1 /* 2 * gretl -- Gnu Regression, Econometrics and Time-series Library 3 * Copyright (C) 2001 Allin Cottrell and Riccardo "Jack" Lucchetti 4 * 5 * This program is free software: you can redistribute it and/or modify 6 * it under the terms of the GNU General Public License as published by 7 * the Free Software Foundation, either version 3 of the License, or 8 * (at your option) any later version. 9 * 10 * This program is distributed in the hope that it will be useful, 11 * but WITHOUT ANY WARRANTY; without even the implied warranty of 12 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 13 * GNU General Public License for more details. 14 * 15 * You should have received a copy of the GNU General Public License 16 * along with this program. If not, see <http://www.gnu.org/licenses/>. 17 * 18 */ 19 20 #ifndef COMPARE_H 21 #define COMPARE_H 22 23 #include <stdio.h> 24 #include "gretl_matrix.h" 25 26 typedef enum { 27 SAVE_LEVERAGE = 1 << 0, 28 SAVE_INFLUENCE = 1 << 1, 29 SAVE_DFFITS = 1 << 2, 30 SAVE_TREND = 1 << 3, 31 SAVE_CYCLE = 1 << 4 32 } SeriesSaveCode; 33 34 /** 35 * ModelAuxCode: 36 * @AUX_NONE: not an auxiliary regression 37 * @AUX_SQ: nonlinearity test (squared terms) 38 * @AUX_LOG: nonlinearity test (log terms) 39 * @AUX_CHOW: Chow test 40 * @AUX_ADD: LM test regression for added variables 41 * @AUX_AR: autocorrelation test 42 * @AUX_ARCH: ARCH test 43 * @AUX_WHITE: heteroskedasticity (White's test) 44 * @AUX_COINT: cointegration test 45 * @AUX_DF: Dickey-Fuller test 46 * @AUX_ADF: augmented Dickey-Fuller test 47 * @AUX_KPSS: KPSS unit-root test 48 * @AUX_OMIT: unused 49 * @AUX_RESET: Ramsey's RESET 50 * @AUX_SYS: single equation from multivariate system 51 * @AUX_VAR: single equation from VAR system 52 * @AUX_VECM: single equation from VECM system 53 * @AUX_JOHANSEN: Johansen cointegration test 54 * @AUX_GROUPWISE: test for groupwise heteroskedasticity 55 * @AUX_HET_1: Pesaran-Taylor HET_1 test 56 * @AUX_BP: Breusch-Pagan heteroskedastcity test 57 * @AUX_AUX: auxiliary regression not otherwise specified 58 * @AUX_COMFAC: common factor test 59 * @AUX_BIPROB: biprobit initializer 60 * 61 * Symbolic names to keep track of auxiliary regression models, 62 * which are estimated either for the purpose of carrying out 63 * some sort of diagnostic test or which form part of a 64 * multi-equation system. 65 */ 66 67 typedef enum { 68 AUX_NONE, 69 AUX_SQ, 70 AUX_LOG, 71 AUX_CHOW, 72 AUX_ADD, 73 AUX_AR, 74 AUX_ARCH, 75 AUX_WHITE, 76 AUX_COINT, 77 AUX_DF, 78 AUX_ADF, 79 AUX_KPSS, 80 AUX_OMIT, 81 AUX_RESET, 82 AUX_SYS, 83 AUX_VAR, 84 AUX_VECM, 85 AUX_JOHANSEN, 86 AUX_GROUPWISE, 87 AUX_HET_1, 88 AUX_BP, 89 AUX_AUX, 90 AUX_COMFAC, 91 AUX_BIPROB, 92 } ModelAuxCode; 93 94 double wald_omit_F (const int *list, MODEL *pmod); 95 96 double wald_omit_chisq (const int *list, MODEL *pmod); 97 98 int add_test (MODEL *pmod, const int *addvars, 99 DATASET *dset, gretlopt opt, 100 PRN *prn); 101 102 int add_test_full (MODEL *orig, MODEL *pmod, 103 const int *addvars, DATASET *dset, 104 gretlopt opt, PRN *prn); 105 106 int omit_test (MODEL *pmod, const int *omitvars, 107 DATASET *dset, gretlopt opt, 108 PRN *prn); 109 110 int omit_test_full (MODEL *orig, MODEL *pmod, 111 const int *omitvars, DATASET *dset, 112 gretlopt opt, PRN *prn); 113 114 int nonlinearity_test (MODEL *pmod, DATASET *dset, 115 ModelAuxCode aux, gretlopt opt, PRN *prn); 116 117 int reset_test (MODEL *pmod, DATASET *dset, 118 gretlopt opt, PRN *prn); 119 120 int autocorr_test (MODEL *pmod, int order, DATASET *dset, 121 gretlopt opt, PRN *prn); 122 123 int comfac_test (MODEL *pmod, DATASET *dset, 124 gretlopt opt, PRN *prn); 125 126 double get_DW_pvalue_for_model (MODEL *pmod, 127 DATASET *dset, 128 int *err); 129 130 int chow_test (int splitobs, MODEL *pmod, DATASET *dset, 131 gretlopt opt, PRN *prn); 132 133 int chow_test_from_dummy (int splitvar, MODEL *pmod, DATASET *dset, 134 gretlopt opt, PRN *prn); 135 136 int QLR_test (MODEL *pmod, DATASET *dset, 137 gretlopt opt, PRN *prn); 138 139 double QLR_pval (double X2, int df, double p1, double p2); 140 141 int cusum_test (MODEL *pmod, DATASET *dset, 142 gretlopt opt, PRN *prn); 143 144 int panel_specification_test (MODEL *pmod, DATASET *dset, 145 gretlopt opt, PRN *prn); 146 147 int panel_hausman_test (MODEL *pmod, DATASET *dset, 148 gretlopt opt, PRN *prn); 149 150 int vif_test (MODEL *pmod, DATASET *dset, 151 gretlopt opt, PRN *prn); 152 153 int bkw_test (MODEL *pmod, DATASET *dset, 154 gretlopt opt, PRN *prn); 155 156 int leverage_test (MODEL *pmod, DATASET *dset, 157 gretlopt opt, PRN *prn); 158 159 int add_leverage_values_to_dataset (DATASET *dset, gretl_matrix *m, 160 gretlopt opt, int flags); 161 162 void print_add_omit_null (const int *list, const DATASET *dset, 163 gretlopt opt, PRN *prn); 164 165 #endif /* COMPARE_H */ 166