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User`s Manual - Time Series Modelling (TSM)

1. Actual and fitted series submenu time and scatter plots Residuals sub menu Variance adjusted residuals sub menu Conditional variances GARCH and regime switching models only Regime probabilities sub menu regime switching models only All the time plots for the model in one frame Equilibrium relations sub menu error correction models only Ex ante forecasts sub menu Solved moving average coefficients impulse response and step response submenu A 2D or 3D plot of the criterion function if computed see Actions Plot Criterion Grid Plots of the recursive or rolling estimations if computed dialog Kernel density plots of the bootstrap distributions of parameter estimates and test statistics In the Residuals Adjusted Residuals and Equilibrium Relations submenus the available options are time plot correlogram spectrum correlogram and spectrum of absolute values histogram and kernel density and normal QQ plot There is an option to display all the representations in the same frame The Actual vs Fitted scatter plot includes the Fitted vs Fitted line which has slope 1 by construction and passes through the point of sample means The residuals correspond to the vertical deviations around this line but ordered by magnitude of the fitted values instead of the sample time ordering Regime probabilities are summed over lags in Hamilton s switching model Smoothed regime probabilities are computed by Kim s
2. is displayed in the text box where denotes the current run ID number The entry can then be edited as desired If an existing title is first highlighted this name appears in the text box If OK is pressed without changing it the current specifications overwrite the ones stored under that title This option allows a stored model to be modified or updated Rename a model by loading it saving it under the new title and then deleting the original copy The Store command places the model specifications in a memory buffer but does not save them to disk Give the command File Settings Save or Save As to save them permanently in a tsm file When a settings file is reloaded the stored models it contains will be accessible as before A stored model contains the complete current settings of all model dialogs including Model Linear Regression Model Dynamic Equation Setup Nonparametric Regression Setup Semiparametric Long Memory and Setup Cointegration Analysis For the purposes of Monte Carlo experiments the model is recorded as a linear regression a dynamic equation or a semi parametric long memory model depending on which dialog is open when the Store command is given Note that estimation is always done numerically when launched from the Dynamic Equation dialog To have the desired estimator recorded as part of the stored model have the appropriate dialog open when the Store command is given There is an option t
3. Notes l By default the statistics printed by selecting these options are asymptotically Chi squared with degrees of freedom indicated in parentheses The nominal p values of the tests are shown enclosed in braces following the statistic values De The option of printing the F form of the tests with associated p values from the F tabulation can be selected with the checkboxes in the relevant dialogs Note In most cases the F form is to provide an alternative approximation to the asymptotic Chi squared distribution These tests are exact only in special cases SCORE LM TEST 3 This option opens a dialog to allow specification of a test of the significance of additional regressors selected from the data set Radio buttons allow selection of location of the test variables either the Conditional Mean model Equation 1 included as variables of Types 1 2 or 3 or the Conditional Variance model Equations 2 3 included as variables of Types 1 2 or 3 4 If the selected Type is assigned to include one or more lags see Model Dynamic Equation or Model Linear Regression and Model Conditional Variance then the same number of lags of the test variable s are included in the test set It is not necessary for the null estimated model to contain lags Just set the number of lags required for the relevant Type with the Lags scrollbar in Model Conditional Mean or Model Conditional Variance The degrees of freedom of t
4. For explained switching models the transition probabilities for Regimes 1 to M 1 In regime switching models the residuals are computed as weighted averages of the regimes using the filter probabilities as weights Note In the case of the Probit model generalized residuals replace variance adjusted residuals RETRIEVING GENERATED SERIES 14 Retrieving series means adding them to the current data set for further analysis in the program The radio buttons allow you to choose whether to retrieve the next run only and then cancel the option or keep it selected The series are allocated standard names with numbers appended to distinguish successive retrievals They can be renamed more descriptively in the Data Transformations dialog if desired 8 2 Options Tests and Diagnostics CORRELOGRAM POINTS The scroll bar controls the number of correlogram points to be computed when this option is selected in Options Output and Retrieval The upper limit is set at number of observations 3 143 James Davidson 2015 The first two checkboxes which are checked by default control the display of various standard statistics following an estimation run Unchecking these boxes simplifies the estimation output which may be appropriate for elementary tutorial use LM TESTS OF SET RESTRICTIONS AND FIXED VALUES Check the LM Tests of Parameter Restrictions checkbox to compute the score LM statistic for the validity of restrict
5. SMOOTH TRANSITION 12 In the smooth transition ST case select the transition indicator z_t from the variable list after clicking the first radio button Only one selection is possible If no transition indicator is selected the smooth transition option is cancelled and the type setting reverts to Markov switching 13 The inclusion of an ST intercept is selected by a checkbox If both this and explanatory variables are omitted the dominant regime depends on the sign of z_t The second set of parameters is unavailable unless Double Transition is checked 14 The number of regimes is fixed at 2 for the ST model 15 NOTE The explanatory variable selections for the explained switching and smooth transition options share a common storage location If the type of switching selected is changed the existing variable selections for these options are cancelled 16 Analytic forecasts are not available for ST models in this release Use the Monte Carlo forecast option 17 The ST model has two identical maxima of the likelihood since interchanging both the regimes and the sign of the smoothness parameter gamma yields the same likelihood by construction Be careful to interpret the estimates correctly 4 8 Model Equilibrium Relations An Equilibrium Relation Eq R is defined as a linear combination of lagged variables that is inserted as a regressor in one or more equations of a system with the combining coefficients bei
6. Save Excel 2003 and 2007 worksheets The first row of the sheet must contain variable names Comma delimited text file Format as for xls Give Win file See OxMetrics documentation for details GAUSS data file STATA Versions 4 6 data file OxMetrics data with load information file See the OxMetrics documentation for details ASCII file containing a matrix with variables in columns and observations in rows The first line of the file must contain two integers number of rows followed by number of columns In this case the variable names assigned are Varl Var2 etc These can be changed in the Data Transformation and Editing dialog commands are Opens the operating system s file dialog for opening Any data currently in memory are over written Merges new file with data already loaded After selecting the file a dialog is presented to enter the row offset that is the relative position in the current file of the first observation of the new file The offset is gt zero if start dates match gt positive if start date of new series is later or gt negative if start date of new series is earlier Close the dialog either by pressing Return or clicking the Close symbol on the menu bar Saves data under the name specified in the last Open or Save As command 32 James Davidson 2015 Save As Opens the operating system s file dialog for saving The type of file saved is determined either by t
7. double M button select Store Current Model and supply a name the current run number is the default This facility allows you to work on different projects in parallel during a session You may have a complex multi equation model set up and need to do some exploratory regressions or swap data sets Saving the model allows you to reload the settings later using the Load Model command in the Model Manager Your stored models are saved with the other settings in the settings tsm file To keep a permanent copy of your favourite operational settings save them in a backup file with a name such as mydefaults tsm If you then need to change the settings for a particular run they are easily restored by the command File Settings Open and selecting the backup file Note that restoring settings does not reset the run ID counter Named settings files are also useful in a teaching context Students can be supplied with a tsm file containing a desired set of defaults and also stored models for estimation or simulation exercises The students can easily undo any changes they have made by reloading the defaults file By default settings files are saved with local path information to locate data and listings files which may make them unsuitable for transfer from one installation to another Use the Export option in File Settings Save As to omit this local information The search path for all files will then be set to the Star
8. 18 James Davidson 2015 with the output a Text can be highlighted with the mouse hold down the mouse button and drag the I beam cursor z Use the right mouse button to open a context menu with commands to cut or copy the text to the Windows clipboard The TSM command File Save Selected Text allows highlighted text to be written to a named file ig Highlighted text can also be dragged and dropped into another application such as Word or Notepad Hold down the Control key while dropping to drop a copy while leaving the original behind The results for an estimation run are printed with a heading showing the version number of the program a run ID number and the date and time sd The run ID number is incremented each time an estimation is run and also each time a stored model is loaded The ID number is used to identify retrieved series and also listings graphics and settings files optionally generated in the run This makes it easy to verify which piece of output goes with which run at the end of a session ss The current ID is stored in the file settings tsm It is preserved when settings are restored to defaults File Settings New It is reset to 0 only when settings tsm is deleted as It can be assigned a new value zero or otherwise by going to Options General Special Settings and selecting Initialize Run ID The text size can be changed from the default of 12 point in the Options General dia
9. Ignoring these irregularities may be permissible for labelling graphs for example CALENDAR DATES 11 12 To set individual daily dates load the data file using the command File Data Edit Spreadsheet Create a new variable with the name Date for example use the Make Zeros command and move it to the first position in the file using the Edit command Move Up List Now enter the dates in the format yyyy mm dd the Copy button is useful to propagate the template from cell to cell Optionally times of day can also be entered using the 24 hour format yyyy mm ddThh mm Dating information is used automatically if it is present To over ride this behaviour and set periodic dates in the default manner use the Set Dates command in Setup Date Transformation and Editing In this case the existing date information is deleted If dated files are merged in TSM the dating information in both files is ignored DATE LABELS 13 14 15 Create a variable in the data file with the reserved name DATELABELS the elements of this column are used to label the observations They must be numeric but are otherwise arbitrary For example in the case of irregularly spaced data including just the year repeated as required may provide sufficient information to label a time plot The labels could also be in descending order to denote e g Years ago The label series can be created in TSM using the command Set Date Lab
