ISmLongRunCovariance.LRCKernel

Syntax

Description

The LRCKernel property determines a kernel type.

Comments

If LRCKernel = LRCKernelType.UserSpecified, kernel vector must be set by means of the ISmLongRunCovariance.KernelVector property.

Example

To execute the example, add a link to the Stat system assembly.

Sub UserProc;
Var
    lrc: SmLongRunCovariance;
    can, fra, ger, ita: Array[15] Of Double;
    res, i, j: Integer;
    str: String;
    kernel: Array Of Double;
    d: Integer = 2;
Begin
    lrc := New SmLongRunCovariance.Create;
    // Set values for variables
    can[0] := 6209; fra[0] := 4110; ger[0] := 3415; ita[0] := 2822;
    can[1] := 6385; fra[1] := 4280; ger[1] := 3673; ita[1] := 3023;
    can[2] := 6752; fra[2] := 4459; ger[2] := 4013; ita[2] := 3131;
    can[3] := 6837; fra[3] := 4545; ger[3] := 4278; ita[3] := 3351;
    can[4] := 6495; fra[4] := 4664; ger[4] := 4577; ita[4] := 3463;
    can[5] := 6907; fra[5] := 4861; ger[5] := 5135; ita[5] := 3686;
    can[6] := 7349; fra[6] := 5195; ger[6] := 5388; ita[6] := 3815;
    can[7] := 7213; fra[7] := 5389; ger[7] := 5610; ita[7] := 3960;
    can[8] := 7061; fra[8] := 5463; ger[8] := 5787; ita[8] := 4119;
    can[9] := 7180; fra[9] := 5610; ger[9] := 6181; ita[9] := 4351;
    can[10] := 7132; fra[10] := 5948; ger[10] := 6633; ita[10] := 4641;
    can[11] := 7137; fra[11] := 6218; ger[11] := 6910; ita[11] := 5008;
    can[12] := 7473; fra[12] := 6521; ger[12] := 7146; ita[12] := 5305;
    can[13] := 7722; fra[13] := 6788; ger[13] := 7248; ita[13] := 5611;
    can[14] := 8088; fra[14] := 7222; ger[14] := 7689; ita[14] := 5693;
    // set input series
    lrc.Regressors.Clear;
    lrc.Regressors.Add.Value := can;
    lrc.Regressors.Add.Value := fra;
    lrc.Regressors.Add.Value := ger;
    lrc.Regressors.Add.Value := ita;
    // sample period
    lrc.ModelPeriod.FirstPoint := 1;
    lrc.ModelPeriod.LastPoint := 15;
    // window type
    lrc.LRCWindow := LRCWindowType.Symmetric;
    // data standardization
    lrc.RemoveMeans := True;
    // take into account number of degrees of freedom
    lrc.DFAdjustment := False;
    // kernel parameters
    lrc.LRCKernel := LRCKernelType.UserSpecified;
    // lag specification
    lrc.LRCLagSpecification := LRCLagSpecificationType.None;
    // kernel vector
    If lrc.LRCKernel = LRCKernelType.UserSpecified Then
        kernel := New Double[d];
        kernel[0] := 1; kernel[1] := 2;
        lrc.KernelVector := kernel;
    End If;
    // calculate model
    res := lrc.Execute;
    Debug.WriteLine(lrc.Errors);
    For i := 0 To lrc.WarningsCount - 1 Do
        Debug.WriteLine(lrc.Warnings[i]);
    End For;
    Debug.WriteLine("Covariance matrix: ");
    Debug.Indent;
    For i := 0 To lrc.CovarianceMatrix.GetUpperBound(1) Do
        str := "";
        For j := 0 To lrc.CovarianceMatrix.GetUpperBound(2) Do
            str := str + (lrc.CovarianceMatrix[i, j] As Double).ToString + "  ";
        End For;
        Debug.WriteLine(str);
    End For;
    Debug.Unindent;
End Sub UserProc;

After executing the example the model of long-run covariance is built, and the settings are determined:

Sample period.
Window type.
Kernel bandwidth parameters and method.
Lag specification.
Kernel vector.

The console window displays the covariance matrix.