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system 9.2 Update 9 of 11/09/2020,
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FORESIGHT
GrangerTest: IMsVariableTest;
GrangerTest: Prognoz.Platform.Interop.Ms.IMsVariableTest;
The GrangerTest property returns parameters of the Granger test calculation.
Use the IMsGrangerTestSettings interface to set up calculation parameters.
Executing the example requires that the repository contains a modeling container with the MS identifier containing a modeling problem with the WEB_PROBLEM identifier. The task must contain the internal metamodel.
Add links to the Dimensions, Metabase, Ms, Stat system assemblies.
Sub GrangerTest;
Var
mb: IMetabase;
msKey: Integer;
Problem: IMsProblem;
Meta: IMsMetaModel;
MetaVisual: IMsMetaModelVisualController;
Test: IMsVariableTest;
CommonSett: IMsVariableTestSettings;
InclSrc: IMsVariableTestDataList;
VarArray: Array;
i, j: Integer;
Slice: IMsFormulaTransformSlice;
TestData: IMsVariableTestData;
Granger: IMsGrangerTestSettings;
TestRes: IMsVariableTestResults;
Res: Array;
Begin
mb := MetabaseClass.Active;
// Get modelling container key
msKey := mb.GetObjectKeyById("MS");
// Get modeling problem
Problem := mb.ItemByIdNamespace("WEB_PROBLEM", msKey).Bind As IMsProblem;
// Get metamodel
Meta := Problem.MetaModel;
MetaVisual := Meta.VisualController;
//Set common parameters of calculating descriptive statistics Test := MetaVisual.GrangerTest;
CommonSett := Test.Settings;
// Calculation period
CommonSett.StartDate := DateTime.Parse("01.01.1990");
CommonSett.EndDate := DateTime.Parse("01.01.2015");
// Method of missing data treatment
CommonSett.MissingData.Method := MissingDataMethod.LinTrend;
// Set variables for calculation
VarArray := MetaVisual.GetVariables;
InclSrc := CommonSett.IncludedSources;
InclSrc.Clear;
Debug.WriteLine("Tested variables");
Debug.WriteLine("");
For i := 0 To VarArray.Length - 1 Do
// Add only variables with annual frequency
Slice := VarArray[i] As IMsFormulaTransformSlice;
If Slice.Level = DimCalendarLevel.Year Then
TestData := InclSrc.Add(Slice);
End If;
End For;
// Set the parameters of Granger test calculation
Granger := CommonSett As IMsGrangerTestSettings;
// Setting significance level
Granger.ConfidenceLevel := 0.1;
// Setting lag
Granger.Lag := 3;
// Perform calculation of the test
TestRes := Test.Execute;
// Output results
If TestRes.Error <> "" Then
Debug.WriteLine(TestRes.Error);
Else
Res := TestRes.PValueMatrix;
Debug.WriteLine("Granger test"); Debug.WriteLine("");
Debug.WriteLine("Probability matrix:");
For i := 0 To Res.GetUpperBound(1) Do
For j := 0 To Res.GetUpperBound(2) Do
Debug.Write(Res[i, j]); Debug.Write("; ");
End For;
Debug.WriteLine("");
End For;
Debug.WriteLine("");
Res := TestRes.TStatMatrix;
Debug.WriteLine("Statistics matrix:");
For i := 0 To Res.GetUpperBound(1) Do
For j := 0 To Res.GetUpperBound(2) Do
Debug.Write(Res[i, j]); Debug.Write("; ");
End For;
Debug.WriteLine("");
End For;
Debug.WriteLine("");
Res := TestRes.ResValueMatrix;
Debug.WriteLine("Variable dependence:");
For i := 0 To InclSrc.Count - 1 Do
Debug.WriteLine("X" + (i + 1).ToString + " - " + InclSrc.Item(i).Name);
End For;
For i := 0 To Res.GetUpperBound(1) Do
For j := 0 To Res.GetUpperBound(2) Do
If i <> j Then
Debug.Write("X" + (i + 1).ToString + "," + "X" + (j + 1).ToString);
If (Res[i, j] As Boolean) Then
Debug.WriteLine(" there is Granger conditionality");
Else
Debug.WriteLine(" there is no Granger conditionality");
End If;
End If;
End For;
Debug.WriteLine("");
End For;
End If;
End Sub GrangerTest;
Example execution result: for all annual frequency variables, which are contained in the metamodel calculation chain, the Granger test is calculated. The results are displayed in the console window.