10. Settings Open The Start in directory is in this case the directory where the target TSM file resides Any data file having a supported format can be selected in Explorer and loaded into TSM In this case right click the file with the mouse and select the option Open with from the context menu Select the Choose Program option and choose start_tsm with the Windows batch file icon from the list If this option does not appear in the list choose Browse navigate to the TSM HOME directory and select the file start_tsm bat from the file list It should only be necessary to do this once Notes 1 If the option Always use the selected program to open this kind of file is checked simply double clicking on the file icon will in future load the file into TSM Only choose this option if you don t edit this type of file in your spreadsheet program by default 2 The directory containing the data file is used as the Start in directory If it contains a settings tsm file the settings are loaded from there Otherwise the defaults are set and a new settings tsm is created RUNNING SEVERAL INSTANCES OF TSM 26 27 To run lengthy optimizations or Monte Carlo runs without tying up the program interface try the option for exporting batch jobs to be run from the command line For details see BATCH JOBS under 6 1 Actions Run Estimation and RUNNING AN EXTERNAL PROCESS under 3 10 Setup Monte Carlo Exper
11. These options are presented in a separate dialog accessible from this dialog and also the Linear Regression and Dynamic Equation dialogs The details are given in Section 8 2a of this manual COVARIANCE MATRIX FORMULAE Four methods of calculation are available for computing covariance matrices x Notes Standard corresponds to the information matrix in ML estimators and is generally appropriate for correctly specified models with i i d errors Robust allows for mis specified likelihoods and heteroscedastic but independent errors HAC is for models with residual autocorrelation as well as possible heteroscedasticity KVB selects the inconsistent estimator proposed by Kiefer Vogelsang and Bunzel 2000 The method selected here is used for equation standard errors and also Wald and LM tests M statistics use HAC and nonparametric tests of I 0 see Actions Compute Summary Statistics use HAC Whittle estimates use HAC if KVB is selected The KVB estimates correspond to HAC using the Bartlett kernel and bandwidth equal to sample size Note that they are inconsistent but yield asymptotically pivotal tests based on a nonstandard distribution P value inequalities are reported from the published tables and are identified in the output with the symbol NOTE KVB can be implemented for nonlinear models and GMM at the user s discretion but take care to note that asymptotic distribution results for these cases are no
12. fP are differentiable algebraic expressions The program imposes the restrictions by replacing a j1 a jP with the given functions of a k1 a kM Restrictions cannot be entered in implicit form Example a 0 a 1 a 3 a 2 exp a 1 a 4 a 0 a 1 a 2 a 2 a 1 a 3 is NOT valid Not solved form A valid form of the first equation would be a 0 a 1 a 1 a 3 is OK 4 10 Model Select Instruments This dialog is enabled only if IV GMM is the selected estimator x Notes Highlight by clicking with the mouse those variables to be included as instruments Use the checkboxes to indicate whether the intercept and trend dummies are to be included as instruments Use the Additional Instruments scrollbar to set the number of lags of additional instruments to be used Set the Initial Lag scrollbar to a positive value to include only lags of this at least this order Use the Lagged Endogenous scrollbar to set the number of lags of endogenous variables to be used as instruments The Clear button unselects all variables in the list Any non lagged variable appearing in the equation but not appearing in the instrument list is treated as endogenous Any variable appearing in the instrument list but not in the equation is an additional instrument Set the first scroll bar to select the number of lags of these variables to include in the instrument set To use lagged endogenous
13. Go A variable called Zeros with the specified number of observations is automatically created 3 Open Options Simulation and Resampling and choose a shock distribution either Gaussian or Model In the first case also set the shock variance In the second case a likelihood function must be specified in Model Dynamic Equation 4 Set the model specifications in the usual way selecting Zeros as the dependent variable Pre sample values are used to start a dynamic simulation and if desired these can be inserted in Zeros in Setup Data Transformation and Editing 5 Enter parameter values in the relevant Values dialogs Don t forget variance parameters in the case of Model shocks 6 Open the Model Manager and save your specifications under a suitable name 7 Select Actions Simulate Current Model and add the artificial data to the data set if desired 8 Alternatively use your model to set up a Monte Carlo experiment Note how a different model can be used to estimate from the simulated data to permit misspecification analysis Whilst the simulation code has been carefully checked there are so many combinations of model features available that it is not possible to guarantee that they will all work together as intended To ensure the integrity of simulation results it is a good idea to run a check on the selected model Users may also wish to check out their own supplied code To verify that a model is being correctly
14. Logarithm Exponential Logistic Log Odds Box Cox Square Square Root Reciprocal Power Sine Cosine Absolute Value Max X C C Marked Min X C C Marked Sign 3 Add C C Marked Subtract C C Marked Multiply by C C Marked Divide by C C Marked Centre Mean Devs Standardize Detrend Moving Average Epanechikov Kernel Gaussian Kernel Triangular Kernel Uniform Kernel Biweight Kernel Fourier Transform Hodrick Prescott Filter Cubic Spline Principal Components Reverse Series log Xt exp Xt exp Xt 1 exp Xt log Xt C Xt C 1 or 100 Xt lamda 1 lamda lamda gt 0 Xt 2 Xt 1 2 1 Xt X E E an integer Xt E otherwise sin Pi C Xt cos Pi C Xt Xt max Xt C max Xt C Mt min Xt C min Xt C Mt 1 if Xt gt 0 1 otherwise Xt C Xt C Mt Xt C Xt C Mt Xt C Xt C Mt Xt C Xt C Mt Xt Mean X Xt Mean X SD X Xt a b t by regression j point moving average Kernel smoother Kernel smoother Kernel smoother Kernel smoother Kernel smoother See 9 below HP filter with penalty Lamda Cubic spline see 10 below PCs of the selected variables Time reversal Tanaka Filter See 11 below Additional Notes l By default missing observations resulting from forming lags leads or differences are replaced by NaN and these rows are omitted from e
15. Save Selected Text Allows any part of the text in the results window to be saved to a file Give this command after highlighting the desired text by dragging with the mouse The options presented are to append the text to the current results file and to write to overwrite a new existing named file Restart gt gt These options close the program and automatically restart it with all run settings intact including results window contents These are convenient shortcuts for loading user s code In some situations a manual restart is necessary see Notes Restart Load User Code A choice box gives the options of loading the currently specified user Ox code and selecting a different code file in the file dialog Restart Load Text Input A choice box gives the option of selecting a text file containing a set of TSM text commands for loading as program settings and or model specifications Restart Load Text Defaults Loads default settings which 1f different from the programmed defaults will be set with the File Settings Clear All command and also if the settings file is renewed Quit Closes the program The prompts to save specification and data before closing can be optionally switched off go to Options General Notes 1 Selected text can be cut copied or deleted After highlighting click the right 27 James Davidson 2015 mouse button and select from the context menu The contents of the Windows clipboard can be p
16. amp MA Coeffs If the model has already been estimated click the Calculator button on the tool bar This will evaluate the model and forecasts Otherwise click Running Man to run the estimation and forecast calculation in one step To see the point forecasts and confidence intervals graphically select Graphics Ex Ante Forecasts The forecasts can also be exported to a spreadsheet file Click File Listings Save Forecasts 10 HOW TO ESTIMATE A SIMPLE VAR MODEL x Open the Linear Regression dialog and check the box System of Equations You are now allowed to select two or more dependent variables In the Select Regressors panel click on the Type 2 radio button Make the same selections as you made for the dependent variables Use the Lags scroll bar to choose the VAR order Select an intercept if desired Any exogenous variables can be added to the model as regressors of Type 1 Press Go or the Running Man or Calculator buttons to estimate the model Note that when endogenous variables are entered as Type 2 Regressors the current values are automatically suppressed making it easy to specify lagged dependent variables 14 James Davidson 2015 z A VAR or VARMA can also be estimated in the Dynamic Equation dialog 11 HOW TO ESTIMATE A GARCH MODEL j Open the Dynamic Equations dialog i Specify the mean equation as appropriate This could be an ARMA or a regression model for example In the Select Est
17. b only the constants intercepts of the constraint functions are set in this dialog The linear functions themselves like the parameters for zeroing are set in the Values dialogs Restrictions can be implemented in either of two ways j Tested on the unconstrained estimates using the Wald principle i Imposed in estimation In the latter case the LM test for the restrictions is computed if this option is selected in the Options Tests and Diagnostics dialog In this case any fixing restrictions on the parameters will be treated as part of the maintained model and not tested To test fixing restrictions make sure the Parameter Constraints option is deselected in Model Dynamic Equation or Model Linear Regression Notes 1 Up to 10 linear restrictions can be specified with nonzero constant terms However up to 20 additional restrictions could be set with zero constant terms 2 Estimation subject to constraints is not available with OLS and IV estimation This option is disabled grayed out when the Model Linear Regression dialog is open 3 By default the statistic reported is asymptotically chi squared Set the check box to report the F statistic with the reported p value taken from the F tabulation Note that this setting is shared with the user specified LM and moment tests see Actions Compute Test Statistics It can be selected deselected in any of the relevant dialogs REGRESSOR SIGNIFICANCE TEST 4 T
18. checked the terminal forecast date is fixed so that N contracts as the end of the sample advances This option can be used to compare the forecasts of a particular date from different standpoints 3 8 Setup Compute Summary Statistics This dialog presents the variable list Select one or more variables and press Go to print tables of summary statistics Alternatively just double click a variable Optionally the following tests for integration order are computed Tests of I 0 x The Robinson Lobato 1998 nonparametric test of I 0 The bandwidth m is calculated by the rule described in the paper Lo s 1991 R S test for I 0 against I d for d gt 0ord lt 0 A bounding p value probability of the statistic exceeding the computed value under HO is given in braces The Kwiatkowski et al 1992 KPSS test of I 0 against I 1 A bounding p value probability of the statistic exceeding the computed value under HO is given in braces The Harris McCabe Leybourne 2006 N 0 1 test of short memory see 8 2 Options Tests and Diagnostics for additional details Tests of I 1 x Phillips Perron 1988 test of I 1 against 10 A bounding p value probability of the statistic lying below the computed value under HO is given in braces The augmented Dickey Fuller test of I 1 against I 0 The number of lags is chosen to optimize the Schwarz criterion over the range 0 to T1 3 Elliott Rothenberg Stock 1996 GLS DF t
