CommonExogenious: Array;
CommonExogenious: System.Array;
The CommonExogenious property determines an array of indexes of exogenous variables included into a group of variables with short-term cointegration links.
Exogenous variable must be included into the group of long-term (ISmCointegrationEq.LongTermExogenious) or short-term (ISmCointegrationEq.CommonExogenious) cointegration links to calculate a model.
To execute the example, add a link to the Stat system assembly.
Sub UserProc;
Var
y: Array[11] Of Double;
x1, x2: Array[21] Of Double;
AR_X: Array[1] Of Integer;
CommonEx, LongTerm: Array[1] Of Integer;
i, Res: Integer;
ArrRes, f: Array Of Double;
d: Double;
CointegrEq: ISmCointegrationEq;
Eq: ISlEquation;
Begin
// Set source values for endogenous variable
y[00] := 95;
y[01] := 45;
y[02] := 22;
y[03] := -36;
y[04] := 10;
y[05] := -15;
y[06] := 36;
y[07] := -10;
y[08] := -36;
y[09] := -44;
y[10] := -7;
// Set source values for 1 and 2 exogenous variables
x1[00] := 6; x2[00] := 7.6;
x1[01] := 8; x2[01] := 7.8;
x1[02] := 10; x2[02] := 8.1;
x1[03] := 5; x2[03] := 6.5;
x1[04] := 3; x2[04] := 5.3;
x1[05] := 6; x2[05] := 4.6;
x1[06] := 3; x2[06] := 6.3;
x1[07] := 7; x2[07] := 7.7;
x1[08] := 8; x2[08] := 9.8;
x1[09] := 10; x2[09] := 1.0;
x1[10] := 5; x2[10] := 7.5;
x1[11] := 2; x2[11] := 8.2;
x1[12] := 1; x2[12] := 4.1;
x1[13] := 1; x2[13] := 6.1;
x1[14] := 3; x2[14] := 7.3;
x1[15] := 4; x2[15] := 3.4;
x1[16] := 7; x2[16] := 2.7;
x1[17] := 4; x2[17] := 8.4;
x1[18] := 7; x2[18] := 6.7;
x1[19] := 4; x2[19] := 7.4;
x1[20] := 3; x2[20] := 6.3;
CointegrEq := New SmCointegrationEq.Create;
Eq := CointegrEq.Equation;
// Set endogenous variable
Eq.Serie.Value := y;
// Set exogenous variables
Eq.ExogenousVariables.Add.Value := x1;
Eq.ExogenousVariables.Add.Value := x2;
// Set autoregression order of exogenous variables
AR_X[0] := 0;
Eq.AutoRegressionOrder := AR_X;
// Include the first exogenous variable to short-term links group
CommonEx[0] := 0;
CointegrEq.CommonExogenious := CommonEx;
// Include the second exogenous variable to the long-term links group
LongTerm[0] := 1;
CointegrEq.LongTermExogenious := LongTerm;
// Set identification period
CointegrEq.Period.FirstPoint := 1;
CointegrEq.Period.LastPoint := 11;
// Set the last forecast point
Eq.Forecast.LastPoint := 21;
// Determine type of error correction model
CointegrEq.ModelType := ECMType.NoTrendIntercept;
// Set autoregression order of endogenous variables
CointegrEq.ParseSerieAROrder("1", True);
// Calculate method and display results
Res := CointegrEq.Execute;
If Res = 0 Then
Debug.WriteLine("Forecasting series:");
ArrRes := Eq.Forecast.Value;
For i := CointegrEq.Period.LastPoint To ArrRes.Length - 1 Do
d := ArrRes[i] As double;
Debug.WriteLine(i.ToString + ": " + d.ToString);
End For;
f := CointegrEq.CointegralEquation.Estimate;
Debug.WriteLine("Model coefficients;");
For i := 0 To f.Length - 1 Do
Debug.WriteLine(f[i]);
End For;
f := CointegrEq.CointegralEquation.Probability;
Debug.WriteLine("Coefficient probabilities:");
For i := 0 To f.Length - 1 Do
Debug.WriteLine(f[i]);
End For;
f := CointegrEq.CointegralEquation.StandardError;
Debug.WriteLine("Standard errors of coefficients");
For i := 0 To f.Length - 1 Do
Debug.WriteLine(f[i]);
End For;
f := CointegrEq.CointegralEquation.TStatistic;
Debug.WriteLine("t-statistics of coefficients");
For i := 0 To f.Length - 1 Do
Debug.WriteLine(f[i]);
End For;
Else
Debug.WriteLine("Execution status: " + Res.ToString);
Debug.WriteLine("Error: " + CointegrEq.Errors);
End If;
End Sub UserProc;
Imports Prognoz.Platform.Interop.Stat;
…
Public Shared Sub Main(Params: StartParams);
Var
y: Array[11] Of Double;
x1, x2: Array[21] Of Double;
AR_X: Array[1] Of Integer;
CommonEx, LongTerm: Array[1] Of Integer;
i, Res: Integer;
ArrRes, f: Array;
d: Double;
CointegrEq: ISmCointegrationEq;
Eq: ISlEquation;
Begin
// Set source values for endogenous variable
y[00] := 95;
y[01] := 45;
y[02] := 22;
y[03] := -36;
y[04] := 10;
y[05] := -15;
y[06] := 36;
y[07] := -10;
y[08] := -36;
y[09] := -44;
y[10] := -7;
// Set source values for 1 and 2 exogenous variables
x1[00] := 6; x2[00] := 7.6;
x1[01] := 8; x2[01] := 7.8;
x1[02] := 10; x2[02] := 8.1;
x1[03] := 5; x2[03] := 6.5;
x1[04] := 3; x2[04] := 5.3;
x1[05] := 6; x2[05] := 4.6;
x1[06] := 3; x2[06] := 6.3;
x1[07] := 7; x2[07] := 7.7;
x1[08] := 8; x2[08] := 9.8;
x1[09] := 10; x2[09] := 1.0;
x1[10] := 5; x2[10] := 7.5;
x1[11] := 2; x2[11] := 8.2;
x1[12] := 1; x2[12] := 4.1;
x1[13] := 1; x2[13] := 6.1;
x1[14] := 3; x2[14] := 7.3;
x1[15] := 4; x2[15] := 3.4;
x1[16] := 7; x2[16] := 2.7;
x1[17] := 4; x2[17] := 8.4;
x1[18] := 7; x2[18] := 6.7;
x1[19] := 4; x2[19] := 7.4;
x1[20] := 3; x2[20] := 6.3;
CointegrEq := New SmCointegrationEq.Create();
Eq := CointegrEq.Equation;
// Define endogenous variable
Eq.Serie.Value := y;
// Define exogenous variables
Eq.ExogenousVariables.Add().Value := x1;
Eq.ExogenousVariables.Add().Value := x2;
// Set autoregression order for exogenous variables
AR_X[0] := 0;
Eq.AutoRegressionOrder := AR_X;
// Include the 1st exogenous variable to the group of short-term relationships
CommonEx[0] := 0;
CointegrEq.CommonExogenious := CommonEx;
// Include the 2nd exogenous variable to the group of long-term relationships
LongTerm[0] := 1;
CointegrEq.LongTermExogenious := LongTerm;
// Set sample period
CointegrEq.Period.FirstPoint := 1;
CointegrEq.Period.LastPoint := 11;
// Set the last forecasting series
Eq.Forecast.LastPoint := 21;
// Determine error correction model type
CointegrEq.ModelType := ECMType.ecmtNoTrendIntercept;
// Set autoregression order for endogenous variables
CointegrEq.ParseSerieAROrder("1", True);
// Calculate method and output results
Res := CointegrEq.Execute();
If Res = 0 Then
System.Diagnostics.Debug.WriteLine("Forecasting series:");
ArrRes := Eq.Forecast.Value;
For i := CointegrEq.Period.LastPoint To ArrRes.Length - 1 Do
d := ArrRes[i] As double;
System.Diagnostics.Debug.WriteLine(i.ToString() + ": " + d.ToString());
End For;
f := CointegrEq.CointegralEquation.Estimate;
System.Diagnostics.Debug.WriteLine("Model coefficients;");
For i := 0 To f.Length - 1 Do
System.Diagnostics.Debug.WriteLine(f[i]);
End For;
f := CointegrEq.CointegralEquation.Probability;
System.Diagnostics.Debug.WriteLine("Coefficient probabilities:");
For i := 0 To f.Length - 1 Do
System.Diagnostics.Debug.WriteLine(f[i]);
End For;
f := CointegrEq.CointegralEquation.StandardError;
System.Diagnostics.Debug.WriteLine("Standard errors of coefficients");
For i := 0 To f.Length - 1 Do
System.Diagnostics.Debug.WriteLine(f[i]);
End For;
f := CointegrEq.CointegralEquation.TStatistic;
System.Diagnostics.Debug.WriteLine("t-statistics of coefficients");
For i := 0 To f.Length - 1 Do
System.Diagnostics.Debug.WriteLine(f[i]);
End For;
Else
System.Diagnostics.Debug.WriteLine("Execution status: " + Res.ToString());
System.Diagnostics.Debug.WriteLine("Error: " + CointegrEq.Errors);
End If;
End Sub;
After executing the example, the console window will display calculation results: forecasting series; model coefficients; probabilities, standard errors and t-statistics of coefficients.
See also: