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 GRETL_MODEL_H
21 #define GRETL_MODEL_H
22 
23 #include "objstack.h"
24 
25 typedef enum {
26     ARMA_X12A  = 1 << 0, /* using X-12-ARIMA (or X-13) to generate estimates */
27     ARMA_EXACT = 1 << 1, /* using exact ML */
28     ARMA_LS    = 1 << 2, /* using conditional ML, and O/NLS == CML */
29     ARMA_OLS   = 1 << 3  /* OLS == MLE */
30 } ArmaFlags;
31 
32 typedef struct CoeffIntervals_ CoeffIntervals;
33 
34 struct CoeffIntervals_ {
35     int asy;
36     int ncoeff;
37     double alpha;
38     double t;
39     char **names;
40     double *coeff;
41     double *maxerr;
42     int df;
43     int ifc;
44 };
45 
46 typedef enum {
47     VCV_CLASSICAL,
48     VCV_HC,
49     VCV_HAC,
50     VCV_ML,
51     VCV_PANEL,
52     VCV_RQ,
53     VCV_CLUSTER
54 } VCVMajorType;
55 
56 typedef enum {
57     ML_UNSET,
58     ML_HESSIAN,
59     ML_IM,
60     ML_OP,
61     ML_QML,
62     ML_BW,
63     ML_HAC,
64     ML_VCVMAX
65 } MLVCVType;
66 
67 typedef enum {
68     KERNEL_BARTLETT,
69     KERNEL_PARZEN,
70     KERNEL_QS,
71     KERNEL_MAX
72 } HACKernel;
73 
74 typedef enum {
75     PANEL_HAC,
76     PANEL_BK   /* Beck-Katz */
77 } PanelVCVType;
78 
79 typedef enum {
80     RQ_ASY,
81     RQ_NID    /* sandwich */
82 } RQVCVType;
83 
84 typedef enum {
85     HAC_PREWHITEN = 1
86 } VCVFlags;
87 
88 typedef struct VCVInfo_ VCVInfo;
89 
90 struct VCVInfo_ {
91     int vmaj;       /* general type of VCV */
92     int vmin;       /* HC variant, etc. */
93     int order;      /* for use with HAC */
94     VCVFlags flags; /* includes prewhitening */
95     double bw;      /* for use with QS HAC kernel */
96 };
97 
98 /* single-equation model commands */
99 
100 #define MODEL_COMMAND(c) (c == AR || \
101                           c == AR1 || \
102                           c == ARCH || \
103                           c == ARMA || \
104 			  c == DPANEL ||   \
105 			  c == DURATION || \
106                           c == GARCH || \
107                           c == GMM || \
108 		          c == HECKIT || \
109                           c == HSK || \
110                           c == INTREG || \
111                           c == IVREG || \
112                           c == LAD || \
113                           c == LOGISTIC || \
114                           c == LOGIT || \
115 			  c == MIDASREG || \
116                           c == MLE || \
117                           c == MPOLS || \
118 			  c == NEGBIN || \
119                           c == NLS || \
120                           c == OLS || \
121                           c == PANEL || \
122                           c == POISSON || \
123                           c == PROBIT || \
124                           c == BIPROBIT || \
125                           c == QUANTREG || \
126                           c == TOBIT || \
127                           c == WLS)
128 
129 #define AR_MODEL(c) (c == AR || \
130 		     c == AR1 || \
131                      c == ARMA || \
132                      c == GARCH)
133 
134 #define SIMPLE_AR_MODEL(c) (c == AR || c == AR1)
135 
136 #define ML_ESTIMATOR(c) (c == ARMA || \
137 			 c == DURATION || \
138                          c == GARCH || \
139                          c == HECKIT || \
140                          c == LOGIT || \
141                          c == MLE || \