19. e g displaying a plot 5 There are two ways to quickly select a block of adjacent names on a list One way is to select the first name of the block and then select the last name using the right mouse button This action highlights all the names in between Another way is to use drag select In other words click the first name then click the last name and drag the mouse briefly with the button held down Again all names between are highlighted De selection of a selected block works in the same way click the first highlighted name then either right click or drag the last highlighted name Use the Clear button to deselect the whole list 20 James Davidson 2015 j Don t try the Windows Explorer method of holding down Shift while selecting This can crash Java unfortunately 6 The dialog object most recently clicked on is said to have the focus and is outlined by a broken rectangle If the variable list of any open dialog has the focus clicking the Chart button on the toolbar displays the plot of the highlighted variable s Note The current settings in the Graphics Show Data Graphic dialog control what items are plotted a Options may be greyed out disabled if they are not compatible with other selected options For example GARCH and Markov switching options are not available unless a maximum likelihood estimator is selected In some cases a reminder message is displayed if an illegal selection is attemp
20. tabs or carriage returns Highlight the list right click and choose Copy Then highlight a cell of the matrix and press Paste The clipboard contents are pasted into cells from the highlighted cell onward from left to right and row by row until either the list is exhausted or all cells are filled SS Press Clear to fill all cells with zeros Press Print to print the matrix contents as text in the Results window Press Code the print the matrix with Ox formatting ready to be cut and pasted into an Ox program To insert a row or column of zeros at position 1 press Ins and in the dialog that opens choose Row or Column as required To insert a row or column at other positions first select a cell The new row column will be inserted following the highlighted position id To delete a row or column highlight a cell in the row column by clicking 1t Then press Del and in the dialog choose Row or Column as required ds If the matrix is changed pressing Close opens a choice box to keep or discard the changes i Pressing View Edit when no stored matrix is highlighted opens the editing box with a single row and column containing 0 To create a new matrix from scratch first insert the required number of rows and columns then either type or paste entries as required Pressing Close opens the Name field so that the new matrix can be stored with a name and optional description MATRIX CALCULATOR Pressin
21. the file dialog for saving provide a new name and type for the file The existing data set is unaffected Make Seasonals For frequency N create N dummy variables with every Nth observation 1 otherwise 0 Set N 4 for quarterly data N 12 for monthly etc Move Up Move Down Use these commands to re order the variables in the data set Pressing Go repeatedly will move a single highlighted variable up or down as many positions as required The commands are circular Move Down takes the last variable in the list to the top and Move Up takes the first variable to the end Alternatively these commands move a block of highlighted variables but in this case the highlighting is cleared for all but the last Resize Sample Use this command to create additional space for data to be entered by hand or created by simulation Type the desired number of observations into the text box provided E If this number is less that the number of observations already existing the sample is trimmed to the specified length CAUTION Excess observations are deleted this operation is not reversible If the number is greater than the current length existing series are extended with NaN values A new variable Zeros is created automatically with the full number of observations with value 0 Notes 1 Use Zeros as the dependent variable when specifying a model for simulation renamed as required 49 James Davidson 2015 2 If the da
22. 1 With this option the function has to be evaluated recursively Iterative estimation of these models could be time consuming 2 A pre programmed nonlinear MA model can be accessed from the Model Dynamic Equation dialog and should be faster to estimate than the coded version Use this option except to implement other variants If both options are selected the coded version takes priority For the Equation option an equation code must pair with a selected dependent variable see the field heading It is not possible to add an equation without first selecting a variable Equations can be validly entered in the explicit format Dependent Variable Formula The name of the dependent variable is added implicitly if omitted In the Residuals option the dependent variables must still be selected even though there is no explicit normalization The number of equations formulated must be equal the number of selected variables Checking that the formulated equations have a solution for the chosen variables is the responsibility of the user For the Residuals option the typed equations define the model to be estimated Dependent variable selections in Model Dynamic Equation are ignored Be sure to delete any unwanted equations using Clear When System is checked in Models Dynamic Equation and two or more endogenous variables are selected coded specifications can be created for each equation Switch between these with the N
23. 123 O James Davidson 2015 4 On checking the Report Convergence Status box a sequence of symbols is printed in the results window to show the result of each numerical optimization denotes strong convergence of the search algorithm denotes weak convergence of the search algorithm denotes failure to converge See the Ox documentation for the definitions of these cases This option has no effect in the case of non iterative estimation 6 6 Actions Plot Criterion Grid Use this option to create a contour plot of the concentrated criterion function Parameter Bounds Grid Plotting must be enabled in the Values Equation dialog The choice of parameters for plotting and the bounds of the grid are set in the appropriate Values dialog s The operation is carried out on the first one or two parameters satisfying the following conditions l the fixed flag is set 2 the upper bound exceeds the lower bound The criterion function is maximized with respect to all other parameters holding the selected one s at the grid values Normal output is suppressed A progress bar shows the progress of the calculations The number of grid points can be set in a text box in either in Options Optimization and Run or in Values Equation The grid of criterion values can be Printed in the results window Check Criterion Grid in Options Output and Retrieval Print in Results Window before running the option Exported
24. 2015 19 model fix alpha 2 beta 2 cl c2 0 gt To obtain the STIMA model fix gamma 100 or any sufficiently large value impose the constraint cl c2 Then alpha is the MA coefficient for small deviations Ut 1 lt c1 and alpha beta for large deviations j Alternatively all the parameters can in principle be freely estimated Nonlinear MA models can also be implemented by coding the required formula see Models Coded Equations If both options are selected this one is over ridden OTHER MODEL FEATURES 20 21 22 23 24 25 The selectable model features are conditional variances ARCH GARCH coded functions regime switching equilibrium relations and constraints Select these features to be included in the model with the checkboxes at the lower left side of the dialog If a feature checkbox is greyed out disabled this means that the feature is unavailable with current settings usually choice of estimator For example conditional variance models need an ML estimator to be selected Also Coded Function is greyed out if coded equilibrium relations are specified in the Equilibrium Relations dialog For this case the Coded Function dialog is dedicated to specifying equilibrium relations Model features generally require options to be set in the corresponding dialogs to be active It is not possible to select a feature with the checkbox unless some model options have been set
25. Current Values commands they are computed automatically as part of the run and printed along with the other outputs These options allow results to be generated according to the current settings without re running the estimation 2 Ex ante forecasts are generated using only exogenous variables and observations pre dating the forecast period Multi step forecasts are computed recursively Closed models including models depending on deterministic trends can be forecast beyond the range of the available data set 3 Tabular outputs are printed in the results window if this option is selected in Options Output and Retrieval Print in Results Window Caution This option is selected by default If it is deselected these commands may appear to have no effect 4 Plots are displayed automatically as the commands are run if this option is selected in Options Forecasting They can also be generated subsequently with the commands Graphics Ex Ante Forecasts gt and Graphics Impulse Responses gt These commands are disabled greyed out if no outputs are available for display 6 10 Actions Retrieve Series This command adds items such as residuals fitted values conditional variances switch probabilities and other generated series to the data set To use it first open the Options Output and Retrieval dialog and check the items to be retrieved Notes 1 A fitted model must be present in memory when the command is gi
26. HOW TO RUN A SIMPLE REGRESSION cccccccccnononononononononcnnnnonononononononononononononananonononos 12 4 HOW TO GENERATE QUARTERLY DUMMIES cocoococoncconnnononnnonononnnncnonnnnncconnnnnnnnnnnccnns 13 5 HOW TO TAKE LOGARITHMS OF YOUR DATA oocccccnnnncnncnonononononononononononcnnnnininininess 13 6 HOW TO TEST THE SIGNIFICANCE OF THE REGRESSION ccocccccccccccncncnnononininininoss 13 T HOW TO TEST FOR A UNIT ROOT outra dai 13 8 HOW TO ESTIMATE AN ARMA p q MODEL u cssssessssssessssecessseessssesssssesssseesesseesssneees 13 9 HOW TO FORECAST WITH AN ARMA ARIMA MODEL 0oooconcncnononinnnononicnnananananonicoss 14 10 HOW TO ESTIMATE A SIMPLE VAR MODEL cccccecesesesesesesesesssesseeeess 14 11 HOW TO ESTIMATE A GARCH MODEL cccoccccncncnonononononononnnononononononcnnnononcnnnnanacacononos 15 1 WS er Interface dd 16 WN TNS Mens sexiest dl ai aha a e 16 1 2 Status Bar and Tool Bat A ae 17 1 3 The Results WindowW ccccconononononociconononananannonocccnonnananonononnononannnnnnnnoniccnnnanan 18 AMD O 20 Led Entering Formulas kenen aaa a Gs aa 21 PNG FORMULAE 2 a de ah ea aves CE 21 RESER VED NAMES e a a re cence dd 24 MATRIX CALCULATIONS meii iian a A A obs sce Ries E a A E AN E 25 16 Fite Dia ad DO Nasal 26 O AE E E EEE E vee ce E E EEEE EE recto tented ais ones E E sn eee cata OAE 27 2 0 File General Information ccocnnocononcnccononananananannnncononanananononnnccononnnnananonecic ns 27 1 O James Davidson 20
27. If Deviations from Time Means is selected the intercept is suppressed automatically if selected The Time Means transformation creates a data set in which each of the individual data points for each time period is replaced with the time average of that individual s observations Running a regression with these data is identical to running a regression with the N individual means in the case of a balanced panel In an unbalanced panel however the means effectively receive a weight Ti number of observed periods Be careful to note that the number of degrees of freedom in this regression is N p not O p where O is the total number of observations i e O NT in a balanced panel In Time First Differences the first dated observation of each individual is set to 0 DUMMY VARIABLES When added 6 these boxes are checked the corresponding dummies are created and to the regression They appear in the list as regressors of Type 3 If dummies are selected in conjunction with an intercept the first individual date group is treated as the reference category and the corresponding dummy omitted Group dummies are set according to the grouping indicated by the GROUP guide column in the data file If this option is selected the Individual Dummies option is automatically cancelled 91 O James Davidson 2015 ESTIMATOR 8 10 11 12 To make use of these options first choose OLS GLS in the Model Linear E
28. Open the file dialog to name a file to receive the current Notes 1 settings in the Options Graphics dialog These can be subsequently re imported with the Import Graphics Settings command The default file type for saving is set in Options Output and Retrieval The type can also be specified interactively in the file dialog by the choice of file 42 James Davidson 2015 extension The options are png gif bitmap formats and eps fig tex vector graphics formats Ze Font specifications and bitmap dimensions for png and gif files are selected in Options Graphics 3 There is an option to save all graphics automatically as they are displayed see Options Graphics 4 Graphics settings files receive the extension tsd and the blue TSM Document icon as for model data and batch output files However they can only be read with the Import command in this menu Attempting to read them through the File Import Model command produces an error message 2 7 File Folders Use these commands to show and or change the storage locations of different types of files used by TSM A command opens a text field containing the current path to the folder To change the path you can o edit the field directly o press the Browse button to navigate the directory tree and select or create a folder o press Home Folder to insert the path to the folder where TSM was started also called the Start i
29. a guideline Note that the optimal bandwidth is typically a power of T times a constant factor that may be small The weight here is 1 5 The GPH bandwidth setting is chosen with the scroll bar GPH recommended M O T 1 2 The minimum MSE setting is known to be M O T 4 5 but the bias can be large with this choice Experimentation is recommended to see how sensitive the estimate of d is to the selection 6 The GPH trimming option also omits the lowest frequencies See the relevant literature for guidance on this setting If in doubt keep at 0 T GPH estimation optionally returns a Hausman type test for the presence of bias Davidson and Sibbertsen 2009 by comparing broad and narrow bandwidths The broad bandwidth should be set to the maximum T 2 to test the hypothesis of a pure fractional process Use this setting if in doubt Setting the bandwidth to CT beta for 4 5 lt beta lt 1 yields a test of a more general hypothesis allowing any short run dependence that does not induce bias The test is inconsistent with beta lt 4 5 8 GPH can also return a skip sampling test of the null hypothesis of long memory Davidson and Rambaccussing 2015 This is most effective in combination with the Wald test t test that d is zero To enable this option set the parameter delta see cited paper for details to a positive value thus 0 3 may give a reasonable trade off between size distortion and power 9 The choice of MS Fourier
30. algorithm see Kim and Nelson 1999 pp68 70 When switching probabilities are explained by exogenous variables the variable transition probabilities can be plotted more precisely the plotted series are the simple averages over 1 of the probability of jumping from regime i to regime j at time t For smooth transition models the transition function can be plotted 135 James Davidson 2015 10 Forecasts and solved MA weights can be computed for the equation and the conditional variance where this is estimated The interpretation of ex ante forecast time plots depends on the forecasting method With analytic forecasting the plots show the estimated mean forecast with optional 2 standard error bands Standard errors are not available for bilinear models and user supplied dynamic models nor for conditional variance forecasts in GARCH models Monte Carlo forecasting generates the distribution of stochastic simulations and the plots show the median forecast and the 2 5 and 97 5 percentiles These therefore define a true 95 confidence band regardless of the error distribution and are available for all models and for conditional variances Kernel density plots of the empirical forecast distributions are also available for any point in the forecast period selected in Options Forecast and Simulation Options To change the type or number of forecasts make the desired selection in the Options Forecast and Simulation dialog
31. available for all the variables in the currently specified model is selected The actual sample used for estimation is restricted to this set 5 The sample count is initialized at the first line of the data file not the first available i e non missing observation 6 Click the Simulate button if the sample is being set for a simulation 45 James Davidson 2015 run not for estimation In this case the Available Sample to be checked corresponds to included regressors only ignoring the dependent variable to be simulated The button is highlighted when the option is selected Cancel it by clicking again or by closing the dialog The button is disabled unless the dialog is opened from either the menu bar or one of the Model dialogs Ty Check the Filter Out Missing Observations checkbox to create the sample by simply dropping any missing observations from the chosen interval rather than looking for a consecutive non missing sequence as described in 3 This setting is in most cases inappropriate for time series and is disabled if any time series model features are selected 8 In panel data models the setting in this dialog determines the time periods to be included in the estimation or simulation for each of the individuals in the sample The number of individuals to be included can only be changed by editing the grouping indicator in the data file 9 The sample can be specified arbitrarily by means of an indicat
32. can be reviewed rapidly DEFAULTS The default settings are as follows These are selected if the file settings tsm is not found in the working directory at start up or on the command File Settings New in the left hand column indicates that this setting is stored with a model and hence is liable be changed when a model is loaded Output and Retrieval Options Save Data to Files of Type Export Listings to Files of Type Save Listings Automatically Print in Results Window Retrieve Generated Series Test and Diagnostics XX LX XK XX AX X XX amp Q Test Order Q Test Type LM Tests Durbin Watson Test Diagnostic Tests Covariance Matrix Formula Kernel for HAC Covariances Bandwidth for HAC Covariances Show Residual Moments Show Log Likelihood amp Criteria Tests in R42 Form Use EDFs Forecasting Options X XX XXX amp Forecast Type Forecast Method Actuals in Forecast Plot Monte Carlo replications Compute Confidence Bands Impulse Responses Simulation and Resampling Options x Shock Distribution 139 XLS None No Correlograms Once 12 Box Pierce No No None Robust Parzen n 1 3 for Bartlett n 1 5 otherwise Yes Yes No No Ex Ante Multi step Analytic 50 1000 Yes Impulse Gaussian James Davidson 2015 XX XX LX amp amp amp XK XX Random Number Seed Shock Variance Gaussian Presample Data type I fract
33. context The CUSQ or cusum of squares test is for unconditional constancy of the variance of the residuals in a regression model and hence acts as a test for parameter stability It is computed from the absolute maximum of the partial sums of the deviations of squared residuals from their mean and the location of this maximum in the sample is reported along with the statistic as a diagnostic aid The asymptotically valid p values for the test are computed using the known analytic formula for the supremum of a Brownian bridge and hence are reported exactly The KPSS RS and Harris McCabe Leybourne HML tests are alternative tests of the hypothesis that the residuals are I 0 These are 149 James Davidson 2015 also available for data series from the Setup Summary Statistics dialog and may be useful in conjunction with the ADF and PP tests in the context of cointegrating regression Two parameters are selectable to define the HML test truncation parameter c and bandwidth parameter L These are selectable in the Special Settings area of the Options General dialog Use the default values c 1 and L 2 3 or see Harris et al 2006 for guidance OTHER DIAGNOSTIC TESTS x The Information Matrix test is an M test that compares the inverted information matrix with the robust covariance matrix estimator The test has k k 1 2 degrees of freedom when k parameters are estimated This can be used as a guide to correct model s
34. criterion one of Akaike Schwarz and Hannan Quinn open Options Tests and Diagnostics and select the radio button under 57 James Davidson 2015 Model Selection Criterion This setting is also used for choosing lag lengths in ADF cointegration tests and Saikkonen Stock Watson efficient estimation 2 Tip to make the lags of a focus Type 1 variable optional set Type lags to 0 and then create the one period lag in Setup Data Transformation and Editing Include this variable as a Type 2 with Lags set to the desired maximum 3 A confirmation box opens to guard against accidental launches This reminds you what selection criterion is currently chosen MULTIPLE ARMA MODELS When this option is selected in the Actions menu or by pressing the Run Multiple ARMA button the program automatically estimates all the ARMA p q or ARFIMA p d q specifications for all values of p and q in the indicated ranges x Enter max p max q and max p q in the text fields provided With the default settings all entries 2 the program estimates the following cases of p q in the order shown 0 0 1 0 2 0 0 1 1 1 0 2 A confirmation box appears to guard against accidental launches See Actions Estimate Multiple ARMA Models for additional details 3 7 Setup Recursive Rolling Estimation This dialog sets up the options for recursive estimation For details on the output produced by this option see Contents Act
35. data take values 0 1 and 3 fix Ordered probit Gamma_2 at 0 This assigns zero probability to case 2 MODEL SPECIFICATION 6 Check the Impose Unit Root option to estimate an ARIMA p 1 q model and also an ARFIMA p 1 d q where 0 5 lt d lt 0 5 This option is distinct from performing the estimation on the pre differenced series because the regression statistics plots and forecasts are all generated for the original series of levels Note Any Type 1 regressors included are differenced along with the dependent variable s If a trend is included it becomes in effect an intercept for the differenced model A Type 1 intercept is unidentified and is not permitted A Type 2 intercept can enter as an alternative to the trend but will be suppressed if a trend is specified bl Type 2 and Type 3 regressors enter as usual and are not differenced id Lagged dependent variables included as either simple regressors of Type 2 or as components of equilibrium relations are not differenced id In fractional cointegration models the program modifies the reported value s of d3 in the appropriate way such that 1 is added to the order of difference d1 as reported 7 Use the Values button to open the relevant Values dialogs and update them with new settings if already open Use the Clear button to remove all selections in this dialog The Go button launches an estimation run duplicates the Run button and Actions Run Estima
36. every graph is saved to disk in the chosen format at the same time it is displayed Otherwise the menu item File Graphics Save Last Graphic saves the graph most recently displayed GWG GiveWin format files are created if the compiler directive DEFINE OXDRAW appears in the run file This option loads the OxDraw graphics package and disables GnuPlot so display within the program is not available The format settings in this dialog are ignored See Appendix B for more details OUTPUTTING TABLES 9 10 11 Items that can optionally be printed to the output include the forecasts and impulse responses residual correlograms the parameter covariance matrix the gradient vector and its covariance matrix and the Hessian matrix of the estimation criterion Ex ante forecasts are tabulated together with either standard errors of forecast or 95 confidence bounds depending on the option selected in Options Forecasting If ex ante forecasts are computed for periods for which some or all of the the actual data are available in the data set so that forecast errors are known the root mean square of the forecast errors is shown beneath the table The gradient and Hessian may have diagnostic uses il The gradient is displayed only for iterative estimators in the cases where either the optimization algorithm fails to return the state Strong Convergence or the output is evaluated at the current point without optimizing ij The c
37. improve the performance of the algorithm in at least some cases However no verified guidelines can be offered Experiment and report your findings please To disable rescaling the default set the factor to 0 4 Check the Use Numerical Derivatives checkbox to force the use of numerical derivatives TSM uses analytic derivatives by default to compute the BFGS step when these are available Some of these routines are is still under development In the event of a convergence failure TSM compares analytic and numerical derivatives and switches to the latter automatically if a discrepancy is found This option is saved as part of the model s specification Note that analytic derivatives are not implemented for some models SIMULATED ANNEALING 5 Optionally a simulated annealing algorithm can be run for a fixed number of iterations to provide starting values for BFGS This option is selected by default By choosing a large number of iterations SA can be effectively made to act as the search algorithm proper However given good starting values BFGS should be much faster so a compromise is probably best 6 The other three settable SA parameters are the initial temperature the temperature reduction factor and the number of iterations before temperature reduction None of the defaults are necessarily best If the number of iterations before temperature reduction is set lt 1 it is replaced by the default of max 100 5 parameters T
38. instantly by re loading the model NOTE A maximum of 100 models can be stored at once Use this setting sparingly to avoid a cluttered results folder By default the program s state is saved to the disk dynamically as work proceeds Data listings charts results are saved to a file called by default settings tsd The contents of this file from the previous session are reloaded at start up In particular the current data set is reloaded intact even if the spreadsheet file from which it was copied has been moved or deleted Temporary changes or additions to the data set such as saved generated series only need be saved to the original file by choice Optionally this feature can be disabled but this should only be desirable if the data set is very large Note The settings tsm and settings tsd files are paired The latter file can be opened only when the former file holds a record of the date time it was saved The contents of the results window are saved to disk during a session but by default are only reinstated following a forced or abnormal shutdown Optionally these can be restored routinely Note that this will result in the results window buffer filling up Once the buffer is full the earliest results are duiscarded to make space The buffer size can be changed by editing the file tsmgui4 oxh The default setting is 0 5Mb Enlarging it will slow the operation of the program and produce large settings files Note that the wind
39. its inverse Only include this component if forecasts of the original variables are required To preserve backwards compatibility the text FLOG case sensitive appearing anywhere in the data description field specifies the simple logarithmic transformation and its inverse Thus the strings LOG and FN log s INV exp s are equivalent CONDITIONAL VARIANCE SIMULATION 18 If the string CVAR appears in a variable description followed by the name or column number of another variable in the data set this is ignored unless the variable is simulated in a Monte Carlo experiment and simulating the model in question produces a conditional variance series for example a GARCH or Markov switching model In this case the generated conditional variance series is written to the column indicated This is then available for analysis at the estimation stage of the experiment 4 1 Model Model Manager A model is the complete set of specifications values and results from estimation or simulation of an equation or system of equations At any time the program holds in memory the specifications that the user has selected and either starting values entered or estimated values following an estimation run This dialog allows model specifications and results to be stored under identifying titles and subsequently recalled Material stored includes parameter estimates with information on restrictions or bounds estimation and testing opti
40. looking in current Results directory then in Start in if this is different and finally in TSM Home The registered user for the current run is therefore the user who starts the program User editable Ox file used to start the program incorporating the user s own code The program can be started by running this file in OxEdit See Appendix A on changing module settings This is the standard container for user s Ox code although it is often convenient to have it contain just include compiler directives referring to files of code supplied by the user Written by TSM4 at startup and deleted at closedown Used to signal an error termination Named settings file with tsm extension same format as settings tsm saved by the user Can be loaded manually to overwrite existing settings When created using the File Export option data and listings are bundled with the settings The corresponding files are recreated automatically when the file is loaded in this case Contain specifications values graphs listings and optionally data associated with models stored using the Model Manager The file name is the same name as the model name The specifications and values are also stored in the settings tsm file and since the other content can typically be recreated by re running estimations they may be treated as temporary They will be deleted when the model is deleted and also at closedown if the general option Delete Te
41. n 93 ESTIMATION CRITERIA creion oiire eches ii air dais sien ita 94 MODEL SPECIFICATION covccomooicnicnc aria ie ii iaa 95 VARIABLE SELECTION cocinas etc dean 95 LINEAR REGRESSION 0s ise ststesecsecs setvce cian a ii 96 BILINEAR MODEL ix tia is 96 NONLINEAR MOVING AVERAGE SPS cccceesesssesseeseceecescecseecseeeseeeeeeseeseeeneeeneeeeenaees 96 OTHER MODEL FEATURES on rnea os eae geen ce oss cb ean bo dice KE Nea Son re sheave secu dabe conte 97 SYSTEMS OFEQUATIONS cu is 97 ESTIMATING TYPE I V ARFIMA PROCESSES cooooocccnoonnoononnonnononccnncon nono nonn nono nonnncnnrnnnnnos 98 4 5 Model Conditional VarlanCe ooooonooocionococonononconncconocnn nono ncon coco no conc crac cconncinns 99 MULTIVARIATE GAR CH di 100 4 0 Model Coded FUNCION ias lit ai ii as ad 101 METHODS cc 0 taa E E EEE E AE ES sepa lakes DAA 101 INTERACTIVE CODING ar soled contada cidos sa bens a aE a log Aa sess ca lode telas 101 TYPES OF FORMULAE 6 a cites fo cora esd seas aa aaa Ce ctuedeaetsdetedvesss 102 TEXTBOX CONTROLS escola coil ip adn dde acti 104 PARSING THE MODEL cuco ti ria dl sinia p E aa SETERS 104 PARAMETER NAMES r att iria ia ic tits 104 VARIABLE NAMES unit Ad AA li e 105 SIMULATING CODED EQUATIONS cocccoccccconccononononocannnonnnconnnonnnocnnnnconnoconnnron nc conc nronnccinnnos 105 SIMULATING WITH RANDOM EXPLANATORY VARIABLES ooccocccccoccnnonnconnninnnocinnnos 105 OX CODING ie eii A aes oad ok aN RT EO EER 106 4 7 Model Regime Switching e
42. not available in this case In a system of equations with multivariate FIGARCH or HYGARCH disturbances it is possible to parameterize the fractional difference parameters for Equations 2 as the differences from the parameter of Equation 1 This makes it easy to constrain and test equality of the parameters across equations To select this option which will also apply to VARFIMA parameters if specified set the checkbox in the Model Equilibrium Relations dialog This works even if error correction terms 100 James Davidson 2015 are not specified 4 6 Model Coded Function This dialog is used to set up nonlinear functions coded by the user Coded functions can form complete models for estimation or components of models Test statistics can also be coded See Models and Methods Section 4 6 for the details The dialog is also used to specify coded functions for simulated data generation x Specifications created in this dialog are ignored unless the Coded Function checkbox in Model Dynamic Equation is checked The checkbox cannot be checked unless a specification exists The Clear button clears all text fields both the parameter names and the contents of the formula fields Use with caution The Clear Built In Components button is provided as a convenience for the case where the coded function represents the complete model Then all other model features need to be disabled In particular make sure that ite
43. of iterations is used the default is 5 Increasing the number will increase computation time but may not improve the estimates significantly To stabilize the GARCH M calculations h t or h_t 1 2 is trimmed before inclusion in equation 4 1 The upper bound is set to a multiple of the sample variance or standard deviation of the data called the trimming factor Try reducing this setting in case of failure of the algorithm The EGARCH likelihood can be computed in one of two ways direct nonlinear recursion of equation 6 2 default and Gauss Seidel iteration 1 e repeatedly solving the linear difference equation obtained by conditioning on h_t 1 2 in equation 6 2 There may be small differences between the two estimates due to treatment of initial conditions The main consideration in this choice is one of speed The nonlinear equation cannot be solved using Ox s vector manipulation capability and has to be programmed as a loop This could result in long solution times in large samples and the iterative method will often be quicker A convergence criterion is used to control the G S iterations The default maximum number 50 should not need changing The EGARCH specification is driven by the weighted sum of the absolute and signed value of the normalized shock This is conventionally centred by subtracting the mean of the absolute process whether specified as Gaussian GED or Student t Optionally this mean can be omitte
44. of the residuals together with the normal density curve with matching mean and variance for comparison By default scatter plots of data include the two regression lines X on Y and Y on X In the case of the actual fitted scatter the single line with slope 1 is drawn a 45 degree line when the axes match These lines can optionally be suppressed 162 James Davidson 2015 14 A Fill style is used by default to highlight the display of variances and probabilities whose signs are always positive This option can be switched off by unchecking the checkbox CONFIDENCE BANDS 15 By default multi step forecast plots show 2 standard error confidence bands or 95 estimated confidence bands in the case of Monte Carlo forecasts The following options available for confidence band plotting None also effected by turning off calculations in Options Forecasts Bands additional lines are plotted to show 95 region The band colour is line style 4 light green by default Bars the default 95 confidence region marked by vertical bars The bar colour is line style 4 light green by default Fan bands of increasing colour intensity mark six different confidence regions around the point forecast The confidence levels indicated are 98 95 90 80 60 and 40 Notes Fan colour is set under Line and Symbol Styles It is worth experimenting with this setting since some colours work better than others Fans are not available f
45. on the tool bar Notes l Open the Set Sample dialog using the Sample button to set the desired sample Sample 4 This selection is independent of those set for other program functions See Setup Set Sample for details 2 The KPSS test of I 0 and P P test of I 1 are also available in the Setup Summary Statistics dialog but here for convenience are computed for all the selected variables at once 3 The p value inequalities reported are taken from the tables of the eigenvalue and trace tests in Osterwald Lenum 1992 4 A check box allows the inclusion exclusion of drift terms in the CIVAR If the drift is suppressed intercepts of the estimated cointegrating vectors can be computed However note that standard errors are not computed for these 5 If the Drift option is selected a chi squared statistic for the significance of the drift is reported following the maximal eigenvalue and trace tests The degrees of freedom are p r where p is the dimension of the cointegrating VAR See e g Davidson 2000 Section 16 4 3 for details Note that this test is only valid if the cointegrating rank is actually equal to r the row of the table in which the statistic appears 63 James Davidson 2015 MINIMAL analysis is described in Davidson 1998a A sequence of chi squared tests is computed to estimate the set of irreducible cointegrating relations such that cointegration is not a property of any subset of the inclu
