' 1. Import the data + set parameters wfopen .\..\..\Time_series_I\adjusted_data_g7.wf1 tic ' INDICATORS !model = 3 string countries = "can fr ger ita jap uk us" scalar nr_countries = @wcount(countries) %sample = "G7" scalar nr_worldgrowth_dum = 0 scalar ar_max = 6 ' DECLARE NR OF FORECASTS 'redundant series for catching start and end points of the data series ser = 1 %begin_estimation = "1962m01" %end = @otod(@ilast(ser)) scalar nr_obs_full = @dtoo(%end) - @dtoo(%begin_estimation) ' The first forecast should be Jan 2005 ' So the very fist sample period is 1961m02-2004m12 %end_estimation_set = "2004m12" scalar nr_forecasts = @dtoo(%end) - @dtoo(%end_estimation_set) -12+1 ' VECTORS OF FORECAST ' Generate matrices for saving forecasts ' first column -> 1 step ahead ' second column -> 3 step ahead ' third column -> 6 step ahead ' fourth column -> 9 step ahead ' fifth column -> 12 step ahead for %country {countries} matrix(nr_forecasts, 5) m3_fcast_err_{%country} next ' VECTOR ELEMENT =1 IF MODEL IS WELL SPECIFIED for %country {countries} for !m = 3 to 3 vector(nr_forecasts) well_specified_m{!m}_{%country} next next ' ===================================================== ' OBJECTS FOR BREAK DETECTION ' First seven columns are the test statistics for the countries svector(nr_countries) Date_mean1 svector(nr_countries) Date_mean2 svector(nr_countries) Date_mean3 svector(nr_countries) Date_mean4 svector(nr_countries) Date_mean5 ' Collect the correct # of dummies svector(nr_countries) Date_mean ' First seven columns are the test statistics for the countries ' 1 dummy svector(nr_countries) Date_variance_abs1 ' 2 Dummies svector(nr_countries) Date_variance_abs2 ' 3 Dummies svector(nr_countries) Date_variance_abs3 ' 4 Dummies svector(nr_countries) Date_variance_abs4 ' 5 Dummies svector(nr_countries) Date_variance_abs5 ' Collect the correct # of dummies svector(nr_countries) Date_variance_abs ' ===================================================== ' create a constant smpl @all genr constant = 1 ' ******************************* ' * START SAMPLE LOOP * ' ******************************* for !f = 49 to 49 ' 1 to nr_forecasts step 1 ' Set sample: Fixed window %start = @otod(@dtoo(%begin_estimation)+!f-1) %last = @otod(@dtoo(%end_estimation_set)+!f-1) smpl {%start} {%last} ' for break detection matrix(6,nr_countries+1) break_mean matrix(6,nr_countries+1) break_variance_abs ' *********************************** ' * START COUNTRY LOOP * ' *********************************** !n =1 for %country fr ' {countries} smpl {%start} {%last} ' 2. BREAK DETECTION if nr_worldgrowth_dum=0 then %worldgrowth_dum = "" endif equation eq_{%country}.ls(cov=hac,covlag=1,covkern=quadspec,covbw=andrews) g_{%country} c {%worldgrowth_dum} freeze(seq_break1_{%country}) eq_{%country}.multibreak(method=globplus1, trim=15 , heterr, size=10) freeze(global_break1_{%country}) eq_{%country}.multibreak(method=glob, trim=15 , heterr, size=10) for !e=1 to 40 if global_break1_{%country}(!e,1) = "Breaks" then 'stat break_mean(1,!n) = @val(global_break1_{%country}(!e+8,3)) break_mean(1,nr_countries+1) = @val(global_break1_{%country}(!e+8,6)) 'cv endif if global_break1_{%country}(!e,1) = "Breaks" then 'stat break_mean(2,!n) = @val(global_break1_{%country}(!e+9,3)) break_mean(2,nr_countries+1) = @val(global_break1_{%country}(!e+9,6)) 'cv endif if seq_break1_{%country}(!e,1) = "Break Test" then 'stat break_mean(3,!n) = @val(seq_break1_{%country}(!e+3,3)) break_mean(4,!n) = @val(seq_break1_{%country}(!e+4,3)) break_mean(5,!n) = @val(seq_break1_{%country}(!e+5,3)) break_mean(6,!n) = @val(seq_break1_{%country}(!e+6,3)) 'cv break_mean(3,nr_countries+1)= @val(seq_break1_{%country}(!e+3,4)) break_mean(4,nr_countries+1)= @val(seq_break1_{%country}(!e+4,4)) break_mean(5,nr_countries+1)= @val(seq_break1_{%country}(!e+5,4)) break_mean(6,nr_countries+1)= @val(seq_break1_{%country}(!e+6,4)) endif ' Timing of break if seq_break1_{%country}(!e,1) = "Estimated break dates:" then Date_mean1(!n) = seq_break1_{%country}(!e+1,1) Date_mean2(!n) = seq_break1_{%country}(!e+2,1) Date_mean3(!n) = seq_break1_{%country}(!e+3,1) Date_mean4(!n) = seq_break1_{%country}(!e+4,1) Date_mean5(!n) = seq_break1_{%country}(!e+5,1) endif next ' What does the test say? if (break_mean(1,!n)>break_mean(1,nr_countries+1)) or (break_mean(2,!n)>break_mean(2,nr_countries+1)) then ' at least 1 break if (break_mean(6,!n)>break_mean(6,nr_countries+1)) then ' There are 5 breaks Date_mean(!n)= @mid(Date_mean5(!n), 5,7)+" "+@mid(Date_mean5(!n), 15,7)+" "+ @mid(Date_mean5(!n), 25,7)+" "+ @mid(Date_mean5(!n), 35,7)+" "+ @mid(Date_mean5(!n), 45,7) svector(5) mean_dumdate5_{!n} = @wsplit(Date_mean(!n)) scalar nr_mean_break_{%country} = 5 %mean_dumdate1 = mean_dumdate5_{!n}(1) %mean_dumdate2 = mean_dumdate5_{!n}(2) %mean_dumdate3 = mean_dumdate5_{!n}(3) %mean_dumdate4 = mean_dumdate5_{!n}(4) %mean_dumdate5 = mean_dumdate5_{!n}(5) ' Create Dummy smpl @all genr DUM1_{%mean_dumdate1} = 0 smpl %mean_dumdate1 @last DUM1_{%mean_dumdate1} = 1 smpl @all genr DUM1_{%mean_dumdate2} = 0 smpl %mean_dumdate2 @last DUM1_{%mean_dumdate2} = 1 smpl @all genr DUM1_{%mean_dumdate3} = 0 smpl %mean_dumdate3 @last DUM1_{%mean_dumdate3} = 1 smpl @all genr DUM1_{%mean_dumdate4} = 0 smpl %mean_dumdate4 @last DUM1_{%mean_dumdate4} = 1 smpl @all genr DUM1_{%mean_dumdate5} = 0 smpl %mean_dumdate5 @last DUM1_{%mean_dumdate5} = 1 %mean_dum = "DUM1_"+%mean_dumdate1+" "+"DUM1_"+%mean_dumdate2+" "+ "DUM1_"+%mean_dumdate3+" "+ "DUM1_"+%mean_dumdate4+" "+ "DUM1_"+%mean_dumdate5 else if (break_mean(5,!n)>break_mean(5,nr_countries+1)) then ' there are 4 breaks Date_mean(!n)= @mid(Date_mean4(!n), 5,7)+" "+@mid(Date_mean4(!n), 15,7)+" "+ @mid(Date_mean4(!n), 25,7)+" "+ @mid(Date_mean4(!n), 35,7) svector(4) mean_dumdate4_{!n} = @wsplit(Date_mean(!n)) scalar nr_mean_break_{%country} = 4 %mean_dumdate1 = mean_dumdate4_{!n}(1) %mean_dumdate2 = mean_dumdate4_{!n}(2) %mean_dumdate3 = mean_dumdate4_{!n}(3) %mean_dumdate4 = mean_dumdate4_{!n}(4) ' Create Dummy smpl @all genr DUM1_{%mean_dumdate1} = 0 smpl %mean_dumdate1 @last DUM1_{%mean_dumdate1} = 1 smpl @all genr DUM1_{%mean_dumdate2} = 0 smpl %mean_dumdate2 @last DUM1_{%mean_dumdate2} = 1 smpl @all genr DUM1_{%mean_dumdate3} = 0 smpl %mean_dumdate3 @last DUM1_{%mean_dumdate3} = 1 smpl @all genr DUM1_{%mean_dumdate4} = 0 smpl %mean_dumdate4 @last DUM1_{%mean_dumdate4} = 1 %mean_dum = "DUM1_"+%mean_dumdate1+" "+"DUM1_"+%mean_dumdate2+" "+ "DUM1_"+%mean_dumdate3+" "+ "DUM1_"+%mean_dumdate4 else if (break_mean(4,!n)>break_mean(4,nr_countries+1)) then ' there are 3 breaks Date_mean(!n)= @mid(Date_mean3(!n), 5,7)+" "+@mid(Date_mean3(!n), 15,7)+" "+ @mid(Date_mean3(!n), 25,7) svector(3) mean_dumdate3_{!n} = @wsplit(Date_mean(!n)) scalar nr_mean_break_{%country} = 3 %mean_dumdate1 = mean_dumdate3_{!n}(1) %mean_dumdate2 = mean_dumdate3_{!n}(2) %mean_dumdate3 = mean_dumdate3_{!n}(3) ' Create Dummy smpl @all genr DUM1_{%mean_dumdate1} = 0 smpl %mean_dumdate1 @last DUM1_{%mean_dumdate1} = 1 smpl @all genr DUM1_{%mean_dumdate2} = 0 smpl %mean_dumdate2 @last DUM1_{%mean_dumdate2} = 1 smpl @all genr DUM1_{%mean_dumdate3} = 0 smpl %mean_dumdate3 @last DUM1_{%mean_dumdate3} = 1 %mean_dum = "DUM1_"+%mean_dumdate1+" "+"DUM1_"+%mean_dumdate2+" "+ "DUM1_"+%mean_dumdate3 else if (break_mean(3,!n)>break_mean(3,nr_countries+1)) then ' there are 2 breaks Date_mean(!n)= @mid(Date_mean2(!n), 5,7)+" "+@mid(Date_mean2(!n), 15,7) svector(2) mean_dumdate2_{!n} = @wsplit(Date_mean(!n)) scalar nr_mean_break_{%country} = 2 %mean_dumdate1 = mean_dumdate2_{!n}(1) %mean_dumdate2 = mean_dumdate2_{!n}(2) ' Create Dummy smpl @all genr DUM1_{%mean_dumdate1} = 0 smpl %mean_dumdate1 @last DUM1_{%mean_dumdate1} = 1 smpl @all genr DUM1_{%mean_dumdate2} = 0 smpl %mean_dumdate2 @last DUM1_{%mean_dumdate2} = 1 %mean_dum = "DUM1_"+%mean_dumdate1+" "+"DUM1_"+%mean_dumdate2 else ' there is 1 break Date_mean(!n) = @mid(Date_mean1(!n), 5) svector(1) mean_dumdate1_{!n} = @wsplit(Date_mean(!n)) scalar nr_mean_break_{%country} = 1 %mean_dumdate1 = mean_dumdate1_{!n}(1) ' Create Dummy smpl @all genr DUM1_{%mean_dumdate1} = 0 smpl %mean_dumdate1 @last DUM1_{%mean_dumdate1} = 1 %mean_dum = "DUM1_"+%mean_dumdate1 endif endif endif endif else ' NO BREAKS scalar nr_mean_break_{%country} = 0 %mean_dum = "" endif ' VARIANCE smpl {%start} {%last} ' Estimate with the mean dummies equation eq2_{%country}.ls g_{%country} c {%mean_dum} {%worldgrowth_dum} ' get the cleaned residuals eq2_{%country}.makeresids(s) resid2_{%country} ' calculate the absolute values of the residuals genr abs_resid_{%country} = @abs(resid2_{%country}) ' calculate squared residuals 'genr sq_resid_{%country} = resid2_{%country}*resid2_{%country} ' check for breaks in the absolute values of residuals equation eq_abs_{%country}.ls(cov=hac,covlag=1,covkern=quadspec,covbw=andrews) abs_resid_{%country} c freeze(global_break_abs_{%country}) eq_abs_{%country}.multibreak(method=glob, trim=15 , heterr, size=10) freeze(seq_break_abs_{%country}) eq_abs_{%country}.multibreak(method=globplus1, trim=15 , heterr, size=10) ' check for breaks in the squared residuals 'equation eq_sq_{%country}.ls(cov=hac,covlag=1,covkern=quadspec,covbw=andrews) sq_resid_{%country} c 'freeze(global_break_sq_{%country}) eq_sq_{%country}.multibreak(method=glob, trim=15 , heterr, size=10) 'freeze(seq_break_sq_{%country}) eq_sq_{%country}.multibreak(method=globplus1, trim=15 , heterr, size=10) for !e=1 to 40 ' Store statistics: Absolute values if global_break_abs_{%country}(!e,1) = "Breaks" then 'stat break_variance_abs(1,!n) = @val(global_break_abs_{%country}(!e+8,3)) 'cv break_variance_abs(1,nr_countries+1) = @val(global_break_abs_{%country}(!e+8,6)) endif if global_break_abs_{%country}(!e,1) = "Breaks" then 'stat break_variance_abs(2,!n) = @val(global_break_abs_{%country}(!e+9,3)) 'cv break_variance_abs(2,nr_countries+1) = @val(global_break_abs_{%country}(!e+9,6)) endif if seq_break_abs_{%country}(!e,1) = "Break Test" then 'stat break_variance_abs(3,!n) = @val(seq_break_abs_{%country}(!e+3,3)) break_variance_abs(4,!n) = @val(seq_break_abs_{%country}(!e+4,3)) break_variance_abs(5,!n) = @val(seq_break_abs_{%country}(!e+5,3)) break_variance_abs(6,!n) = @val(seq_break_abs_{%country}(!e+6,3)) 'cv break_variance_abs(3,nr_countries+1)= @val(seq_break_abs_{%country}(!e+3,4)) break_variance_abs(4,nr_countries+1)= @val(seq_break_abs_{%country}(!e+4,4)) break_variance_abs(5,nr_countries+1)= @val(seq_break_abs_{%country}(!e+5,4)) break_variance_abs(6,nr_countries+1)= @val(seq_break_abs_{%country}(!e+6,4)) endif ' Timing of break if seq_break_abs_{%country}(!e,1) = "Estimated break dates:" then Date_variance_abs1(!n) = seq_break_abs_{%country}(!e+1,1) Date_variance_abs2(!n) = seq_break_abs_{%country}(!e+2,1) Date_variance_abs3(!n) = seq_break_abs_{%country}(!e+3,1) Date_variance_abs4(!n) = seq_break_abs_{%country}(!e+4,1) Date_variance_abs5(!n) = seq_break_abs_{%country}(!e+5,1) endif next ' What does the test say? ' ABSOLUTE if (break_variance_abs(1,!n)>break_variance_abs(1,nr_countries+1)) or (break_variance_abs(2,!n)>break_variance_abs(2,nr_countries+1)) then ' at least 1 break if (break_variance_abs(6,!n)>break_variance_abs(6,nr_countries+1)) then ' There are 5 breaks Date_variance_abs(!n)= @mid(Date_variance_abs5(!n), 5,7)+" "+@mid(Date_variance_abs5(!n), 15,7)+" "+ @mid(Date_variance_abs5(!n), 25,7)+" "+ @mid(Date_variance_abs5(!n), 35,7)+" "+ @mid(Date_variance_abs5(!n), 45,7) svector(5) var_abs_dumdate5_{!n} = @wsplit(Date_variance_abs(!n)) scalar nr_var_abs_break_{%country} = 5 %var_abs_dumdate1 = var_abs_dumdate5_{!n}(1) %var_abs_dumdate2 = var_abs_dumdate5_{!n}(2) %var_abs_dumdate3 = var_abs_dumdate5_{!n}(3) %var_abs_dumdate4 = var_abs_dumdate5_{!n}(4) %var_abs_dumdate5 = var_abs_dumdate5_{!n}(5) ' Create Dummy smpl @all genr DUM2_{%var_abs_dumdate1} = 0 smpl %var_abs_dumdate1 @last DUM2_{%var_abs_dumdate1} = 1 smpl @all genr DUM2_{%var_abs_dumdate2} = 0 smpl %var_abs_dumdate2 @last DUM2_{%var_abs_dumdate2} = 1 smpl @all genr DUM2_{%var_abs_dumdate3} = 0 smpl %var_abs_dumdate3 @last DUM2_{%var_abs_dumdate3} = 1 smpl @all genr DUM2_{%var_abs_dumdate4} = 0 smpl %var_abs_dumdate4 @last DUM2_{%var_abs_dumdate4} = 1 smpl @all genr DUM2_{%var_abs_dumdate5} = 0 smpl %var_abs_dumdate5 @last DUM2_{%var_abs_dumdate5} = 1 %var_abs_dum = "DUM2_"+%var_abs_dumdate1+" "+"DUM2_"+%var_abs_dumdate2+" "+ "DUM2_"+%var_abs_dumdate3+" "+ "DUM2_"+%var_abs_dumdate4+" "+ "DUM2_"+%var_abs_dumdate5 else if (break_variance_abs(5,!n)>break_variance_abs(5,nr_countries+1)) then ' there are 4 breaks Date_variance_abs(!n)= @mid(Date_variance_abs4(!n), 5,7)+" "+@mid(Date_variance_abs4(!n), 15,7)+" "+ @mid(Date_variance_abs4(!n), 25,7)+" "+ @mid(Date_variance_abs4(!n), 35,7) svector(4) var_abs_dumdate4_{!n} = @wsplit(Date_variance_abs(!n)) scalar nr_var_abs_break_{%country} = 4 %var_abs_dumdate1 = var_abs_dumdate4_{!n}(1) %var_abs_dumdate2 = var_abs_dumdate4_{!n}(2) %var_abs_dumdate3 = var_abs_dumdate4_{!n}(3) %var_abs_dumdate4 = var_abs_dumdate4_{!n}(4) ' Create Dummy smpl @all genr DUM2_{%var_abs_dumdate1} = 0 smpl %var_abs_dumdate1 @last DUM2_{%var_abs_dumdate1} = 1 smpl @all genr DUM2_{%var_abs_dumdate2} = 0 smpl %var_abs_dumdate2 @last DUM2_{%var_abs_dumdate2} = 1 smpl @all genr DUM2_{%var_abs_dumdate3} = 0 smpl %var_abs_dumdate3 @last DUM2_{%var_abs_dumdate3} = 1 smpl @all genr DUM2_{%var_abs_dumdate4} = 0 smpl %var_abs_dumdate4 @last DUM2_{%var_abs_dumdate4} = 1 %var_abs_dum = "DUM2_"+%var_abs_dumdate1+" "+"DUM2_"+%var_abs_dumdate2+" "+ "DUM2_"+%var_abs_dumdate3+" "+ "DUM2_"+%var_abs_dumdate4 else if (break_variance_abs(4,!n)>break_variance_abs(4,nr_countries+1)) then ' there are 3 breaks Date_variance_abs(!n)= @mid(Date_variance_abs3(!n), 5,7)+" "+@mid(Date_variance_abs3(!n), 15,7)+" "+ @mid(Date_variance_abs3(!n), 25,7) svector(3) var_abs_dumdate3_{!n} = @wsplit(Date_variance_abs(!n)) scalar nr_var_abs_break_{%country} = 3 %var_abs_dumdate1 = var_abs_dumdate3_{!n}(1) %var_abs_dumdate2 = var_abs_dumdate3_{!n}(2) %var_abs_dumdate3 = var_abs_dumdate3_{!n}(3) ' Create Dummy smpl @all genr DUM2_{%var_abs_dumdate1} = 0 smpl %var_abs_dumdate1 @last DUM2_{%var_abs_dumdate1} = 1 smpl @all genr DUM2_{%var_abs_dumdate2} = 0 smpl %var_abs_dumdate2 @last DUM2_{%var_abs_dumdate2} = 1 smpl @all genr DUM2_{%var_abs_dumdate3} = 0 smpl %var_abs_dumdate3 @last DUM2_{%var_abs_dumdate3} = 1 %var_abs_dum = "DUM2_"+%var_abs_dumdate1+" "+"DUM2_"+%var_abs_dumdate2+" "+ "DUM2_"+%var_abs_dumdate3 else if (break_variance_abs(3,!n)>break_variance_abs(3,nr_countries+1)) then ' there are 2 breaks Date_variance_abs(!n)= @mid(Date_variance_abs2(!n), 5,7)+" "+@mid(Date_variance_abs2(!n), 15,7) svector(2) var_abs_dumdate2_{!n} = @wsplit(Date_variance_abs(!n)) scalar nr_var_abs_break_{%country} = 2 %var_abs_dumdate1 = var_abs_dumdate2_{!n}(1) %var_abs_dumdate2 = var_abs_dumdate2_{!n}(2) ' Create Dummy smpl @all genr DUM2_{%var_abs_dumdate1} = 0 smpl %var_abs_dumdate1 @last DUM2_{%var_abs_dumdate1} = 1 smpl @all genr DUM2_{%var_abs_dumdate2} = 0 smpl %var_abs_dumdate2 @last DUM2_{%var_abs_dumdate2} = 1 %var_abs_dum = "DUM2_"+%var_abs_dumdate1+" "+"DUM2_"+%var_abs_dumdate2 else ' there are 1 breaks Date_variance_abs(!n) = @mid(Date_variance_abs1(!n), 5) svector(1) var_abs_dumdate1_{!n} = @wsplit(Date_variance_abs(!n)) scalar nr_var_abs_break_{%country} = 1 %var_abs_dumdate = var_abs_dumdate1_{!n}(1) ' Create Dummy smpl @all genr DUM2_{%var_abs_dumdate} = 0 smpl %var_abs_dumdate @last DUM2_{%var_abs_dumdate} = 1 %var_abs_dum = "DUM2_"+%var_abs_dumdate1 endif endif endif endif else ' NO BREAKS scalar nr_var_abs_break_{%country} = 0 endif ' Mean dummies if nr_mean_break_{%country} = 0 then %mean_dum = "" endif if nr_mean_break_{%country} = 1 then %name1 = "DUM1_"+mean_dumdate1_{!n}(1) rename {%name1} c1_S %mean_dum = "c1_S" endif if nr_mean_break_{%country} = 2 then %name1 = "DUM1_"+mean_dumdate2_{!n}(1) rename {%name1} c1_S %name2 = "DUM1_"+mean_dumdate2_{!n}(2) rename {%name2} c2_S %mean_dum = "c1_S c2_S" endif if nr_mean_break_{%country} = 3 then %name1 = "DUM1_"+mean_dumdate3_{!n}(1) rename {%name1} c1_S %name2 = "DUM1_"+mean_dumdate3_{!n}(2) rename {%name2} c2_S %name3 = "DUM1_"+mean_dumdate3_{!n}(3) rename {%name3} c3_S %mean_dum = "c1_S