142 			 c == NEGBIN ||	\
143                          c == POISSON || \
144                          c == PROBIT || \
145 			 c == BIPROBIT || \
146                          c == TOBIT)
147 
148 #define LIMDEP(c) (c == LOGIT || \
149                    c == PROBIT || \
150                    c == TOBIT || \
151                    c == INTREG)
152 
153 #define COUNT_MODEL(c) (c == POISSON || c == NEGBIN)
154 
155 #define LSQ_MODEL(c) (c == AR1 || \
156                       c == HSK || \
157                       c == OLS || \
158                       c == WLS)
159 
160 #define ASYMPTOTIC_MODEL(c) (c == ARMA || \
161 			     c == DPANEL ||   \
162 			     c == DURATION || \
163                              c == GARCH || \
164                              c == GMM || \
165                              c == HECKIT || \
166                              c == INTREG || \
167                              c == IVREG || \
168                              c == LOGIT || \
169                              c == MLE || \
170 			     c == NEGBIN || \
171                              c == POISSON || \
172                              c == PROBIT || \
173                              c == TOBIT || \
174                              c == BIPROBIT)
175 
176 #define EQN_SYSTEM_COMMAND(c) (c == VAR || c == VECM || c == SYSTEM)
177 
178 /* model where the specification is not based on a list
179    of variables */
180 #define NONLIST_MODEL(c) (c == NLS || c == MLE || c == GMM || c == MIDASREG)
181 
182 #define is_model_ref_cmd(c) (c == ADD || \
183 	                     c == ARCH || \
184 	                     c == CHOW || \
185 	                     c == CUSUM || \
186 	                     c == FCAST || \
187                              c == LEVERAGE || \
188 	                     c == MODTEST || \
189                              c == OMIT || \
190 	                     c == RESTRICT || \
191                              c == VIF)
192 
193 #define RQ_SPECIAL_MODEL(m) ((m->ci == LAD || m->ci == QUANTREG) &&	\
194                              NULL != gretl_model_get_data(m, "rq_tauvec"))
195 
196 #define POOLED_MODEL(m) ((m->ci == OLS || m->ci == PANEL) && \
197                          gretl_model_get_int(m, "pooled"))
198 
199 typedef enum {
200     GRETL_TEST_ADD,
201     GRETL_TEST_ARCH,
202     GRETL_TEST_AUTOCORR,
203     GRETL_TEST_CHOW,
204     GRETL_TEST_CUSUM,
205     GRETL_TEST_QLR,
206     GRETL_TEST_GROUPWISE,
207     GRETL_TEST_LOGS,
208     GRETL_TEST_NORMAL,
209     GRETL_TEST_OMIT,
210     GRETL_TEST_RESET,
211     GRETL_TEST_SQUARES,
212     GRETL_TEST_WHITES,
213     GRETL_TEST_SARGAN,
214     GRETL_TEST_IV_HAUSMAN,
215     GRETL_TEST_PANEL_HAUSMAN,
216     GRETL_TEST_PANEL_F,
217     GRETL_TEST_PANEL_BP,
218     GRETL_TEST_PANEL_TIMEDUM,
219     GRETL_TEST_PANEL_AR,
220     GRETL_TEST_HET_1,
221     GRETL_TEST_BP,
222     GRETL_TEST_CHOWDUM,
223     GRETL_TEST_COMFAC,
224     GRETL_TEST_INDEP,
225     GRETL_TEST_RE,
226     GRETL_TEST_WITHIN_F,
227     GRETL_TEST_PANEL_WELCH,
228     GRETL_TEST_RE_WALD,
229     GRETL_TEST_XDEPEND,
230     GRETL_TEST_MAX
231 } ModelTestType;
232 
233 MODEL *gretl_model_new (void);
234 
235 void gretl_model_init (MODEL *pmod, const DATASET *dset);
236 
237 int gretl_model_allocate_storage (MODEL *pmod);
238 
239 MODEL **gretl_model_array_new (int n);
240 
241 MODEL *allocate_working_model (void);
242 
243 void gretl_model_array_destroy (MODEL **models, int n);
244 
245 void destroy_working_model (MODEL *models);
246 
247 void gretl_model_smpl_init (MODEL *pmod, const DATASET *dset);
248 
249 void impose_model_smpl (const MODEL *pmod, DATASET *dset);
250 
251 void gretl_model_set_auxiliary (MODEL *pmod, ModelAuxCode aux);
252 
253 void clear_model (MODEL *pmod);
254 
255 void gretl_model_free (MODEL *pmod);
256 
257 void clear_model_xpx (MODEL *pmod);
258 
259 void gretl_model_free_on_exit (MODEL *pmod);
260 
261 void display_model_data_items (const MODEL *pmod);
262 
263 int bundlize_model_data_items (const MODEL *pmod, gretl_bundle *b);
264 
265 int gretl_model_set_data_with_destructor (MODEL *pmod, const char *key, void *ptr,
266 					  GretlType type, size_t size,
267 					  void (*destructor) (void *));
268 
269 int gretl_model_set_data (MODEL *pmod, const char *key, void *ptr,
270 			  GretlType type, size_t size);
271 
272 int gretl_model_set_matrix_as_data (MODEL *pmod, const char *key,
273 				    gretl_matrix *m);
274 
275 int gretl_model_set_list_as_data (MODEL *pmod, const char *key, int *list);
276 
277 int gretl_model_set_string_as_data (MODEL *pmod, const char *key, char *str);
278 
279 int gretl_model_set_array_as_data (MODEL *pmod, const char *key,
280 				   gretl_array *A);
281 
282 int gretl_model_destroy_data_item (MODEL *pmod, const char *key);
283 
284 int gretl_model_detach_data_item (MODEL *pmod, const char *key);
285 
286 int gretl_model_set_int (MODEL *pmod, const char *key, int val);
287 
288 int gretl_model_set_double (MODEL *pmod, const char *key, double val);
289 
290 int gretl_model_set_full_vcv_info (MODEL *pmod, int vmaj, int vmin,
291 				   int order, int flags, double bw);
292 
293 int gretl_model_set_vcv_info (MODEL *pmod, int vmaj, int vmin);
294 
295 int gretl_model_get_vcv_type (const MODEL *pmod);
296 
297 int gretl_model_get_hc_version (const MODEL *pmod);
298 
299 int gretl_model_get_cluster_var (const MODEL *pmod);
300 
301 void *gretl_model_get_data (const MODEL *pmod, const char *key);
302 
303 void *gretl_model_get_data_full (const MODEL *pmod, const char *key,
304 				 GretlType *type, int *copied,
305 				 size_t *sz);
306 
307 int gretl_model_get_int (const MODEL *pmod, const char *key);
308 
309 double gretl_model_get_double (const MODEL *pmod, const char *key);
310 
311 double gretl_model_get_double_default (const MODEL *pmod,
312 				       const char *key,
313 				       double deflt);
314 
315 int *gretl_model_get_list (const MODEL *pmod, const char *key);
316 
317 char *gretl_model_get_param_name (const MODEL *pmod,
318 				  const DATASET *dset,
319 				  int i, char *targ);
320 
321 gretl_array *gretl_model_get_param_names (const MODEL *pmod,
322 					  const DATASET *dset,
323 					  int *err);
324 
325 int gretl_model_get_param_number (const MODEL *pmod,
326 				  const DATASET *dset,
327 				  const char *s);
328 
329 void free_coeff_intervals (CoeffIntervals *cf);
330 
331 CoeffIntervals *
332 gretl_model_get_coeff_intervals (const MODEL *pmod,
333 				 const DATASET *dset);
334 
335 int reset_coeff_intervals (CoeffIntervals *cf, double alpha);
336 
337 int gretl_model_get_depvar (const MODEL *pmod);
338 
339 const char *gretl_model_get_depvar_name (const MODEL *pmod,
340 					 const DATASET *dset);
341 