The requirements and result of the Fore.NET example execution match with those in the Fore example.
Imports Prognoz.Platform.Interop.Dimensions;
Imports Prognoz.Platform.Interop.Ms;
Imports Prognoz.Platform.Interop.Stat;
…
Public Shared Sub Main(Params: StartParams);
Var
mb: IMetabase;
msKey: uinteger;
Problem: IMsProblem;
Meta: IMsMetaModel;
MetaVisual: IMsMetaModelVisualController;
Test: IMsVariableTest;
CommonSett: IMsVariableTestSettings;
InclSrc: IMsVariableTestDataList;
VarArray: Array;
i, j: Integer;
Slice: IMsFormulaTransformSlice;
TestData: IMsVariableTestData;
Granger: IMsGrangerTestSettings;
TestRes: IMsVariableTestResults;
Res: Array;
Begin
mb := Params.Metabase;
// Get modelling container key
msKey := mb.GetObjectKeyById("MS");
// Get modeling problem
Problem := mb.ItemByIdNamespace["WEB_PROBLEM", msKey].Bind() As IMsProblem;
// Get metamodel
Meta := Problem.MetaModel;
MetaVisual := Meta.VisualController;
//Set common parameters of calculating descriptive statistics Test := MetaVisual.GrangerTest;
CommonSett := Test.Settings;
// Calculation period
CommonSett.StartDate := DateTime.Parse("01.01.1990");
CommonSett.EndDate := DateTime.Parse("01.01.2015");
// Method of missing data treatment
CommonSett.MissingData.Method := MissingDataMethod.mdmLinTrend;
// Set variables for calculation
VarArray := MetaVisual.GetVariables();
InclSrc := CommonSett.IncludedSources;
InclSrc.Clear();
System.Diagnostics.Debug.WriteLine("Tested variables");
System.Diagnostics.Debug.WriteLine("");
For i := 0 To VarArray.Length - 1 Do
// Add only variables with annual frequency
Slice := VarArray[i] As IMsFormulaTransformSlice;
If Slice.Level = DimCalendarLevel.dclYear Then
TestData := InclSrc.Add(Slice, 0);
End If;
End For;
// Set the parameters of Granger test calculation
Granger := CommonSett As IMsGrangerTestSettings;
// Setting significance level
Granger.ConfidenceLevel := 0.1;
// Setting lag
Granger.Lag := 3;
// Perform calculation of the test
TestRes := Test.Execute();
// Output results
If TestRes.Error <> "" Then
System.Diagnostics.Debug.WriteLine(TestRes.Error);
Else
Res := TestRes.PValueMatrix;
System.Diagnostics.Debug.WriteLine("Granger test"); System.Diagnostics.Debug.WriteLine("");
System.Diagnostics.Debug.WriteLine("Probability matrix:");
For i := 0 To Res.GetUpperBound(1) Do
For j := 0 To Res.GetUpperBound(0) Do
System.Diagnostics.Debug.Write(Res[j, i]); System.Diagnostics.Debug.Write("; ");
End For;
System.Diagnostics.Debug.WriteLine("");
End For;
System.Diagnostics.Debug.WriteLine("");
Res := TestRes.TStatMatrix;
System.Diagnostics.Debug.WriteLine("Statistics matrix:");
For i := 0 To Res.GetUpperBound(1) Do
For j := 0 To Res.GetUpperBound(0) Do
System.Diagnostics.Debug.Write(Res[j, i]); System.Diagnostics.Debug.Write("; ");
End For;
System.Diagnostics.Debug.WriteLine("");
End For;
System.Diagnostics.Debug.WriteLine("");
Res := TestRes.ResValueMatrix;
System.Diagnostics.Debug.WriteLine("Dependence of variables:");
For i := 0 To InclSrc.Count - 1 Do
System.Diagnostics.Debug.WriteLine("X" + (i + 1).ToString() + " - " + InclSrc.Item[i].Name);
End For;
For i := 0 To Res.GetUpperBound(1) Do
For j := 0 To Res.GetUpperBound(0) Do
If i <> j Then
System.Diagnostics.Debug.Write("X" + (i + 1).ToString() + "," + "X" + (j + 1).ToString());
If ((Res[j, i] As integer) = 1) Then
System.Diagnostics.Debug.WriteLine("there is Granger conditionality");
Else
System.Diagnostics.Debug.WriteLine("there is no Granger conditionality");
End If;
End If;
End For;
System.Diagnostics.Debug.WriteLine("");
End For;
End If;
End Sub;
See also: