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system 10.5 of 29/11/2024,
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FORESIGHT
SpecificInstrumental: ISlSeries;
The SpecificInstrumental property returns parameters of special equation variables.
The property is relevant only for the SimultaneousSystemMode.TSLS and SimultaneousSystemMode.3SLS methods.
To execute the example, add a link to the Stat system assembly.
Sub UserProc;
Var
simeq: SmSimultaneousSystem;
eqs: ISlSimultaneousEquations;
eq: ISlSimultaneousEquation;
can, fra, ger, ita, jpn, us, uk: Array[20] Of Double;
i, j, res: Integer;
Begin
simeq := New SmSimultaneousSystem.Create;
//values can,fra,ger,ita,jpn,us,uk
can[00] := 6209; fra[00] := 4110; ger[00] := 3415; ita[00] := 2822; jpn[00] := 1475; uk[00] := 5320; us[00] := 8680;
can[01] := 6385; fra[01] := 4280; ger[01] := 3673; ita[01] := 3023; jpn[01] := 1649; uk[01] := 5484; us[01] := 9132;
can[02] := 6752; fra[02] := 4459; ger[02] := 4013; ita[02] := 3131; jpn[02] := 1787; uk[02] := 5517; us[02] := 9213;
can[03] := 6837; fra[03] := 4545; ger[03] := 4278; ita[03] := 3351; jpn[03] := 1884; uk[03] := 5791; us[03] := 9450;
can[04] := 6495; fra[04] := 4664; ger[04] := 4577; ita[04] := 3463; jpn[04] := 1972; uk[04] := 5971; us[04] := 9177;
can[05] := 6907; fra[05] := 4861; ger[05] := 5135; ita[05] := 3686; jpn[05] := 2108; uk[05] := 6158; us[05] := 9756;
can[06] := 7349; fra[06] := 5195; ger[06] := 5388; ita[06] := 3815; jpn[06] := 2249; uk[06] := 6238; us[06] := 9756;
can[07] := 7213; fra[07] := 5389; ger[07] := 5610; ita[07] := 3960; jpn[07] := 2394; uk[07] := 6322; us[07] := 9724;
can[08] := 7061; fra[08] := 5463; ger[08] := 5787; ita[08] := 4119; jpn[08] := 2505; uk[08] := 6340; us[08] := 9476;
can[09] := 7180; fra[09] := 5610; ger[09] := 6181; ita[09] := 4351; jpn[09] := 2714; uk[09] := 6569; us[09] := 9913;
can[10] := 7132; fra[10] := 5948; ger[10] := 6633; ita[10] := 4641; jpn[10] := 3052; uk[10] := 6813; us[10] := 9974;
can[11] := 7137; fra[11] := 6218; ger[11] := 6910; ita[11] := 5008; jpn[11] := 3453; uk[11] := 6974; us[11] := 10046;
can[12] := 7473; fra[12] := 6521; ger[12] := 7146; ita[12] := 5305; jpn[12] := 3666; uk[12] := 6994; us[12] := 10467;
can[13] := 7722; fra[13] := 6788; ger[13] := 7248; ita[13] := 5611; jpn[13] := 4008; uk[13] := 7220; us[13] := 10740;
can[14] := 8088; fra[14] := 7222; ger[14] := 7689; ita[14] := 5693; jpn[14] := 4486; uk[14] := 7570; us[14] := 11157;
can[15] := 8516; fra[15] := 7486; ger[15] := 8046; ita[15] := 5804; jpn[15] := 4663; uk[15] := 7686; us[15] := 11738;
can[16] := 8941; fra[16] := 7832; ger[16] := 8143; ita[16] := 6121; jpn[16] := 5115; uk[16] := 7811; us[16] := 12274;
can[17] := 9064; fra[17] := 8153; ger[17] := 8064; ita[17] := 6546; jpn[17] := 5655; uk[17] := 8012; us[17] := 12450;
can[18] := 9380; fra[18] := 8468; ger[18] := 8556; ita[18] := 6918; jpn[18] := 6358; uk[18] := 8265; us[18] := 12874;
// calculation period
simeq.ModelPeriod.FirstPoint := 1;
simeq.ModelPeriod.LastPoint := 20;
// Method of missing data treatment
simeq.MissingData.Method := MissingDataMethod.LinTrend;
// estimation method for simultaneous equation systems
simeq.SimultaneousSystemMethod := SimultaneousSystemMode.General;
// use constant as instrumental variable
simeq.UseConstantAsInstrument := True;
eqs := simeq.Equations;
// FIRST EQUATION
eq := eqs.Add;
// parameters of dependent variable in model
eq.DependentVariable.Value := can;
// parameters of endogenous variables in equation
eq.EndogenousVariables.Add.Value := fra;
eq.EndogenousVariables.Add.Value := ger;
// parameters of exogenous variables in equation
eq.ExogenousVariables.Add.Value := us;
eq.ExogenousVariables.Add.Value := uk;
// parameters of constant for equation
eq.Intercept.Mode := InterceptMode.AutoEstimate;
// SECOND EQUATION
eq := eqs.Add;
eq.DependentVariable.Value := fra;
eq.EndogenousVariables.Add.Value := ger;
eq.EndogenousVariables.Add.Value := ita;
eq.ExogenousVariables.Add.Value := jpn;
eq.ExogenousVariables.Add.Value := us;
// stack instrumental variables
eq.SpecificInstrumental.Add.Value := us;