342 int *gretl_model_get_x_list (const MODEL *pmod);
343 
344 int *gretl_model_get_y_list (const MODEL *pmod);
345 
346 int *gretl_model_get_secondary_list (const MODEL *pmod);
347 
348 int arma_model_nonseasonal_AR_order (const MODEL *pmod);
349 
350 int arma_model_nonseasonal_MA_order (const MODEL *pmod);
351 
352 int arma_model_max_AR_lag (const MODEL *pmod);
353 
354 int arma_model_max_MA_lag (const MODEL *pmod);
355 
356 int arma_model_AR_MA_coeffs (const MODEL *pmod,
357 			     gretl_vector **phi_star,
358 			     gretl_vector **theta_star,
359 			     gretlopt opt);
360 
361 int regarma_model_AR_coeffs (const MODEL *pmod,
362 			     double **phi0,
363 			     int *pp);
364 
365 const double *arma_model_get_x_coeffs (const MODEL *pmod);
366 
367 int arma_model_get_n_arma_coeffs (const MODEL *pmod);
368 
369 int regarima_model_get_AR_coeffs (const MODEL *pmod,
370 				  double **phi0,
371 				  int *pp);
372 
373 int *arima_delta_coeffs (int d, int D, int s);
374 
375 gretl_matrix *arma_spectrum_plot_data (const MODEL *pmod,
376 				       const DATASET *dset,
377 				       int *err);
378 
379 gretl_matrix *gretl_model_ahat_vec (const MODEL *pmod, int *err);
380 
381 int gretl_model_set_coeff_separator (MODEL *pmod, const char *s, int pos);
382 
383 int gretl_model_get_coeff_separator (const MODEL *pmod, char **ps, int *ppos);
384 
385 int gretl_model_new_vcv (MODEL *pmod, int *nelem);
386 
387 int gretl_model_write_vcv (MODEL *pmod, const gretl_matrix *V);
388 
389 int gretl_model_add_QML_vcv (MODEL *pmod, int ci,
390 			     const gretl_matrix *H,
391 			     const gretl_matrix *G,
392 			     const DATASET *dset,
393 			     gretlopt opt,
394 			     gretl_matrix **pV);
395 
396 int gretl_model_add_hessian_vcv (MODEL *pmod,
397 				 const gretl_matrix *H);
398 
399 int gretl_model_add_OPG_vcv (MODEL *pmod,
400 			     const gretl_matrix *G,
401 			     gretl_matrix **pV);
402 
403 VMatrix *gretl_model_get_vcv (MODEL *pmod, const DATASET *dset);
404 
405 double gretl_model_get_vcv_element (const MODEL *pmod,
406 				    int i, int j,
407 				    int np);
408 
409 int gretl_model_write_coeffs (MODEL *pmod, double *b, int k);
410 
411 int gretl_model_add_arinfo (MODEL *pmod, int nterms);
412 
413 MODEL *gretl_model_copy (MODEL *pmod);
414 
415 void swap_models (MODEL *targ, MODEL *src);
416 
417 int command_ok_for_model (int test_ci, gretlopt opt,
418 			  const MODEL *pmod);
419 
420 int model_test_ok (int ci, gretlopt opt, const MODEL *pmod,
421 		   const DATASET *dset);
422 
423 int gretl_is_simple_OLS (const MODEL *pmod);
424 
425 int gretl_is_arima_model (const MODEL *pmod);
426 
427 int gretl_is_between_model (const MODEL *pmod);
428 
429 int gretl_is_regular_panel_model (const MODEL *pmod);
430 
431 int get_first_model_stat (const char **word, const char **desc);
432 
433 int get_next_model_stat (const char **word, const char **desc);
434 
435 int get_model_count (void);
436 
437 void set_model_count (int c);
438 
439 int model_count_plus (void);
440 
441 void model_count_minus (MODEL *pmod);
442 
443 void set_model_id (MODEL *pmod, gretlopt opt);
444 
445 ModelTest *model_test_new (ModelTestType ttype);
446 
447 ModelTest *gretl_model_get_test (MODEL *pmod, ModelTestType ttype);
448 
449 void model_test_free (ModelTest *test);
450 
451 int maybe_add_test_to_model (MODEL *pmod, ModelTest *test);
452 
