opt,
           PRN *prn,
           int *err);

Estimate a vector auto-regression (VAR), print and save the results.

Parameters

order

lag order for the VAR.

 

laglist

specific list of lags, or NULL.

 

list

specification for the first model in the set.

 

dset

dataset struct.

 

opt

if includes OPT_R, use robust VCV; if includes OPT_H, use HAC VCV; if includes OPT_I, print impulse responses; if includes OPT_F, print forecast variance decompositions; if includes OPT_D, add seasonal dummies; if includes OPT_N, do not include a constant. if includes OPT_Q, do not show individual regressions. if includes OPT_T, include a linear trend. if includes OPT_L, test for optimal lag length (only). if includes OPT_S, silent (no printing).

 

prn

gretl printing struct.

 

err

location to receive error code.

 

Returns

pointer to VAR struct, which may be NULL on error.


gretl_VECM ()

GRETL_VAR *
gretl_VECM (int order,
            int rank,
            int *list,
            const DATASET *dset,
            gretlopt opt,
            PRN *prn,
            int *err);

Parameters

order

lag order.

 

rank

cointegration rank.

 

list

list of endogenous variables, possibly plus exogenous variables.

 

dset

dataset struct.

 

opt

may include OPT_N ("nc"), OPT_R ("rc"), OPT_A ("crt"), OPT_T ("ct"), OPT_D (include seasonals), OPT_F (show variance decompositions), OPT_I (show impulse responses), OPT_V (verbose operation), OPT_Q (quiet), OPT_S (silent).

 

prn

gretl printing struct.

 

err

location to receive error code.

 

Returns

pointer to struct containing a VECM system, or NULL on failure.


gretl_VAR_get_forecast_matrix ()

const gretl_matrix *
gretl_VAR_get_forecast_matrix (GRETL_VAR *var,
                               int t1,
                               int t2,
                               DATASET *dset,
                               gretlopt opt,
                               int *err);

Returns


gretl_VAR_get_residual_matrix ()

const gretl_matrix *
gretl_VAR_get_residual_matrix (const GRETL_VAR *var);

Returns


gretl_VAR_get_fcast_decomp ()

gretl_matrix *
gretl_VAR_get_fcast_decomp (const GRETL_VAR *var,
                            int targ,
                            int periods,
                            int *errp);

Returns


gretl_VAR_get_vma_matrix ()

gretl_matrix *
gretl_VAR_get_vma_matrix (const GRETL_VAR *var,
                          const DATASET *dset,
                          int *err);

Returns


gretl_VAR_get_FEVD_matrix ()

gretl_matrix *
gretl_VAR_get_FEVD_matrix (const GRETL_VAR *var,
                           int targ,
                           int horizon,
                           const DATASET *dset,
                           int *err);

Returns


gretl_VAR_get_full_FEVD_matrix ()

gretl_matrix *
gretl_VAR_get_full_FEVD_matrix (const GRETL_VAR *var,
                                const DATASET *dset,
                                int *err);

Returns


VECM_get_EC_matrix ()

gretl_matrix *
VECM_get_EC_matrix (const GRETL_VAR *v,
                    const DATASET *dset,
                    int *err);

Returns


gretl_VAR_do_error_decomp ()

int
gretl_VAR_do_error_decomp (const gretl_matrix *S,
                           gretl_matrix *C,
                           const gretl_matrix *ord);

Returns


gretl_VAR_get_roots ()

const gretl_matrix *
gretl_VAR_get_roots (GRETL_VAR *var,
                     int *err);

Returns


gretl_VAR_autocorrelation_test ()

int
gretl_VAR_autocorrelation_test (GRETL_VAR *var,
                                int order,
                                DATASET *dset,
                                gretlopt opt,
                                PRN *prn);

Returns


gretl_VAR_arch_test ()

int
gretl_VAR_arch_test (GRETL_VAR *var,
                     int order,
                     DATASET *dset,
                     gretlopt opt,
                     PRN *prn);

Returns


gretl_VAR_normality_test ()

int
gretl_VAR_normality_test (const GRETL_VAR *var,
                          PRN *prn);

Returns


set_VAR_model_stats ()

int
set_VAR_model_stats (GRETL_VAR *var,
                     int i);

Returns


gretl_VAR_get_exo_list ()

const int *
gretl_VAR_get_exo_list (const GRETL_VAR *var);

Returns


gretl_VAR_get_endo_list ()

const int *
gretl_VAR_get_endo_list (const GRETL_VAR *var);

Returns


gretl_VAR_omit_test ()

GRETL_VAR *
gretl_VAR_omit_test (GRETL_VAR *var,
                     const int *omitlist,
                     DATASET *dset,
                     gretlopt opt,
                     PRN *prn,
                     int *err);

Re-estimates a given VAR after removing the variables specified in omitlist , and reports per-equation F-tests and system-wide LR tests for the null hypothesis that the omitted variables have zero parameters.

Parameters

var

pointer to original VAR.

 

omitlist

list of variables to omit from original model.

 

dset

dataset struct.

 

opt

option flags.

 

prn

gretl printing struct.

 

err

location to receive error code.

 

Returns

restricted VAR on success, NULL on error.


gretl_VAR_wald_omit_test ()

int
gretl_VAR_wald_omit_test (GRETL_VAR *var,
                          const int *omitlist,
                          DATASET *dset,
                          gretlopt opt,
                          PRN *prn);

Runs a Wald test for the joint omission of the exogenous variables specified in omitlist .

Parameters

var

pointer to original.

 

omitlist

list of variables to omit from original model.

 

dset

dataset struct.

 

opt

option flags.

 

prn

gretl printing struct.

 

Returns

0 on successful completion, non-zero error code otherwise.


gretl_VECM_get_EC ()

double *
gretl_VECM_get_EC (GRETL_VAR *vecm,
                   int j,
                   const DATASET *dset,
                   int *err);

Returns


gretl_VAR_free ()

void
gretl_VAR_free (GRETL_VAR *var);


default_VAR_horizon ()

int
default_VAR_horizon (const DATASET *dset);

Returns


gretl_VAR_get_impulse_response ()

gretl_matrix *
gretl_VAR_get_impulse_response (GRETL_VAR *var,
                                int targ,
                                int shock,
                                int periods,
                                double alpha,
                                const DATASET *dset,
                                int *err);

Computes the response of targ to a perturbation of shock in the context of var : targ and shock are zero-based indices relative to the structure of var . For example if targ = 0 and shock = 1, we compute the response of the dependent variable in the first VAR equation to a perturbation of the variable that appears as dependent in the second VAR equation.

If alpha is zero, the response matrix returned is a column vector of length periods , giving the point estimate of the response function. Otherwise, the response matrix returned has three columns, containing the point estimate, the alpha / 2 quantile and the 1 - alpha / 2 quantile, where the quantiles are based on 999 bootstrap replications, with resampling of the original residuals with replacement.

Parameters

var

pointer to VAR struct.

 

targ

index of the target or response variable.

 

shock

index of the source or shock variable.

 

periods

number of periods over which to compute the response.

 

alpha

determines confidence level for bootstrap interval.

 

dset

dataset struct.

 

err

location to receive error code.

 

Returns

matrix containing the estimated impulse responses, with or without a confidence interval.


gretl_VAR_set_name ()

void
gretl_VAR_set_name (GRETL_VAR *var,
                    const char *name);


gretl_VAR_get_name ()

const char *
gretl_VAR_get_name (const GRETL_VAR *var);

Returns


gretl_VAR_get_variable_number ()

int
gretl_VAR_get_variable_number (const GRETL_VAR *var,
                               int k);

Returns


gretl_VAR_get_n_equations ()

int
gretl_VAR_get_n_equations (const GRETL_VAR *var);

Returns


gretl_VAR_get_t1 ()

int
gretl_VAR_get_t1 (const GRETL_VAR *var);

Returns


gretl_VAR_get_t2 ()

int
gretl_VAR_get_t2 (const GRETL_VAR *var);

Returns


gretl_var_get_sample ()

int
gretl_var_get_sample (const GRETL_VAR *var,
                      int *t1,
                      int *t2);

Returns


gretl_VAR_get_model ()

const MODEL *
gretl_VAR_get_model (const GRETL_VAR *var,
                     int i);

Returns


gretl_VAR_get_resid_series ()

double *
gretl_VAR_get_resid_series (GRETL_VAR *var,
                            int eqnum,
                            int *err);

Returns


gretl_VAR_set_ordering ()

int
gretl_VAR_set_ordering (GRETL_VAR *var,
                        gretl_matrix *ord);

Returns


gretl_VAR_do_irf ()

int
gretl_VAR_do_irf (GRETL_VAR *var,
                  const char *line,
                  const DATASET *dset);

Returns


gretl_VAR_get_highest_variable ()

int
gretl_VAR_get_highest_variable (const GRETL_VAR *var);

Returns


johansen_test ()

GRETL_VAR *
johansen_test (int order,
               const int *list,
               const DATASET *dset,
               gretlopt opt,
               PRN *prn);

Carries out the Johansen test for cointegration.

