ISmCointegrationEq.MissingData

Syntax

Description

The MissingData property returns parameters of missing data treatment in the explained series.

Comments

By default missing data is not treated.

Example

Add a link to the Stat system assembly.

Sub UserProc;
Var
    CointegrEq: ISmCointegrationEq;
    y: Array[11] Of Double;
    x1: Array[21] Of Double;
    AR_X, AR_Y: Array[1] Of Integer;
    CommonEx, LongTerm: Array[1] Of Integer;
    Res: Integer;
    Eq: ISlEquation;
    VARStat: IVARStatistics;
Begin
    CointegrEq := New SmCointegrationEq.Create;
    // Endogenous variable:
    y[00] := 95;  y[01] := 45;  y[02] := Double.Nan;
    y[03] := -36; y[04] := 10;  y[05] := -15;
    y[06] := 36;  y[07] := -10; y[08] := Double.Nan;
    y[09] := -44; y[10] := -7;
    // Exogenous variable:
    x1[00] := 6;  x1[01] := 8;  x1[02] := 10;
    x1[03] := 5;  x1[04] := 3;  x1[05] := 6;
    x1[06] := 3;  x1[07] := 7;  x1[08] := 8;
    x1[09] := 10; x1[10] := 5;  x1[11] := 2;
    x1[12] := 1;  x1[13] := 1;  x1[14] := 3;
    x1[15] := 4;  x1[16] := 7;  x1[17] := 4;
    x1[18] := 7;  x1[19] := 4;  x1[20] := 3;
    Eq := CointegrEq.Equation;
    // Output series
    Eq.Serie.Value := y;
    // Exogenous variable:
    Eq.ExogenousVariables.Add.Value := x1;
    AR_Y[0] := 1;
    AR_X[0] := 0;
    // Autoregression order of endogenous variable:
    CointegrEq.SerieAROrder := AR_Y;
    //Autoregression order of exogenous variable:
    Eq.AutoRegressionOrder := AR_X;
    // Sample period:
    CointegrEq.Period.FirstPoint := 0;
    CointegrEq.Period.LastPoint := 11;
    // Forecast:
    Eq.Forecast.LastPoint := 21;
    // Include the first exogenous variable into short-term links group
    CommonEx[0] := 0;
    CointegrEq.CommonExogenious := CommonEx;
    // Include the second exogenous variable into long-term links group
    LongTerm[0] := 0;
    CointegrEq.LongTermExogenious := LongTerm;
    // Missing data treatment:
    CointegrEq.MissingData.Method := MissingDataMethod.LinTrend;
    // Calculate model:
    Res := CointegrEq.Execute;
    If Res = 0 Then
        Debug.WriteLine("=== Values of vector autoregression statistics ===");
        VARStat := CointegrEq.VARStatistics;
        Debug.WriteLine("Covariance matrix determinant:");
        Debug.WriteLine(VARStat.RC);
        Debug.WriteLine("Residuals covariance matrix determinant:");
        Debug.WriteLine(VARStat.RCadj);
        Debug.WriteLine("Log-likelihood function:");
        Debug.WriteLine(VARStat.LLV);
        Debug.WriteLine("Akaike information criterion:");
        Debug.WriteLine(VARStat.AIC);
        Debug.WriteLine("Schwarz criterion:");
        Debug.WriteLine(VARStat.SC);
        Else
            Debug.Writeline(CointegrEq.Errors);
    End If;
End Sub UserProc;

After executing the example the console window displays vector autoregression statistics values.