sort_series ()

int
sort_series (const double *x,
             double *y,
             int f,
             const DATASET *dset);

gretl_sort_by ()

int
gretl_sort_by (const double *x,
               const double *y,
               double *z,
               const DATASET *dset);

rank_series ()

int
rank_series (const double *x,
             double *y,
             int f,
             const DATASET *dset);

rank_vector ()

gretl_matrix *
rank_vector (const gretl_matrix *x,
             int f,
             int *err);

diff_series ()

int
diff_series (const double *x,
             double *y,
             int f,
             const DATASET *dset);

Calculates the differenced counterpart to the input series x . If f = F_SDIFF, the seasonal difference is computed; if f = F_LDIFF, the log difference, and if f = F_DIFF, the ordinary first difference.

interpolate_series ()

int
interpolate_series (const double *x,
                    double *y,
                    const DATASET *dset);

Performs linear interpolation of missing values in x , writing the result into y . Panel data are handled: interpolation is strictly in the time-series dimension. No extrapolation is performed.

standardize_series ()

int
standardize_series (const double *x,
                    double *y,
                    int dfc,
                    const DATASET *dset);

By default calculates the standardized counterpart to the input series x , but if dfc < 0 the result is just centered.

orthdev_series ()

int
orthdev_series (const double *x,
                double *y,
                const DATASET *dset);

Calculates in y the forward orthogonal deviations of the input series x . That is, y[t] is the scaled difference between x[t] and the mean of the subsequent observations on x.

cum_series ()

int
cum_series (const double *x,
            double *y,
            const DATASET *dset);

resample_series ()

int
resample_series (const double *x,
                 double *y,
                 const DATASET *dset);

block_resample_series ()

int
block_resample_series (const double *x,
                       double *y,
                       int blocklen,
                       const DATASET *dset);

fracdiff_series ()

int
fracdiff_series (const double *x,
                 double *y,
                 double d,
                 int diff,
                 int obs,
                 const DATASET *dset);

Calculates the fractionally differenced or lagged counterpart to the input series x . The fractional difference operator is defined as (1-L)^d, while the fractional lag operator 1-(1-L)^d.

boxcox_series ()

int
boxcox_series (const double *x,
               double *y,
               double d,
               const DATASET *dset);

Calculates in y the Box-Cox transformation for the input series x .

boxcox_matrix ()

gretl_matrix *
boxcox_matrix (const gretl_matrix *m,
               double d,
               int *err);

filter_series ()

int
filter_series (const double *x,
               double *y,
               const DATASET *dset,
               gretl_matrix *A,
               gretl_matrix *C,
               double y0,
               gretl_matrix *x0);

Filters x according to y_t = C(L)/A(L) x_t. If the intended AR order is p, A should be a vector of length p. If the intended MA order is q, C should be vector of length (q+1), the first entry giving the coefficient at lag 0. However, if C is NULL this is taken to mean that the lag-0 MA coefficient is unity (and all others are zero).

filter_matrix ()

gretl_matrix *
filter_matrix (gretl_matrix *X,
               gretl_vector *A,
               gretl_vector *C,
               double y0,
               gretl_matrix *x0,
               int *err);

Filters the columns of x according to y_t = C(L)/A(L) x_t. If the intended AR order is p, A should be a vector of length p. If the intended MA order is q, C should be vector of length (q+1), the first entry giving the coefficient at lag 0. However, if C is NULL this is taken to mean that the lag-0 MA coefficient is unity (and all others are zero).

exponential_movavg_series ()

int
exponential_movavg_series (const double *x,
                           double *y,
                           const DATASET *dset,
                           double d,
                           int n,
                           double y0);

movavg_series ()

int
movavg_series (const double *x,
               double *y,
               const DATASET *dset,
               int k,
               int center);

seasonally_adjust_series ()

int
seasonally_adjust_series (const double *x,
                          double *y,
                          const char *vname,
                          DATASET *dset,
                          int tramo,
                          gretl_bundle *b,
                          PRN *prn);

tramo_linearize_series ()

int
tramo_linearize_series (const double *x,
                        double *y,
                        DATASET *dset);

panel_statistic ()

int
panel_statistic (const double *x,
                 double *y,
                 const DATASET *dset,
                 int k,
                 const double *mask);

Given the data in x , constructs in y a series containing a panel-data statistic.