Parameters

order

lag order for test.

 

list

list of variables to test for cointegration.

 

dset

dataset struct.

 

opt

OPT_A: include constant plus restricted trend; OPT_D: include centered seasonals; OPT_N: no constant; OPT_R: restricted constant; OPT_T: constant and unrestricted trend (note: default "case" is unrestricted constant). OPT_V: produce verbose results.

 

prn

gretl printing struct.

 

Returns

pointer to struct containing information on the test.


johansen_test_simple ()

int
johansen_test_simple (int order,
                      const int *list,
                      const DATASET *dset,
                      gretlopt opt,
                      PRN *prn);

Carries out the Johansen test for cointegration and prints the results (but unlike johansen_test(), does not return the allocated results in VAR form).

Parameters

order

lag order for test.

 

list

list of variables to test for cointegration.

 

dset

dataset struct.

 

opt

OPT_A: include constant plus restricted trend; OPT_D: include centered seasonals; OPT_N: no constant; OPT_R: restricted constant; OPT_T: constant and unrestricted trend (note: default "case" is unrestricted constant); OPT_V: produce verbose results; OPT_Q: just print the tests; OPT_S: don't print anything.

 

prn

gretl printing struct.

 

Returns

0 on success, non-zero code on error.


gretl_VECM_n_beta ()

int
gretl_VECM_n_beta (const GRETL_VAR *vecm);

Returns


gretl_VECM_n_alpha ()

int
gretl_VECM_n_alpha (const GRETL_VAR *vecm);

Returns


gretl_VECM_test ()

int
gretl_VECM_test (GRETL_VAR *vecm,
                 gretl_restriction *rset,
                 const DATASET *dset,
                 gretlopt opt,
                 PRN *prn);

Returns


real_gretl_restricted_vecm ()

GRETL_VAR *
real_gretl_restricted_vecm (GRETL_VAR *orig,
                            gretl_restriction *rset,
                            const DATASET *dset,
                            PRN *prn,
                            int *err);

Parameters

orig

orginal VECM model.

 

rset

restriction information.

 

dset

dataset struct.

 

prn

gretl printing struct.

 

err

location to receive error code.

 

Returns

pointer to struct containing information on the newly restricted VECM system or NULL on failure.


gretl_VECM_rank ()

int
gretl_VECM_rank (const GRETL_VAR *vecm);

Returns


beta_restricted_VECM ()

int
beta_restricted_VECM (const GRETL_VAR *vecm);

Returns


alpha_restricted_VECM ()

int
alpha_restricted_VECM (const GRETL_VAR *vecm);

Returns


restricted_VECM ()

int
restricted_VECM (const GRETL_VAR *vecm);

Returns


gretl_VECM_R_matrix ()

const gretl_matrix *
gretl_VECM_R_matrix (const GRETL_VAR *vecm);

Returns


gretl_VECM_q_matrix ()

const gretl_matrix *
gretl_VECM_q_matrix (const GRETL_VAR *vecm);

Returns


gretl_VECM_Ra_matrix ()

const gretl_matrix *
gretl_VECM_Ra_matrix (const GRETL_VAR *vecm);

Returns


gretl_VECM_qa_matrix ()

const gretl_matrix *
gretl_VECM_qa_matrix (const GRETL_VAR *vecm);

Returns


gretl_VAR_get_series ()

double *
gretl_VAR_get_series (const GRETL_VAR *var,
                      const DATASET *dset,
                      int idx,
                      const char *key,
                      int *err);

Returns


gretl_VAR_get_matrix ()

gretl_matrix *
gretl_VAR_get_matrix (const GRETL_VAR *var,
                      int idx,
                      int *err);

Returns


gretl_VAR_param_names ()

void
gretl_VAR_param_names (GRETL_VAR *v,
                       char **params,
                       const DATASET *dset);


gretl_VAR_serialize ()

int
gretl_VAR_serialize (const GRETL_VAR *var,
                     SavedObjectFlags flags,
                     FILE *fp);

Returns


transcribe_VAR_models ()

int
transcribe_VAR_models (GRETL_VAR *var,
                       const DATASET *dset,
                       const gretl_matrix *XTX);

Returns


gretl_VAR_from_XML ()

GRETL_VAR *
gretl_VAR_from_XML (xmlNodePtr node,
                    xmlDocPtr doc,
                    const DATASET *dset,
                    int *err);

Returns

Types and Values

JohansenInfo

typedef struct JohansenInfo_ JohansenInfo;