// maximum number of iterations
simeq.MaxIteration := 250;
// accuracy of solution
simeq.Tolerance := 0.0001;
// model calculation and output of results
res := simeq.Execute;
Debug.WriteLine(simeq.Errors);
Debug.WriteLine("First equation");
Debug.Indent;
Debug.WriteLine("Equation coefficient estimation");
Debug.WriteLine("Constant: " + eqs.Item(0).Intercept.Estimate.ToString + " " +
eqs.Item(0).Intercept.StandardError.ToString + " " +
eqs.Item(0).Intercept.TStatistic.ToString + " " +
eqs.Item(0).Intercept.Probability.ToString);
Debug.WriteLine("Endogenous coefficients:");
For i := 0 To eqs.Item(0).EndogenousCoefficients.Estimate.Length - 1 Do
Debug.WriteLine("X " + (i + 1).ToString + ": " +
eqs.Item(0).EndogenousCoefficients.Estimate[i].ToString + " " +
eqs.Item(0).EndogenousCoefficients.StandardError[i].ToString + " " +
eqs.Item(0).EndogenousCoefficients.TStatistic[i].ToString + " " +
eqs.Item(0).EndogenousCoefficients.Probability[i].ToString);
End For;
Debug.WriteLine("Exogenous coefficients:");
For i := 0 To eqs.Item(0).ExogenousCoefficients.Estimate.Length - 1 Do
Debug.WriteLine("Z " + (i + 1).ToString + ": " +
eqs.Item(0).ExogenousCoefficients.Estimate[i].ToString + " " +
eqs.Item(0).ExogenousCoefficients.StandardError[i].ToString + " " +
eqs.Item(0).ExogenousCoefficients.TStatistic[i].ToString + " " +
eqs.Item(0).ExogenousCoefficients.Probability[i].ToString);
End For;
Debug.WriteLine("Modeling series:");
For i := 0 To eqs.Item(0).Fitted.Length - 1 Do
Debug.Write(i.ToString + " ");
Debug.WriteLine(eqs.Item(0).Fitted[i]);
End For;
Debug.WriteLine("Residual series:");
For j := 0 To simeq.ModelPeriod.LastPoint - 1 Do
Debug.Write(j.ToString + " ");
Debug.WriteLine(eqs.Item(0).Residuals[j]);
End For;
Debug.Unindent;
Debug.WriteLine("Second equation");
Debug.Indent;
Debug.WriteLine("Equation coefficient estimation");
Debug.WriteLine("Constant: " + eqs.Item(1).Intercept.Estimate.ToString + " " +
eqs.Item(1).Intercept.StandardError.ToString + " " +
eqs.Item(1).Intercept.TStatistic.ToString + " " +
eqs.Item(1).Intercept.Probability.ToString);
Debug.WriteLine("Endogenous coefficients:");
For i := 0 To eqs.Item(1).EndogenousCoefficients.Estimate.Length - 1 Do
Debug.WriteLine("X" + (i + 1).ToString + ": " +
eqs.Item(1).EndogenousCoefficients.Estimate[i].ToString + " " +
eqs.Item(1).EndogenousCoefficients.StandardError[i].ToString + " " +
eqs.Item(1).EndogenousCoefficients.TStatistic[i].ToString + " " +
eqs.Item(1).EndogenousCoefficients.Probability[i].ToString);
End For;
Debug.WriteLine("Exogenous coefficients:");
For i := 0 To eqs.Item(1).ExogenousCoefficients.Estimate.Length - 1 Do
Debug.WriteLine("Z" + (i + 1).ToString + ": " +
eqs.Item(1).ExogenousCoefficients.Estimate[i].ToString + " " +
eqs.Item(1).ExogenousCoefficients.StandardError[i].ToString + " " +
eqs.Item(1).ExogenousCoefficients.TStatistic[i].ToString + " " +
eqs.Item(1).ExogenousCoefficients.Probability[i].ToString);
End For;
Debug.WriteLine("Modeling series:");
For i := 0 To simeq.ModelPeriod.LastPoint - 1 Do
Debug.Write(i.ToString + " ");
Debug.WriteLine(eqs.Item(1).Fitted[i]);
End For;
Debug.WriteLine("Residual series:");
For j := 0 To simeq.ModelPeriod.LastPoint - 1 Do
Debug.Write(j.ToString + " ");
Debug.WriteLine(eqs.Item(1).Residuals[j]);
End For;
Debug.Unindent;
Debug.WriteLine("Summary statistics");
Debug.WriteLine("First equation");
Debug.Indent;
Debug.WriteLine("Akaike criterion: " + eqs.Item(0).SummaryStatistics.AIC.ToString);
Debug.WriteLine("Durbin-Watson statistic: " + eqs.Item(0).SummaryStatistics.DW.ToString);
Debug.Unindent;
Debug.WriteLine("Second equation");
Debug.Indent;
Debug.WriteLine("Akaike criterion: " + eqs.Item(1).SummaryStatistics.AIC.ToString);
Debug.WriteLine("Durbin-Watson statistic: " + eqs.Item(1).SummaryStatistics.DW.ToString);
Debug.Unindent;
End Sub UserProc;
After executing the example the console window displays summary statistics, endogenous and exogenous coefficients of equations, modeling series and residual series for both equations.
See also:
ISlSimultaneousEquation | SimultaneousSystemMode