c2_S c3_S" endif if nr_mean_break_{%country} = 4 then %name1 = "DUM1_"+mean_dumdate4_{!n}(1) rename {%name1} c1_S %name2 = "DUM1_"+mean_dumdate4_{!n}(2) rename {%name2} c2_S %name3 = "DUM1_"+mean_dumdate4_{!n}(3) rename {%name3} c3_S %name4 = "DUM1_"+mean_dumdate4_{!n}(4) rename {%name4} c4_S %mean_dum = "c1_S c2_S c3_S c4_S" endif if nr_mean_break_{%country} = 5 then %name1 = "DUM1_"+mean_dumdate5_{!n}(1) rename {%name1} c1_S %name2 = "DUM1_"+mean_dumdate5_{!n}(2) rename {%name2} c2_S %name3 = "DUM1_"+mean_dumdate5_{!n}(3) rename {%name3} c3_S %name4 = "DUM1_"+mean_dumdate5_{!n}(4) rename {%name4} c4_S %name5 = "DUM1_"+mean_dumdate5_{!n}(5) rename {%name5} c5_S %mean_dum = "c1_S c2_S c3_S c4_S c5_S" endif ' Variance ABSOLUTE dummies if nr_var_abs_break_{%country} = 0 then %var_dum = "" endif if nr_var_abs_break_{%country} = 1 then %name1 = "DUM2_"+var_abs_dumdate1_{!n}(1) rename {%name1} alpha1_S %var_dum = "alpha1_S" endif if nr_var_abs_break_{%country} = 2 then %name1 = "DUM2_"+var_abs_dumdate2_{!n}(1) rename {%name1} alpha1_S %name2 = "DUM2_"+var_abs_dumdate2_{!n}(2) rename {%name2} alpha2_S %var_dum = "alpha1_S alpha2_S" endif if nr_var_abs_break_{%country} = 3 then %name1 = "DUM2_"+var_abs_dumdate3_{!n}(1) rename {%name1} alpha1_S %name2 = "DUM2_"+var_abs_dumdate3_{!n}(2) rename {%name2} alpha2_S %name3 = "DUM2_"+var_abs_dumdate3_{!n}(3) rename {%name3} alpha3_S %var_dum = "alpha1_S alpha2_S alpha3_S" endif if nr_var_abs_break_{%country} = 4 then %name1 = "DUM2_"+var_abs_dumdate4_{!n}(1) rename {%name1} alpha1_S %name2 = "DUM2_"+var_abs_dumdate4_{!n}(2) rename {%name2} alpha2_S %name3 = "DUM2_"+var_abs_dumdate4_{!n}(3) rename {%name3} alpha3_S %name4 = "DUM2_"+var_abs_dumdate4_{!n}(4) rename {%name4} alpha4_S %var_dum = "alpha1_S alpha2_S alpha3_S alpha4_S" endif if nr_var_abs_break_{%country} = 5 then %name1 = "DUM2_"+var_abs_dumdate5_{!n}(1) rename {%name1} alpha1_S %name2 = "DUM2_"+var_abs_dumdate5_{!n}(2) rename {%name2} alpha2_S %name3 = "DUM2_"+var_abs_dumdate5_{!n}(3) rename {%name3} alpha3_S %name4 = "DUM2_"+var_abs_dumdate5_{!n}(4) rename {%name4} alpha4_S %name5 = "DUM2_"+var_abs_dumdate5_{!n}(5) rename {%name5} alpha5_S %var_dum = "alpha1_S alpha2_S alpha3_S alpha4_S alpha5_S" endif ' +++++++++++++++++++++++++++ ' +++++++++++++++++++++++++++ ' AR + GARCH ' +++++++++++++++++++++++++++ ' +++++++++++++++++++++++++++ smpl {%start} {%last} ' OBJECTS FOR ESTIMATION string convergence ' To collect index, AR LAG, initial value, garch model matrix(4,nr_countries) bestmodel_{!f} ' storing statistics matrix(10,(ar_max+1)*4) aic_{%country} = na matrix(10,(ar_max+1)*4) ll_{%country} = na vector(7*4) arlags arlags.fill 0,1,2,3,4,5,6,0,1,2,3,4,5,6,0,1,2,3,4,5,6,0,1,2,3,4,5,6 ' starting values for !t = 1 to 10 if !t = 1 then !s = 1 endif if !t = 2 then !s = 0.9 endif if !t = 3 then !s = 0.8 endif if !t = 4 then !s = 0.7 endif if !t = 5 then !s = 0.6 endif if !t = 6 then !s = 0.5 endif if !t = 7 then !s = 0.4 endif if !t = 8 then !s = 0.3 endif if !t = 9 then !s = 0.2 endif if !t = 10 then !s = 0.1 endif ' arch or garch for !garch= 0 to 1 %arlag = "" if !garch = 0 then %garch_name = "" else %garch_name = "g" endif ' normal or t distribution for !tdist = 0 to 1 %arlag = "" if !tdist = 0 then %tdist = "" %tdist_name = "" else %tdist = ", tdist" %tdist_name = "t" endif if !tdist = 0 and !garch = 0 then !m = 0 endif if !tdist = 1 and !garch = 0 then !m = 7 endif if !tdist = 0 and !garch = 1 then !m = 14 endif if !tdist = 1 and !garch = 1 then !m = 21 endif ' number of ar lags for !arlag = 0 to ar_max step 1 if !arlag = 0 then %arlag = "" c=0 equation {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.arch(1,!garch {%tdist}, c=0.0000000001,m=500,s=!s) g_{%country} constant {%mean_dum} {%arlag} @ {%var_dum} if @isobject(%country+"_ar"+@str(!arlag)+"_"+%garch_name+"arch"+%tdist_name+"_"+@str(!t)) = 1 then ' test if standard errors exist if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@se(1) <> NA then ' freeze eqn freeze(eqn) {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t} convergence =@wleft(eqn(6,1),2) delete eqn ' test if nr of iterations is not at its max if convergence = "Convergence achieved" then if !garch= 0 then if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+2) > 0 then ' THEN get ll ll_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@logl aic_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@aic else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+2) > 0 and {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+3) > 0 then ' THEN get ll ll_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@logl aic_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@aic else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif ' if arlag is not 0 else if !arlag=1 then %arlag = "g_" + %country + "(-1)" c=0 equation {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.arch(1,!garch {%tdist}, c=0.0000000001,m=500,s=!s) g_{%country} constant {%mean_dum} {%arlag} @ {%var_dum} if @isobject(%country+"_ar"+@str(!arlag)+"_"+%garch_name+"arch"+%tdist_name+"_"+@str(!t)) = 1 then ' test if standard errors exist if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@se(1) <> NA then ' freeze eqn freeze(eqn) {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t} convergence =@wleft(eqn(6,1),2) delete eqn ' test if nr of iterations is not at its max if convergence = "Convergence achieved" then if !garch= 0 then if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+2) > 0 then ' THEN get ll ll_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@logl aic_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@aic else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+2) > 0 and {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+3) > 0 then ' THEN get ll ll_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@logl aic_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@aic else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif ' if arlag is not 1 else %arlag = %arlag + "g_" + %country + "(- "+ @str(!arlag) +")" c=0 equation {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.arch(1,!garch {%tdist}, c=0.0000000001,m=500,s=!s) g_{%country} constant {%mean_dum} {%arlag} @ {%var_dum} if @isobject(%country+"_ar"+@str(!arlag)+"_"+%garch_name+"arch"+%tdist_name+"_"+@str(!t)) = 1 then ' test if standard errors exist if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@se(1) <> NA then ' freeze eqn freeze(eqn) {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t} convergence =@wleft(eqn(6,1),2) delete eqn ' test if nr of iterations is not at its max if convergence = "Convergence achieved" then if !garch= 0 then if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+2) > 0 then ' THEN get ll ll_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@logl aic_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@aic else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else if {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+2) > 0 and {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@coefs(1+nr_mean_break_{%country}+!arlag+3) > 0 then ' THEN get ll ll_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@logl aic_{%country}(!t,(1+!arlag)+!m) = {%country}_ar{!arlag}_{%garch_name}arch{%tdist_name}_{!t}.@aic else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif else ll_{%country}(!t,(1+!arlag)+!m) = na aic_{%country}(!t,(1+!arlag)+!m) = na endif ' if arlag = 1 endif ' if arlage = 0 endif 'arlag next ' normal / tdist next ' arch/arch next 'next initial value next ' ============== ' BEST MODEL ' ============== ' BEST INITIAL vector(7*4) best_initial_{%country} vector(7*4) best_initial2_{%country} =@cimax(ll_{%country}) for !i = 1 to 7*4 if best_initial2_{%country}(!i) = 0 then best_initial_{%country}(!i) = na else best_initial_{%country}(!i) =best_initial2_{%country}(!i) endif next ' BEST LL & AIC vector(7*4) best_ll_{%country} vector(7*4) best_aic_{%country} for !i = 1 to 7*4 if best_initial_{%country}(!i) = na then best_ll_{%country}(!i) = na best_aic_{%country}(!i) = na else best_ll_{%country}(!i) = ll_{%country}(best_initial_{%country}(!i),!i) best_aic_{%country}(!i) = aic_{%country}(best_initial_{%country}(!i),!i) endif next ' index of model with lowest AIC bestmodel_{!f}(1,!n) = @imin(best_aic_{%country}) ' AR lag bestmodel_{!f}(2,!n) = arlags(bestmodel_{!f}(1,!n)) ' Initial value bestmodel_{!f}(3,!n) = best_initial_{%country}(bestmodel_{!f}(1,!n)) if bestmodel_{!f}(1,!n) >= 1 and bestmodel_{!f}(1,!n) <= 7 then bestmodel_{!f}(4,!n) = 1 %varmodel = "arch" endif if bestmodel_{!f}(1,!n) >= 8 and bestmodel_{!f}(1,!n)<= 14 then bestmodel_{!f}(4,!n) = 2 %varmodel = "archt" endif if bestmodel_{!f}(1,!n) >=15 and bestmodel_{!f}(1,!n)<=21 then bestmodel_{!f}(4,!n) = 3 %varmodel = "garch" endif if bestmodel_{!f}(1,!n) >=22 and bestmodel_{!f}(1,!n)<=28 then bestmodel_{!f}(4,!n) = 4 %varmodel = "garcht" endif %arlag = @str(bestmodel_{!f}(2,!n)) %initial_b = @str(bestmodel_{!f}(3,!n)) %eq1 = %country + "_ar" + %arlag +"_"+ %varmodel + "_" + %initial_b freeze(BEST{!model}_{%country}{!f}) {%eq1} ' RES DIAG vector(16) res_diag matrix(6) res_check = 1 ' create residual series of best model {%eq1}.makeresids resids_{%country} {%eq1}.makeresids(s) resids_stand_{%country} ' Standardized residuals freeze(tab0) resids_stand_{%country}.stats freeze(tab1) resids_stand_{%country}.teststat(mean=0, variance=1) ' the mean res_diag(1) = @val(tab0(6,2)) ' probability res_diag(2) = @val(tab1(11,4)) ' the variance res_diag(3) = @val(tab0(10,2))*@val(tab0(10,2)) ' probability res_diag(4) = @val(tab1(18,4)) 'delete res_eq1 delete tab0 delete tab1 ' Q freeze(tab1) {%eq1}.correl(10) res_diag(5) = @val(tab1(9,6)) res_diag(6) = @val(tab1(9,7)) res_diag(7) = @val(tab1(15,6)) res_diag(8) = @val(tab1(15,7)) delete tab1 ' Q^2 freeze(tab1) {%eq1}.correlsq(10) res_diag(9) = @val(tab1(9,6)) res_diag(10) = @val(tab1(9,7)) res_diag(11) = @val(tab1(15,6)) res_diag(12) = @val(tab1(15,7)) delete tab1 ' ARCH(3) ==> n*R^2 freeze(tab1) {%eq1}.archtest(3) res_diag(13) = @val(tab1(4,2)) res_diag(14) = @val(tab1(4,5)) delete tab1 ' ARCH(9) ==> n*R^2 freeze(tab1) {%eq1}.archtest(9) res_diag(15) = @val(tab1(4,2)) res_diag(16) = @val(tab1(4,5)) delete tab1 ' TEST IF RESIDUALS ARE OK if res_diag(2) <0.05 then res_check(1) = 0 endif if res_diag(4) <0.05 then res_check(2) = 0 endif if res_diag(6) <0.05 then res_check(3) = 0 endif if res_diag(8) <0.05 then res_check(4) = 0 endif if res_diag(10) <0.05 and res_diag(14) <0.05 then res_check(5) = 0 endif if res_diag(12) <0.05 and res_diag(16) <0.05 then res_check(6) = 0 endif if @sum(res_check)= 6 then well_specified_m{!model}_{%country}(!f) = 1 endif ' ZILC? include zilc_noystar_m3_forecast rename res_diag res_diag_{%country}_{!f} ' CLEAN UP delete res_check delete resids_stand_{%country} delete convergence 'include not_wellspecified_m3_ita 'include not_wellspecified_m3_jap 'include not_wellspecified_m3_us ' SERIES FOR DENSITY FORECAST ' Obtain variance series {%eq1}.makegarch condvar_noystar_{%country} write(t=xls) .\..\Initial_values\{%sample}\var_{%country}_m{!model}_{!f} condvar_noystar_{%country} delete condvar_noystar_{%country} ' save error series {%eq1}.makeresids resids_{%country} write(t=xls) .\..\Initial_values\{%sample}\res_{%country}_m{!model}_{!f} resids_{%country} delete resids_{%country} ' FORECAST ' Forecast period (up until 1 year ahead) %first_f = @otod(@dtoo(%end_estimation_set)+!f-1 +1) %last_f = @otod(@dtoo(%end_estimation_set)+!f-1 +12) ' set forecast smple smpl {%first_f} {%last_f} ' Forecast {%eq1}.forecast fcast ' What you observed in the future MINUS your forecast m{!model}_fcast_err_{%country}(!f,1) = g_{%country}(@dtoo(%first_f)) - fcast(@dtoo(%first_f)) m{!model}_fcast_err_{%country}(!f,2) = g_{%country}(@dtoo(%first_f)+2) - fcast(@dtoo(%first_f)+2) m{!model}_fcast_err_{%country}(!f,3) = g_{%country}(@dtoo(%first_f)+5) - fcast(@dtoo(%first_f)+5) m{!model}_fcast_err_{%country}(!f,4) = g_{%country}(@dtoo(%first_f)+8) - fcast(@dtoo(%first_f)+8) m{!model}_fcast_err_{%country}(!f,5) = g_{%country}(@dtoo(%first_f)+11) - fcast(@dtoo(%first_f)+11) delete fcast ' STORE ESTIMATES AND EXPORT TO EXCEL ' Estimates vector estimates_{%country}_m{!model}_{!f} = {%eq1}.@coefs ' Estimates parameters vector(6) esti_para_{%country}_m{!model}_{!f} = 0 ' Nr of estimates esti_para_{%country}_m{!model}_{!f}(1) = @columns(@transpose(estimates_{%country}_m{!model}_{!f})) ' Nr of mean dummies esti_para_{%country}_m{!model}_{!f}(2) = nr_mean_break_{%country} ' Nr of AR lags esti_para_{%country}_m{!model}_{!f}(3) = bestmodel_{!f}(2,!n) ' Nr of WORLD lags ' na ' Nr of var dummies esti_para_{%country}_m{!model}_{!f}(5) = nr_var_abs_break_{%country} ' variance model esti_para_{%country}_m{!model}_{!f}(6) = bestmodel_{!f}(4,!n) ' Save estimates estimates_{%country}_m{!model}_{!f}.write(t=xls) .\..\Estimates_parameters\model_{!model}\estimates_{%country}_m{!model}_{!f} ' Save parameters esti_para_{%country}_m{!model}_{!f}.write(t=xls) .\..\Estimates_parameters\model_{!model}\esti_para_{%country}_m{!model}_{!f} ' RENAME2 MEAN DUMMY if nr_mean_break_{%country} = 1 then %name1 = "DUM1_"+mean_dumdate1_{!n}(1) rename c1_S {%name1} endif if nr_mean_break_{%country} = 2 then %name1 = "DUM1_"+mean_dumdate2_{!n}(1) rename c1_S {%name1} %name2 = "DUM1_"+mean_dumdate2_{!n}(2) rename c2_S {%name2} endif if nr_mean_break_{%country} = 3 then %name1 = "DUM1_"+mean_dumdate3_{!n}(1) rename c1_S {%name1} %name2 = "DUM1_"+mean_dumdate3_{!n}(2) rename c2_S {%name2} %name3 = "DUM1_"+mean_dumdate3_{!n}(3) rename c3_S {%name3} endif if nr_mean_break_{%country} = 4 then %name1 = "DUM1_"+mean_dumdate4_{!n}(1) rename c1_S {%name1} %name2 = "DUM1_"+mean_dumdate4_{!n}(2) rename c2_S {%name2} %name3 = "DUM1_"+mean_dumdate4_{!n}(3) rename c3_S {%name3} %name4 = "DUM1_"+mean_dumdate4_{!n}(4) rename c4_S {%name4} endif if nr_mean_break_{%country} = 5 then %name1 = "DUM1_"+mean_dumdate5_{!n}(1) rename c1_S {%name1} %name2 = "DUM1_"+mean_dumdate5_{!n}(2) rename c2_S {%name2} %name3 = "DUM1_"+mean_dumdate5_{!n}(3) rename c3_S {%name3} %name4 = "DUM1_"+mean_dumdate5_{!n}(4) rename c4_S {%name4} %name5 = "DUM1_"+mean_dumdate5_{!n}(5) rename c5_S {%name5} endif ' RENAME2 VARIANCE ABS DUMMY if nr_var_abs_break_{%country} = 1 then %name1 = "DUM2_"+var_abs_dumdate1_{!n}(1) rename alpha1_S {%name1} endif if nr_var_abs_break_{%country} = 2 then %name1 = "DUM2_"+var_abs_dumdate2_{!n}(1) rename alpha1_S {%name1} %name2 = "DUM2_"+var_abs_dumdate2_{!n}(2) rename alpha2_S {%name2} endif if nr_var_abs_break_{%country} = 3 then %name1 = "DUM2_"+var_abs_dumdate3_{!n}(1) rename alpha1_S {%name1} %name2 = "DUM2_"+var_abs_dumdate3_{!n}(2) rename alpha2_S {%name2} %name3 = "DUM2_"+var_abs_dumdate3_{!n}(3) rename alpha3_S {%name3} endif if nr_var_abs_break_{%country} = 4 then %name1 = "DUM2_"+var_abs_dumdate4_{!n}(1) rename alpha1_S {%name1} %name2 = "DUM2_"+var_abs_dumdate4_{!n}(2) rename alpha2_S {%name2} %name3 = "DUM2_"+var_abs_dumdate4_{!n}(3) rename alpha3_S {%name3} %name4 = "DUM2_"+var_abs_dumdate4_{!n}(4) rename alpha4_S {%name4} endif if nr_var_abs_break_{%country} = 5 then %name1 = "DUM2_"+var_abs_dumdate5_{!n}(1) rename alpha1_S {%name1} %name2 = "DUM2_"+var_abs_dumdate5_{!n}(2) rename alpha2_S {%name2} %name3 = "DUM2_"+var_abs_dumdate5_{!n}(3) rename alpha3_S {%name3} %name4 = "DUM2_"+var_abs_dumdate5_{!n}(4) rename alpha4_S {%name4} %name5 = "DUM2_"+var_abs_dumdate5_{!n}(5) rename alpha5_S {%name5} endif delete {%country}_* ' next country !n = !n+1 next ' DELETE BREAK DETECTION OBJECTS delete abs_* delete break* Date_mean = "" Date_mean1 = "" Date_mean2 = "" Date_mean3 = "" Date_mean4 = "" Date_mean5 = "" Date_variance_abs = "" Date_variance_abs1 = "" Date_variance_abs2 = "" Date_variance_abs3 = "" Date_variance_abs4 = "" Date_variance_abs5 = "" delete dum1* delete dum2* delete eq* delete global* delete mean_dumdate* delete nr_mean* delete nr_var* delete resid2* delete seq_* delete var_abs_dumdate* ' DELETE ESTIMATION OBJECTS delete aic_* delete best_* delete ll_* ' next sample next delete date_mean* delete date_variance* delete ser wfsave .\forecast_errors_m3.wf1 ' ************************** ' END OF PROGRAM ' **************************