/usr/include/gretl/johansen.h is in libgretl1-dev 2016d-1.
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* gretl -- Gnu Regression, Econometrics and Time-series Library
* Copyright (C) 2001 Allin Cottrell and Riccardo "Jack" Lucchetti
*
* This program is free software: you can redistribute it and/or modify
* it under the terms of the GNU General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This program is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU General Public License for more details.
*
* You should have received a copy of the GNU General Public License
* along with this program. If not, see <http://www.gnu.org/licenses/>.
*
*/
#ifndef JOHANSEN_H_
#define JOHANSEN_H_
#include "gretl_matrix.h"
typedef enum {
J_NO_CONST = 0,
J_REST_CONST,
J_UNREST_CONST,
J_REST_TREND,
J_UNREST_TREND
} JohansenCode;
struct JohansenInfo_ {
int ID; /* for identifying saved vars */
JohansenCode code; /* see enumeration above */
int rank; /* if specified, chosen cointegration rank, else 0 */
int seasonals; /* number of seasonal dummies included */
gretl_matrix *R0; /* residuals, VAR in differences */
gretl_matrix *R1; /* residuals, second regressions */
gretl_matrix *S00; /* cross-products of residuals */
gretl_matrix *S11; /* cross-products of residuals */
gretl_matrix *S01; /* cross-products of residuals */
gretl_matrix *evals; /* vector of eigenvalues */
gretl_matrix *Beta; /* matrix of eigenvectors */
gretl_matrix *Alpha; /* matrix of adjustments */
gretl_matrix *Bvar; /* variance matrix of beta */
gretl_matrix *Bse; /* standard errors of beta */
gretl_matrix *Ase; /* standard errors of alpha */
gretl_matrix *R; /* beta-restriction LHS matrix */
gretl_matrix *q; /* beta-restrictions RHS matrix */
gretl_matrix *Ra; /* alpha-restriction LHS matrix */
gretl_matrix *qa; /* alpha-restrictions RHS matrix */
gretl_matrix *YY; /* double-size Y matrix */
gretl_matrix *RR; /* double-size residuals matrix */
gretl_matrix *BB; /* double-size coefficient matrix */
double ll0; /* unrestricted log-likelihood */
int lrdf; /* df for likelihood ratio test */
double prior_ll; /* ll for prior model in restriction sequence */
int prior_df; /* df for prior model in restriction sequence */
};
#define jcode(v) ((v->jinfo == NULL)? 0 : v->jinfo->code)
#define jrank(v) ((v->jinfo == NULL)? 0 : v->jinfo->rank)
#define effective_order(v) (v->order+(v->ci==VECM))
/* vecm contains an "automatic" restricted term */
#define auto_restr(v) (v->jinfo != NULL && \
(v->jinfo->code == J_REST_CONST || \
v->jinfo->code == J_REST_TREND))
/* number of extra terms confined to the cointegrating space */
int n_restricted_terms (const GRETL_VAR *v);
void print_Johansen_test_case (JohansenCode jcode, PRN *prn);
int gretl_VECM_id (GRETL_VAR *vecm);
int *VAR_list_composite (const int *ylist, const int *xlist,
const int *rlist);
#endif /* JOHANSEN_H_ */
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