panel_shrink ()

gretl_matrix *
panel_shrink (const double *x,
              int skip,
              const DATASET *dset,
              int *err);

By default, constructs a column vector holding the first non-missing observation of x for each panel unit within the current sample range (hence skipping any units that have no valid observations). However, if noskip is non-zero, the vector contains an NA for units with all missing values.

panel_expand ()

int
panel_expand (const gretl_matrix *x,
              double *y,
              gretlopt opt,
              const DATASET *dset);

Constructs a series by repeating the values in x , by default across time (in which case the source vector must have as many values as there are individuals in the current sample range).

hp_filter ()

int
hp_filter (const double *x,
           double *hp,
           const DATASET *dset,
           double lambda,
           gretlopt opt);

Calculates the "cycle" component of the time series in array x , using the Hodrick-Prescott filter. Adapted from the original FORTRAN code by E. Prescott.

oshp_filter ()

int
oshp_filter (const double *x,
             double *hp,
             const DATASET *dset,
             double lambda,
             gretlopt opt);

Calculates the "cycle" component of the time series in array x , using the a one-sided Hodrick-Prescott filter. The implementation uses the Kalman filter.

bkbp_filter ()

int
bkbp_filter (const double *x,
             double *bk,
             const DATASET *dset,
             int bkl,
             int bku,
             int k);

Calculates the Baxter and King bandpass filter. If bku exceeds the number of available observations, then the "low-pass" version will be computed (weights sum to 1). Otherwise, the ordinary bandpass filter will be applied (weights sum to 0).

butterworth_filter ()

int
butterworth_filter (const double *x,
                    double *bw,
                    const DATASET *dset,
                    int n,
                    double cutoff);

Calculates the Butterworth filter. The code that does this is based on D.S.G. Pollock's IDEOLOG -- see http://www.le.ac.uk/users/dsgp1/

poly_trend ()

int
poly_trend (const double *x,
            double *fx,
            const DATASET *dset,
            int order);

Calculates a trend via the method of orthogonal polynomials. Based on C code for D.S.G. Pollock's DETREND program.

weighted_poly_trend ()

int
weighted_poly_trend (const double *x,
                     double *fx,
                     const DATASET *dset,
                     int order,
                     gretlopt opt,
                     double wratio,
                     double midfrac);

Calculates a trend via the method of orthogonal polynomials, using the specified weighting scheme. Based on C code for D.S.G. Pollock's DETREND program.

poly_weights ()

void
poly_weights (double *w,
              int T,
              double wmax,
              double midfrac,
              gretlopt opt);

Calculates a set of weights; intended for use with polynomial trend fitting.

hp_gain ()

gretl_matrix *
hp_gain (double lambda,
         int hipass);

butterworth_gain ()

gretl_matrix *
butterworth_gain (int n,
                  double cutoff,
                  int hipass);

gen_seasonal_dummies ()

int
gen_seasonal_dummies (DATASET *dset,
                      int ref,
                      int center);

Adds to the data set (if these variables are not already present) a set of seasonal dummy variables.

seasonals_list ()

int *
seasonals_list (DATASET *dset,
                int ref,
                int center,
                int *err);

Adds to the data set (if these variables are not already present) a set of seasonal dummy variables.

gen_panel_dummies ()

int
gen_panel_dummies (DATASET *dset,
                   gretlopt opt,
                   PRN *prn);

Adds to the data set a set of dummy variables corresponding to either the cross-sectional units in a panel, or the time periods.

gen_unit ()

int
gen_unit (DATASET *dset,
          int *vnum);

(For panel data only) adds to the data set an index variable that uniquely identifies the cross-sectional units.

panel_unit_first_obs ()

int
panel_unit_first_obs (int t,
                      const DATASET *dset);

gen_time ()

int
gen_time (DATASET *dset,
          int tm,
          int *vnum);

Generates (and adds to the dataset, if it's not already present) a time-trend or index variable. This function is panel-data aware: if the dataset is a panel and tm is non-zero, the trend will not simply run consecutively over the entire range of the data, but will correctly represent the location in time of each observation. The index is 1-based.

gen_wkday ()

int
gen_wkday (DATASET *dset,
           int *vnum);

gretl_plotx ()

const double *
gretl_plotx (const DATASET *dset,
             gretlopt opt);

Finds or creates a special dummy variable for use on the x-axis in plotting; this will have the full length of the data series as given in dset , and will be appropriately configured for the data frequency. Do not try to free this variable.

get_fit_or_resid ()

double *
get_fit_or_resid (const MODEL *pmod,
                  DATASET *dset,
                  ModelDataIndex idx,
                  char *vname,
                  gchar **pdesc,
                  int *err);

Creates a full-length array holding the specified model data, and writes name and description into the vname and vlabel .

get_observation_number ()

int
get_observation_number (const char *s,
                        const DATASET *dset);

get_t_from_obs_string ()

int
get_t_from_obs_string (const char *s,
                       const DATASET *dset);

list_linear_combo ()

int
list_linear_combo (double *y,
                   const int *list,
                   const gretl_vector *b,
                   const DATASET *dset);

midas_weights ()

gretl_matrix *
midas_weights (int p,
               const gretl_matrix *m,
               int method,
               int *err);

midas_gradient ()

gretl_matrix *
midas_gradient (int p,
                const gretl_matrix *m,
                int method,
                int *err);

midas_multipliers ()

gretl_matrix *
midas_multipliers (gretl_bundle *mb,
                   int cumulate,
                   int idx,
                   int *err);

midas_linear_combo ()

int
midas_linear_combo (double *y,
                    const int *list,
                    const gretl_matrix *theta,
                    int method,
                    const DATASET *dset);

vector_to_midas_list ()

int *
vector_to_midas_list (const gretl_matrix *v,
                      int f_ratio,
                      const char *prefix,
                      DATASET *dset,
                      int *err);

imhof ()

double
imhof (const gretl_matrix *m,
       double arg,
       int *err);

dw_pval ()

double
dw_pval (const gretl_matrix *u,
         const gretl_matrix *X,
         double *pDW,
         int *err);

multi_acf ()

gretl_matrix *
multi_acf (const gretl_matrix *m,
           const int *list,
           const DATASET *dset,
           int p,
           int *err);

multi_xcf ()

gretl_matrix *
multi_xcf (const void *px,
           int xtype,
           const void *py,
           int ytype,
           const DATASET *dset,
           int p,
           int *err);

forecast_stats ()

gretl_matrix *
forecast_stats (const double *y,
                const double *f,
                int t1,
                int t2,
                int *n_used,
                gretlopt opt,
                int *err);

matrix_fc_stats ()

gretl_matrix *
matrix_fc_stats (const double *y,
                 const gretl_matrix *F,
                 gretlopt opt,
                 int *err);

duration_func ()

gretl_matrix *
duration_func (const double *y,
               const double *cens,
               int t1,
               int t2,
               gretlopt opt,
               int *err);

gretl_round ()

double
gretl_round (double x);

gretl_sgn ()

double
gretl_sgn (double x);

gretl_bessel ()

double
gretl_bessel (char type,
              double v,
              double x,
              int *err);

gretl_npv ()

double
gretl_npv (int t1,
           int t2,
           const double *x,
           double r,
           int pd,
           int *err);

gretl_irr ()

double
gretl_irr (const double *x,
           int n,
           int pd,
           int *err);

logistic_cdf ()

double
logistic_cdf (double x);

list_ok_dollar_vars ()

int
list_ok_dollar_vars (DATASET *dset,
                     PRN *prn);

nadaraya_watson ()

int
nadaraya_watson (const double *y,
                 const double *x,
                 double h,
                 DATASET *dset,
                 int LOO,
                 double trim,
                 double *m);

Implements the Nadaraya-Watson nonparametric estimator for the conditional mean of y given x via the formula

\widehat{m}_h(x)=\frac{\sum_{i=1}^n K_h(x-X_i) Y_i}{\sum_{i=1}^nK_h(x-X_i)}

and computes it for all elements of x . Note that, in principle, the kernel K(X_i-X_j) must be computed for every combination of i and j, but since the function K() is assumed to be symmetric, we compute it once to save time.

The scalar h holds the kernel bandwidth; if LOO is non-zero the "leave-one-out" variant of the estimator (essentially a jackknife estimator; see Pagan and Ullah, Nonparametric Econometrics, p. 119) is computed.

A rudimentary form of trimming is implemented: the kernel function is set to 0 when the product of the trim parameter times the bandwidth h exceeds |X_i - X_j|, so as to speed computation and enhance numerical stability.

gretl_loess ()

int
gretl_loess (const double *y,
             const double *x,
             int poly_order,
             double bandwidth,
             gretlopt opt,
             DATASET *dset,
             double *m);

series_get_nobs ()

double
series_get_nobs (int t1,
                 int t2,
                 const double *x);

series_sum_all ()

double
series_sum_all (int t1,
                int t2,
                const double *x);

aggregate_by ()

gretl_matrix *
aggregate_by (const double *x,
              const double *y,
              const int *xlist,
              const int *ylist,
              const char *fncall,
              const DATASET *dset,
              int *err);

Aggregates one or more data series (x) "by" the values of one or more discrete series (y). In general either x or xlist should be non-NULL, and one of y or ylist should be non-NULL. (If xlist is non-NULL then x is ignored, and similarly for ylist and y ). For an account of the matrix that is returned, see the help for gretl's "aggregate" command.

fill_dataset_dates_series ()

int
fill_dataset_dates_series (const DATASET *dset,
                           double *x);

fill_day_of_week_array ()

int
fill_day_of_week_array (double *dow,
                        const double *y,
                        const double *m,
                        const double *d,
                        const DATASET *dset);

fill_isoweek_array ()

int
fill_isoweek_array (double *wknum,
                    const double *y,
                    const double *m,
                    const double *d,
                    const DATASET *dset);

empirical_cdf ()

gretl_matrix *
empirical_cdf (const double *y,
               int n,
               int *err);

Calculates the empirical CDF of y , skipping any missing values.

sample_span ()

int
sample_span (const char *stobs,
             const char *endobs,
             int pd,
             int *err);

gretl_matrix_vector_stat ()

gretl_matrix *
gretl_matrix_vector_stat (const gretl_matrix *m,
                          GretlVecStat vs,
                          int rowwise,
                          int skip_na,
                          int *err);

fill_permutation_vector ()

int
fill_permutation_vector (gretl_vector *v,
                         int n);

substitute_values ()

int
substitute_values (double *dest,
                   const double *src,
                   int n,
                   const double *v0,
                   int n0,
                   const double *v1,
                   int n1);

For each of the n elements in src , determine if it appears in v0 : if so, write to targ the corresponding element of v1 , otherwise write the src element to targ . The method employed is either "naive" lookup, or if the problem is of sufficient size a binary tree.

list_from_matrix ()

int *
list_from_matrix (const gretl_matrix *m,
                  const char *prefix,
                  DATASET *dset,
                  int *err);

Constructs a series from each column of m and returns a list of the series.

omega_from_R ()

gretl_matrix *
omega_from_R (const gretl_matrix *R,
              int *err);

Expresses the (n x n) correlation matrix R in spherical coordinates, via m angles, where m = n*(n-1)/2.

R_from_omega ()

gretl_matrix *
R_from_omega (const gretl_matrix *omega,
              int cholesky,
              gretl_matrix *J,
              int *err);

Returns an (n x n) correlation matrix R given its spherical-coordinates representation omega, which should contain m numbers between 0 and M_PI, where m = n*(n-1)/2.

felogit_rec_loglik ()

gretl_matrix *
felogit_rec_loglik (int t,
                    int T,
                    const gretl_matrix *U,
                    const gretl_matrix *xi);

t : int, number of ones T : int, number of observations U : matrix with the index function X : matrix with the covariates

Computes recursively the denominator of the fixed-effect logit likelihood for one unit with T observations and t ones, as well as its first derivative wrt the parameter vector beta. The matrix U is a vector containing the values of the index function for each time period and X is the corresponding matrix of covariates, so that U[i] = exp(X[i,]*beta).

The first element of the output vector is the likelihood denominator (B in Gail et al's notation) and the subsequent k elements contain the derivative of B wrt beta.

The algorithm is described in Gail et al. (1981), "Likelihood Calculations for Matched Case-Control Studies and Survival Studies with Tied Death Times", Biometrika, Vol. 68 (3), pp. 703-707

maybe_get_values_map ()

int *
maybe_get_values_map (const double *x,
                      int n,
                      int *pnv,
                      int *err);

matrix_dset_plus_lists ()

DATASET *
matrix_dset_plus_lists (const gretl_matrix *m1,
                        const gretl_matrix *m2,
                        int **plist1,
                        int **plist2,
                        int *err);