1 This directory contains test code for the functions of the 'tseries' 2 segment of the CCM math library. Each test code file has a sample 3 of the correct output appended to it. Input data files named in 4 the test code header, are in the 'data' sub-directory. 5 6 The 'data' subdirectory contains time-series model definition files. 7 The format of these definition files is specfied below. 8 9 The 'generators' subdirectory contains the source code of programs 10 that will generate the sequence of a specfied time series. 11 12 13 Note: If your machine is big-endian or it employs a floating point 14 format different from the IEEE 64 bit standard for doubles 15 you must regenerate some of the test data files in the 'data' 16 subdirectory. See the 'generators' sub-directory README file 17 for directions on this. 18 19 20 ---------------------------------------- 21 Format of time series model data files 22 ---------------------------------------- 23 Time series model definition files 24------------------------------------------------------------------------- 25 A. Ordinary ARMA model definition 26 27 nar nma (# autoregressive # moving average) 28 p1 lag1 29 - - ( parameter - lag list 30 - - AR then MA , # = nar + nma = np ) 31 pN lagN 32 33 random_seed 34 35 B. FACTOR model definition 36 37 nfc nar nma ndif (# factors # autoregressive # moving average 38 #difference order ) 39 p1 lag1 40 - - ( parameter - lag list 41 - - factor , AR , MA ; # = nfc + nar +nma = np ) 42 pN lagN 43 44 random_seed 45 46-------------------------------------------------------------------------- 47 48 In the 'data' subdirectory files with a name beginning with 'tsf' 49 refer to factor models, while files with a name 'ts' refer to 50 ordinary ARIMA models. The sufix describes the type of file, with 51 52 .dat files contain a model definition 53 ( used as input to generate a series) 54 .d files contain a model specification 55 ( definition sans parameter values 56 used as input to estimate a time series fit) 57 .b files contain the binary data of a time series 58 ( generated by 'garma' (ARIMA) modesl or by 59 'gfarma' (factor models) ) 60 .er files contain the resuidal output from a 61 model estimation attempt (this is optional 62 output from the estimation programs and can 63 be used as input to the residual analysis 64 program tresid.c) 65 66 Note: It is instructive to run test estimations in which the 67 model specification (.d file) does not match the 68 definition file used to create the series! 69 70 The following list specifies the command line parameters and 71 prompt responses required to run the standard tests, whose 72 output is appended to the test source code. A prompt may 73 specify several parameters. 74 75 76 tdrfmod 20 data/tfs2.dat 77 tdrmod 20 data/ts1.dat 78 tevfmod 30 data/tfs0.dat 79 tevmod 30 data/ts2.dat 80 tfmest data/tfs0.d data/tfs0.b 81 prompt response sequence: s s s f q n 82 tfsread data/tfs0.b 83 tmest data/ts0.d data/ts0.b 84 prompt response sequence: s s s f f q n 85 tparma data/ts2.dat 86 tresid data/ts0.er 87 prompt responses: 20 -4 4 16 : n 88 tsany data/ts0.b 89 prompt response: 0 2 20 90 tsarma 20 data/ts2.dat 91 tsdiff 2 data/ts6.b 92 tsread data/ts0.b 93 txmean data/ts6.b 94