453 void model_test_set_teststat (ModelTest *test, unsigned char ts);
454 void model_test_set_order (ModelTest *test, int order);
455 void model_test_set_dfn (ModelTest *test, int df);
456 void model_test_set_dfd (ModelTest *test, double df);
457 void model_test_set_value (ModelTest *test, double val);
458 void model_test_set_pvalue (ModelTest *test, double pval);
459 void model_test_set_param (ModelTest *test, const char *s);
460 void model_test_set_opt (ModelTest *test, gretlopt opt);
461 void model_test_set_allocated_param (ModelTest *test, char *s);
462 void model_test_set_crit_and_alpha (ModelTest *test,
463 				    double crit,
464 				    double alpha);
465 
466 void gretl_model_test_print (const MODEL *pmod, int i, PRN *prn);
467 void gretl_model_print_last_test (const MODEL *pmod, PRN *prn);
468 void gretl_model_test_print_direct (const ModelTest *test, int heading,
469 				    PRN *prn);
470 
471 void gretl_model_destroy_tests (MODEL *pmod);
472 
473 void model_list_to_string (int *list, char *buf);
474 
475 int highest_numbered_var_in_model (const MODEL *pmod,
476 				   const DATASET *dset);
477 
478 int mle_criteria (MODEL *pmod, int addk);
479 
480 int model_use_zscore (const MODEL *pmod);
481 
482 double coeff_pval (int ci, double x, int df);
483 
484 double model_coeff_pval (const MODEL *pmod, double x);
485 
486 int exact_fit_check (const MODEL *pmod, PRN *prn);
487 
488 void maybe_suppress_time_dummies (MODEL *pmod, int ndum);
489 
490 int gretl_model_allocate_param_names (MODEL *pmod, int k);
491 
492 int gretl_model_set_param_name (MODEL *pmod, int i, const char *name);
493 
494 int gretl_model_add_arma_varnames (MODEL *pmod, const DATASET *dset,
495 				   int yno, int p, int q,
496 				   const char *pmask, const char *qmask,
497 				   int P, int Q,
498 				   int r);
499 
500 int gretl_model_add_panel_varnames (MODEL *pmod, const DATASET *dset,
501 				    const int *ulist);
502 
503 void gretl_model_add_allocated_varnames (MODEL *pmod, char **vnames);
504 
505 int gretl_model_add_y_median (MODEL *pmod, const double *y);
506 
507 int gretl_model_add_normality_test (MODEL *pmod, double X2);
508 
509 int gretl_model_get_normality_test (const MODEL *pmod, PRN *prn);
510 
511 char *gretl_model_get_fitted_formula (const MODEL *pmod, int xvar,
512 				      const DATASET *dset);
513 
514 void gretl_model_set_name (MODEL *pmod, const char *name);
515 
516 const char *gretl_model_get_name (const MODEL *pmod);
517 
518 double gretl_model_get_scalar (MODEL *pmod,
519 			       ModelDataIndex idx,
520 			       DATASET *dset,
521 			       int *err);
522 
523 int gretl_model_get_series (double *x, MODEL *pmod,
524 			    const DATASET *dset,
525 			    ModelDataIndex idx);
526 
527 gretl_matrix *gretl_model_get_matrix (MODEL *pmod,
528 				      ModelDataIndex idx,
529 				      int *err);
530 
531 double
532 gretl_model_get_data_element (MODEL *pmod, int idx, const char *s,
533 			      const DATASET *dset, int *err);
534 
535 int gretl_model_serialize (const MODEL *pmod, SavedObjectFlags flags,
536 			   PRN *prn);
537 
538 #ifdef FULL_XML_HEADERS
539 
540 int attach_model_tests_from_xml (MODEL *pmod, xmlNodePtr node);
541 
542 MODEL *gretl_model_from_XML (xmlNodePtr node, xmlDocPtr doc,
543 			     const DATASET *dset,
544 			     int *err);
545 #endif
546 
547 #endif /* GRETL_MODEL_H */
548