46. only operators functions numeric constants and Pi should appear in formulae The utility also draws plots of functions of one or two variables This feature is implemented by including either one or two variable names in a formula X and Y are obvious choices but any valid names are allowed see 1 5 The symbol s are replaced by the specified range of numerical values when the function is evaluated Notes l Optionally this feature can be accessed by a dedicated toolbar button Go to Options General Interface Settings and check uncheck the item Show Calculator Button This button is hidden by default 2 Text can be copied from either the results window or the Values fields and pasted into the text field Computing functions of program outputs estimates standard errors etc is therefore quick and straightforward Confidence bounds are an obvious application 3 Use only parentheses and to enclose expressions and arguments The symbols are not allowed and result in a parsing error 4 To implement the plotting feature the range of plot points for the variables must be specified In this case pressing lt lt lt Go gt gt gt or hitting Return re opens the text box Enter the minimum value for the first variable press lt lt lt Go gt gt gt again and enter the maximum value In the case of two variables repeat this cycle for the second one The final press of lt lt lt Go gt gt gt yields
47. order is also a trade off between bias and efficiency see MS paper for recommendations or experiment 10 The smoothing option available for both estimators uses local non overlapping averages of periodogram points in the regression If in doubt keep this setting at 1 62 James Davidson 2015 11 Todo Monte Carlo experiments on the estimators specified in this dialog have the dialog open when the model is stored in the Model Manager or with Model Save Current Model 12 The local Whittle estimator uses a line search algorithm The convergence criterion and the maximum iterations are set in Options General Special Settings These settings are shared by other program features but should not generally need changing 3 11 Setup Cointegration Analysis This dialog allows a Johansen type multivariate cointegration analysis to be carried out on any subset of the data The available procedures are sE Testing hypotheses of I 0 and I 1 on the selected variables a Lag length selection for the Johansen CIVAR by Akaike Schwarz or Hannan Quinn selection criteria sl Johansen maximum eigenvalue and trace tests for cointegrating rank x Wald tests of structural exclusion restrictions on the cointegrating vectors including MINIMAL analysis Select the variables to be included and CIVAR options then select the desired procedure using the radio buttons To execute the procedure press Go or the Run or Evaluate buttons
48. repeatedly Proceed as follows x Notes Select the covariance formula required Robust or HAC in Options Tests and Diagnostics Select GMM as the estimator in Setup Estimators and Sample Formulate the equation s in Model Dynamic Equation Select the instruments in Model Select Instruments To compute the first stage estimates equivalent to regular IV GMM give the Actions Multi Stage GMM command To compute the second stage estimates using the first stage estimates to construct the required residuals give the Actions Multi Stage GMM command a second time before any other command To iterate the procedure repeat the last command as often as required Giving any other estimation command for example Actions Run Estimation or the Run button resets the program so that the next Actions Multi Stage GMM command yields Stage 1 again It may be possible to iterate the procedure to convergence so that no further change in the estimates occurs However this procedure does not optimize the GMM criterion function This option is not available for IV estimation from the Model Linear Regression dialog 6 8 Actions Compute Test Statistic Opens a sub menu listing test options 125 James Davidson 2015 Specify Score LM Test Specify Moment M or CM Test LM Tests of Parameter Restrictions Wald Test of Set Restrictions Specified Diagnostic Tests Bootstrap Test of I 0 XX XK XL AX amp
49. restrictions to ensure identification is entirely the responsibility of the user Use this option only if you know what you are doing The specification of the relations can be different when there are two or more of them They nominally contain the same parameters but these can be automatically fixed at 0 if not included in a particular relation See Model Coded Functions for details They can also be restricted in the The Values Equilibrium Relations dialog if desired All Options 9 10 11 12 13 Eq R s are only included in the model if this feature is selected in Model Dynamic Equation The radio buttons in the Types of ECM area allow selection of nonlinear response mechanisms as well as the usual Linear case See Models and Methods for details Three popular variants are pre coded Use the Model Coded Function dialog to define other cases Check the first checkbox in the Fractional Cointegration area to implement a fractional cointegration F VECM model Note that this option is ignored unless the VARFIMA Fractional VECM box is checked in the Dynamic Equation System dialog In this case setting the Impose Unit Root option causes the estimated value s of d1 to be smaller by 1 than otherwise This is taken into account in the calculation of the cointegration order s d3 such that the equilibrium relations appear differenced to order 1 d1 d3 in the system Check the second checkbox to select the g
50. s from the list Select one or more Models for Estimation EMs from the list can be the same as or different from the DGMs Use the scroll bar to select the number of replications and set other options with the checkboxes Press Run to perform the experiment s To interrupt a run in progress press the Stop button on the toolbar with the options of aborting or continuing Press Clear Models to clear all highlights from the model list Press Results to O Re display the tables from the experiment last run with the currently loaded DGM O Load and display Monte Carlo results from file including batch output 64 O James Davidson 2015 Notes l The model list can be rearranged and also sorted alphabetically in the Model Manager see Section 4 1 Note When the model list is sorted block selection by dragging or right clicking the mouse see Section 1 4 is disabled Ze Multiple experiments can be set up by selecting two or more models in either category o If one EM is selected and two or more DGMs then the experiment is performed on the EM using each DGM in turn O If two or more EMs are selected and one DGM then the experiment is performed on each EM using the specified DGM o If multiple models are selected in both categories then all the possible experiments are performed each DGM with each EM in turn O The same model s can be selected in both categories 3 In a single experiment if Run is pressed a
51. second or further time without changing any run settings the option is presented to add further replications the number currently selected If the last run was aborted then the options of either resuming or extending the last run are presented similarly This feature is not available when multiple experiments are specified 4 The sample period for estimation is always defined by the DGM The sample settings for the EM are ignored To have a dynamic simulation run for a number of start up periods select the Presample Data Random in Simulations option in Options Simulation and Resampling Then set the DGM sample period as desired for estimation 5 If no models are defined the current specifications are stored as a model with the default name run ID and used for both DGM and EM 6 The DGM specification MUST include a choice of shock distribution Gaussian Model or Bootstrap selected in the Options Simulation and Resampling dialog Set the shock variance in the same dialog for the Gaussian option and appropriate parameter values in the Values dialogs for the Model option Make these selections before saving the DGM T Between 1 and 1 million replications can be specified The selectable values are in the ranges 1 2 5 10 50 100 1000 1500 10000 15000 100000 150000 1000000 8 If a test takes a variable parameter such as degrees of freedom or number of tested restrictions the tables display this val
52. see Options Graphics EXPLAINED SWITCHING 8 In the explained switching case the radio buttons allow the choice of variables to explain the probability of switching into the given regime at date t An intercept can be optionally added to the equation Distributed lags are not implemented for explained switching and smooth 108 James Davidson 2015 transition models but the Lag scrollbar allows a fixed lag to be applied to the variable s If and only if the lag is positive the dependent variable s can be included in the set 10 There are two versions of the explained switching model In the first version the equation for the probability of switching into regime j at date t may depend on the current regime i only through an intercept shift by inclusion of a dummy variable for the intercept in question with Regime 1 as the reference case In the second version the switching equations may be fully regime dependent and switch just like other model components Check the box Regime Dependent Coeffs to enable this case 11 The second explained switching model contains the first one as a special case but the latter is set up in a slightly different way with regime dummies and is retained for backwards compatibility and simplicity If dummies or switching intercepts but no explanatory variables are specified in explained switching the model represents an alternative parameterization of the regular Markov switching model
53. selection of the four categories of variable the dependent variable and regressors of Types 1 2 and 3 Then highlight the variables required in the list Set the Lags scrollbar to a positive value to include lags up to this order of all the variables of the Type whose radio button is currently selected Use the lower scrollbar to select the number of lags of the error to include in the bilinear specification If set to zero this corresponds to the usual AR F IMA p d q model di Use the other check boxes to select or deselect additional model features 93 O James Davidson 2015 conditional variance model coded nonlinear function regime switching equilibrium relations and parameter constraints Press the button to the left of the checkbox to open the corresponding dialog if currently closed dd For Instrumental Variables estimation IV GMM use the Choose Instruments button to open the selection dialog ss The Diagnostic Tests button opens the diagnostic test selection dialog or closes it if it is open This dialog can also be accessed from Options Tests and Diagnostics The show hide status is remembered when this dialog is closed and re opened si The Sample button opens the Set Sample dialog or closed it if it is open Use this to select the observations to be used for estimation The setting is the same as if opened from Setup Set Sample Pressing the Simulate button allows the All Availa
54. setting standard vs ARMA in squares form see Options ML and Dynamics In the first case the fitted parameters are alpha and beta in the second case they are delta alpha beta and beta Note 1 The DCC parameters are displayed in the Values Distribution dialog 2 The MA form setting in Options ML and Dynamics does not affect the DCC specification If a multiple equation model is specified the BEKK Multivariate GARCH model can be selected This is the case K 1 as defined by Engle and Kroner 1995 Be careful to interpret the parameters correctly in this case Selecting Equation i in the Values Conditional Variance dialog using the choice widget displays the ith columns of the Aj and Bj lag polynomial matrices and although note that these matrices really define the dynamic structure of the vectorized conditional covariance matrix Vec H t See Models and Methods for details of the model The estimates are reported in the results window in the same style Note Neither the MA form nor the GARCH form options Options ML and Dynamics affect the BEKK parameterization Evaluation of the DCC and BEKK likelihood functions both require T NxN matrix inversions where T is the sample size and N is the number of equations Function evaluation could therefore be very slow for large systems If the BEKK option is selected the GARCH_M variables consist of the conditional variances and covariances of all equations The SD mode is
55. short cut used to start the program Options are presented by the installation program or it can be set manually by editing the short cut Otherwise by default it is the directory where the Ox file used to start the program resides Notes l On networks or shared systems the user must have write permissions in the Start in directory Write permissions in the TSM Home directory ox home packages tsmod4 are not required It is NOT recommended to designate TSM Home as the Start in directory 2 In the Windows installation of TSM double clicking on a tsm file in Windows Explorer starts the program with the settings in question The Start in directory is one where the tsm file resides If the file is selected from a Start Menu the Start in is the user s registered home directory Results Selected by the user as an alternate location for program outputs By default it is the same as the Start in directory Change the results folder in one of two ways By the command File Results New Results File The folder containing the chosen file becomes the new results folder t By the command File Folders Results Browse to the required path or type in the text field FILES These files may be created by TSM4 in either the Start in or Results directory S indicates that a file can only reside in the Start in directory Otherwise it will be created in the Results directory if that is different C indicates that these
56. simulated follow these steps 1 Evaluate the model with a data set and chosen or estimated parameters to generate a set of residuals 2 Open Options Simulation and Resampling and select Bootstrap for the Shock Distribution In the box Random Number Seed enter the value 1 This setting causes the simulation to be done with the actual residuals without random resampling 3 Run Actions Simulate Current Model and save the simulation This should match the original series exactly apart conceivably from small rounding errors Compare the series in Setup Data Transformation and Editing Choose Mark for one series then List Edit Compare for 190 James Davidson 2015 the other to see them side by side 4 In a Markov switching model the simulation involves random regime switches To disable these put the switching probabilities to 0 or 1 in the simulation In the case of explained switching models choose parameter values large enough to ensure that the switching probabilities are either 0 or 1 for nearly all values of the explaining variables Don t forget to reset the random number seed afterwards Should a flaw in the simulation code be suspected please notify the author STARTING TSM FROM WINDOWS EXPLORER 24 25 Double clicking on a TSM settings file with extension tsm and red TSM icon has the same effect as starting the program from the Start menu and then loading the settings with the command File
57. step standard errors can be computationally very burdensome A With analytic forecasts the reported confidence bands are based on Gaussian critical values and should be suppressed if the Gaussianity assumption is unwarranted Note that standard errors are enabled automatically with confidence bands By default forecasts exported to a spreadsheet file include either quantiles or standard errors For some purposes particularly if further analysis is required it may be more convenient to export only the table of point forecasts e g median quantiles Check the Export Point Forecasts Only checkbox to enable this restricted mode of exporting FORECAST ERROR VARIANCE DECOMPOSITION 22 This option is available with analytic forecasts of multi equation models The values returned show for each variable the proportion of forecast error variance attributable to each equation in the system The formula is taken from Lutkepohl 2007 page 63ff The moving average coefficients are computed as for analytic forecasts by solving the model numerically and hence are well defined even for nonlinear in parameters structures such as ECMs In the case of nonlinear models the sequences of weights generated provide a linear approximation to the model dynamics The matrices of proportions are displayed for each horizon following the standard forecast outputs for each equation The data are exported to a spreadsheet using the command Files Listings
58. sum of squares where N is sample size This tests validity of over identifying restrictions The DWH statistic tests for exogeneity of the regressors and is N RSSO RSS1 RSS1 where RSSO is the sum of squares from the OLS regression and RSS1 the sum of squares from the regression including the reduced form residuals for the included endogenous variables CONVERGENCE ISSUES 17 18 19 All estimations specified in the Model Dynamic Equation dialog are done numerically The optimization routine is the Ox implementation of the Broyden Fletcher Goldfarb Shanno BFGS quasi Newton procedure This method reports strong convergence in a high proportion of cases However don t assume that the message Strong convergence means that the estimation criterion has been globally optimized It simply means that a local optimum has been found Restarting the search algorithm from different points is the only way to confirm a global optimum The messages Weak convergence or No convergence may also be returned by the search algorithm A run may also terminate with the message Estimation failed Algorithm returns NaN or infinity This typically indicates overflows in the floating point calculations e g dividing by zero or attempting to take the logarithm of a negative number probably due to inappropriate starting values There is an option to have optimization restarted automatically at the default parameter values if this occurs Th
59. the change to take effect 175 James Davidson 2015 NOTE If this option is set to FALSE the installed Gnuplot version MUST be v4 6 3 or later or else plotting will not work Censor MC Replications In Monte Carlo experiments a function coded by the user in Ox can be used to examine the result of a replication and optionally discard it for example because parameter estimates take illegal values or otherwise represent a false maximum of the estimation criterion See Appendix C for details Tabulate p Values in EDFs In bootstrap inference the computed p value is for some purposes a natural test statistic having a uniform distribution asymptotically under the null hypothesis In Monte Carlo experiments on bootstrap tests this option tabulates the p values instead of the test statistics Show Stubs When this option is set to TRUE the function prstub included in a user s Ox function writes its arguments to standard output with spaces automatically inserted between the printed items This is a code development tool Use it to check on intermediate outputs and diagnose crashes Note this setting is not stored It must be set each time TSM is started Omit Mean of EGARCH Abs Shocks This is a backwards compatibility option suspending the change made to the EGARCH model specification in release 4 32 08 06 14 The theoretical mean of the absolute normalized shock is replaced by zero in the definition of the EGARCH vol
60. the parameter boundary poses numerical problems These are eased by making the square root or other fractional power the parameter to be estimated The default value which works well in most cases is 2 Try raising this to 4 if there is evidence of a problem Set to 1 to estimate the variance intercept directly Be careful to set the starting value and interpret the estimate appropriately The Student s t degrees of freedom d f parameter is bounded below by 2 and is infinite in the Gaussian case A square root transformation the default better numerical performance in the vicinity of these can yield extreme values Setting the order of root to a negative value allows the estimation of the inverse d f which takes the value zero in the Gaussian case Note the variance GARCH intercept and Student t d f parameters are constrained to be nonnegative during optimization by taking the absolute value of the parameter element to evaluate the likelihood function By default the Student skewness parameter is non negative and equal tol in the symmetric case Estimating the logarithm makes 0 the symmetry value and may yield better numerical properties In the default case non negativity is enforced as in 3 DISCRETE DATA OPTIONS 5 To activate the ordered Probit and Logit options enter the number of additional cases in the text field A zero setting gives the standard Probit logit In a time series model let the argument of the
61. the plot 5 The plot bounds can be entered either as fixed values or as formulae for example 2 Pi and 2 Pi are valid entries However including names in formulae at this point produces a syntax error 6 The plot points can optionally be listed in the results window Go to Options Output and Retrieval Print in Results Window and check Calculator Plot Data 1 The default number of plotted points is 21 resulting in 20 line segments of equal width between the upper and lower bounds 72 James Davidson 2015 To change this setting go to Options General Special Settings 3 15 Matrix Calculator This dialog allows the direct calculation of estimators and test statistics by creating and manipulating matrices Moment matrices of mean squares and mean products are constructed from the data set and used in calculations Construct a sample moment matrix as follows 1 Choose the radio buttons Row Variables and Column Variables in turn and make selections from the variable list 2 Set the observations to be used with Sample 3 Press Evaluate A text field opens to type a name for the new matrix An optional description can also be entered a To see the list of stored matrices choose the Select Matrix radio button Save File writes the stored matrices to a disk file in spreadsheet Format Load File retrieves saved matrices To rename or edit the description of a stored matrix sele
62. three equations has 6 regressors in each equation Of course some of these regressors can be suppressed if desired by fixing their coefficients at 0 in the Values dialogs Note that a VAR can be set up in either the Linear Regression dialog or the Dynamic Equation dialog In the first case it will be estimated in two steps by SUR equivalently OLS if unrestricted In the second case it will be estimated numerically by Least Generalized Variance or ML 15 OUTPUT CONVENTIONS The outputs from TSM are not always the same as those of other packages t ratios and p values are not reported in those cases where zero is not the natural null hypothesis for the parameter variances for example The Durbin Watson statistic is not reported by default since it is often not valid in dynamic regressions See the Tests and Diagnostics Options dialog to select it A valid LM statistic or M statistic for residual autocorrelation or neglected ARCH can always be computed if desired and provides an equivalent test to the DW in those cases where it is valid Autocorrelation Q statistics for residuals and squared residuals are reported by default as are standard model selection criteria although these outputs can be optionally suppressed Robust standard errors are reported by default These will not match the naive conventional standard error formulae reported by most packages and note that the latter are often based on incorrect assumptions althou
63. to the Q test order is set at number of observations 3 2 In models where variance adjusted residuals are defined GARCH regime switching the Q statistics are computed for these series 3 When ARMA components are fitted the degrees of freedom of the levels Q test as used for computing asymptotic p values are reduced by p q accordingly No such adjustment is made in respect of fractional integration models nonlinear dynamics GARCH models etc where the required corrections are generally unknown The nominal p value must be interpreted with caution in these cases SCORE LM TESTS The following pre set score tests are available In each case the score of the extended model at the null parameter values is tested The extensions are Autocorrelation lagged residuals in mean equation s Neglected ARCH lagged squared residuals in conditional variance equation s or lagged absolute normalized residuals if EGARCH is specified Nonlinear Functional Form RESET Integer powers of the fitted values 147 James Davidson 2015 of the null model in the mean equation s Heteroscedasticity square of the fitted values in conditional variance equation s ss White s heteroscedasticity test squares and cross products of the explanatory variables in conditional variance equation s se AR common factors p lags of Type 1 regressors in a model with AR p errors specified Select the number of lags to be included and t
64. to the bootstrap distribution is reported to aid the best choice of this value SIMULATION PRESAMPLE MODE 11 If a dynamic simulation run starts at observation 2 or later the initial observations can be generated in two ways either fixed or random If fixed the actual values of the selected dependent variable are used If random the sequence is randomly set in each replication using generated or resampled shocks and the specified model In other words the simulation actually initializes at date 1 whatever the nominal start date id If a partial sum process unit root is specified the cumulation begins at the start date not at date 0 The random presample option can be selected for Monte Carlo experiments Fixed actual values are always used for bootstrap tests and Monte Carlo forecasts SS The setting makes no difference if the simulation start date is 1 RANDOM NUMBER GENERATION 12 13 14 The random number generator is used in several program operations including bootstrap estimation Monte Carlo forecasting and Monte Carlo experiments as well as free standing simulation runs initiated by the user It is also used in optimization algorithms based on a random search such as simulated annealing The generator is initialized before running the following tasks an estimation run which may involve random optimizations and bootstrap based tests a free standing model simulation il a Monte C
65. too many may produce unstable results 4 5 Model Conditional Variance This dialog sets up the specifications for equations 6 1 6 2 or equations 7 1 7 2 of Models and Methods In the latter case the specification set applies to the conditional variances of each equation lt Use the scroll bars to choose order of GARCH specification a Use the radio buttons and checkboxes to select other model options 7 Use the radio buttons to switch between selection of the three possible types of GARCH regressor then click on the variable list to make the selections z Distributed lags of the GARCH regressors can be specified using the Lags scrollbar just as in the conditional mean model i Check the Abs checkbox to take absolute values of the regressors automatically or the Sq checkbox to take the squares of the regressors Note that you cannot check both boxes at once Notes 1 This menu item is checked if a conditional variance model is specified Its settings are ignored unless a ML estimator is selected and Conditional Variance Model is checked in the Model Dynamic Equation dialog 2 The regressor radio buttons are highlighted lighter grey to show a selection has been made 2 The Options button opens a dialog also accessible from Options ML and Dynamics See 8 6a for information on these choices 4 Clear all specifications with the Clear button gt If the GARCH radio button is selected the A
66. used to compute the EDF kernel densities Note EDF file creation can also be done automatically using the default bandwidth by setting the requisite option in Setup Monte Carlo Experiment The present option can be used to fine tune the bandwidths used for each distribution if required Monte Carlo graphics can be stored and displayed independently of the DGM that produced them This allows the results of different runs to be pones together for comparison Highlight the plots to be stored t Click on Add to Store In the text box that opens the current name is displayed Edit or replace this name to identify the plot in a comparison of DGMs Click OK or press the Return key to close the text box t Repeat the naming procedure for each plot selected Note The stored plots are saved in the settings file not in the TSD file associated with a model To display the stored plots select Graphics Stored MC Distributions from the menu Select and display plots as usual 137 O James Davidson 2015 Note Highlight a name and click Rename to re open the text box and type a new name Note Only one plot at a time can be renamed Highlight any number of names and click Remove to remove the graphics from the store Highlight one name and click Move Up or Move Dn to change the order in which plots are displayed The bandwidths for stored plots can be changed in the same way as described in 3 To show t
67. values and selecting options for model parameters The Actions menu does things Some of these menu items open dialogs but most perform actions directly The Graphics menu is to display graphs An estimation must be run before the equation graphics options are available The Options menu is to change program settings The Help menu gives access to the complete user s manual also available in PDF format and the list of data names and descriptions if these have been created It also contains commands to open the Registration dialog and About window Close a dialog by clicking the Close button X on the menu bar Positions on the screen of closed dialogs are remembered even between sessions This allows the user to create a personalized work layout on the desktop Use the Reset Dialog Positions command to centre all dialog positions Submenus and menu items are greyed out when the command is currently unavailable For example a data file must be loaded before any action apart from changing options is possible Model options e g Conditional Variances Regime Switching can be switched on and off without altering the settings To activate a model option either check the Active checkbox in the dialog or select the option in the Model Dynamic Equation dialog Just setting the required options in the 16 James Davidson 2015 dialog does not activate the option automatically 5 Values dialogs will not reflect a ch
68. variable being transformed MATRIX CALCULATIONS 19 20 21 22 22 23 24 The available functions are inv inverse matrix gnv generalized inverse eig eigenvalues returned as a diagonal matrix argument must be symmetric evc eigenvector matrix symmetric argument vec vectorize a matrix stacked columns ver vectorize a matrix stacked transposed rows dia diagonal of a matrix returned as a column vector det determinant tra trace nrm Frobenius norm All standard functions can be used in expressions and will be applied elementwise The operators and Hadamard product require the arguments to be conformable The operator denotes either scalar or matrix multiplication Either the arguments must be conformable matrices or one or other must be a scalar 1 x 1 matrix The operators and require the exponent or divisor to be scalar and are applied elementwise Example A A yields the matrix product A square but A 2 yields elementwise squaring any matrix The transpose can be used as a unary operator or to form a product Example A B yields the same result as A B For matrices A and B A B yields the Kronecker product and and A B the Hadamard product respectively 25 James Davidson 2015 1 6 File Drag and Drop Data and settings files can be loaded by dragging the icon s from Windows Explorer and dropping over the program wi
69. 0 cee ceeccecssecesceeseeeeseeceeesenaeceeeeeeaeeceeeeeaeeceeresenaeess 187 USING THE RESULTS WINDOW AS A TEXT EDITOR 1 eee ceeseeeeeeceneeeeeeecneeeenees 188 ENTERING DATA BY HAND retata i e a e aa r a E 188 MAINTAINING AND EXPORTING PROGRAM SETTINGS ccc eecceessecesreeenecesreeeneeees 189 DOING SIMULATIONS ornp E eE E colina EEE AEN a iii 190 STARTING TSM FROM WINDOWS EXPLORER oocccocccccocononcconnoconcnnonnocononconnocancncnnnoconnnos 191 RUNNING SEVERAL INSTANCES OF TSM uo cceecceecceeseeceeeeceeeecnaeeeeneeceaeeeeaeecsaeeseneeee 191 TROUBLESHOOTING o reen E EERTE AEE A aia 192 6 James Davidson 2015 0 Introduction 0 1 TSM Basics TIME SERIES MODELLING Version 4 is an interactive package for modelling and forecasting time series It is designed primarily for nonlinear dynamic model estimation including ARMA and ARFIMA models conditional variance models ARCH GARCH and several variants regime switching and smooth transition It also functions well as a user friendly general purpose regression package To enhance its power and ease of use the program has various special features not found in comparable packages It is strongly recommended to read through this introduction before starting work with TSM It does not aim to describe all the capabilities of the package These can best be discovered by browsing the menus in conjunction with the Help pages provided for each Its purpose is to outline TSM s unique design and op
70. 1 12 A coded restriction on the parameters is set up by typing the equation into a text field After selecting the restriction type with the radio button press the Code button to open the text box TEXT BOX CONTROLS Cancel Close box discarding changes Delete Delete the currently displayed formula Next Displays the next formula where present New Opens a new blank formula where there is no Next Previous Displays previous formula where present OK Closes the text box and stores current formulae Return Equivalent to pressing OK Closing the dialog with the Windows Close button x is equivalent to Cancel For information on entering formulae see Section 1 5 Parameters can be written in the notation a i where 1 is the number appearing in the left hand column in the Values dialogs p i A i and P i are all permitted variants but the square brackets are mandatory note CAUTION Parameters can also be identified by name However some parameters are named differently in the Values dialogs and in the output If in doubt use the number notation which is unambiguous Suppose there are P restrictions Using the numbering notation described in Section 1 5 in practice parameter names can also be used the restrictions must be entered in the solved form alj1 fl a k1 a kM 113 James Davidson 2015 13 a jP fP a k1 a kM for k1 kM not equal to j1 jP where f1
71. 1 4 0 Model Grad A AA AA E eis 81 MODEL MANAGER coccion eo e e aereas 81 BUTTONS 25 ccotts scientists 81 ACTIVATING SPECIAL FEATURES neno ne n a e E a E EE OE i 82 DIALOG CONTRO E direno a e E e a e Ee a A e Ee 82 SPECIFYING SYSTEMS OF EQUATIONS oooocccoccccconocononononoconononnnoconononnnoconcnnonncconnnonnnccnnnoos 82 AUTOMATIC DATA TRANSFORMATION ssssesesseeseesseesseesseesssrssesseesseesseesseseseseseseeeseesse 83 CONDITIONAL VARIANCE SIMULATION 00 0 eeccecesecesceceeceeneeceseeeeneeceaeeeeneeceaeeeeneecnas 84 4 1 Model Model MATE ri dd tdi is 84 STORING MODELS crror ionisoi ronnen ais 85 LOADING MODELS wie enccccstecsces choca ces teuses eva eyees saboseseecnovh vase EE dt 86 DEFAU Tis A a 87 MODEL DESCRIPTIONS vivevocooodainsvatos pois iots ron E e ies dies 87 DELETING MODELS ctricos t dietas 87 4 2 Model Linear Represa da 87 VARIABLE AND LAG SPECIFICATION occocccccccconnnnoncccnnnnnonccnonnncnnnnconnncnnnnconnncnnn ccoo nncnnncnonos 89 WALD TEST OF CONSTRAINTS erni n EENE RR Irsa Cad Nica E EEEE 90 COINTEGRATING REGRESSION ccc ceeccessseceeeceseceeeeecsaceceeeeeaaeceeeseaaeceeeeeaaecereseaaecenees 90 4 3 Model Pare lD A c ensien tia oles aoe Seale eevee ee 91 DATA TRANSFORMATIONS oirein eee a Ea ves aqii tua nat ino qeria tad 91 DUMMY VARIABLES rse E cbse te EEE E TE 91 ESTIMATOR sonenn ontra e E R E amy EEE s SE E E NA 92 TESTSAND DIAGNOS TIOS iio starts la dais 92 4 4 Model Dynamic Equation iii ini iteraci
72. 1 Actions Run Estimation Closes all dialogs saves the current configuration in settings tsm and starts estimation of the currently specified model To have the dialog box configuration restored automatically after the run is finished select this option in General Options Alternatively re open by hand with Actions Restore Dialogs Notes l This command can also be started with the Run button on the toolbar and with the Go buttons in the Model Linear Regression and Model Dynamic Equation dialogs 2 Sequential and iterative calculations can be interrupted while in progress by clicking the Run button on the toolbar A choice box appears possibly after a short delay with the option of aborting the run or continuing BATCH JOBS 3 If the checkbox Run Next Estimation as External Process is checked in Options Optimization and Run before the command is given the run is performed externally by starting a new instance of Ox 4 If the checkbox Defer External Jobs is checked in Options General the Ox file containing the job is created but not run Use this option if the job is to be run on a different machine for example 6 2 Actions Evaluate at Current Values This command is the same as Actions Run Estimation except that the optimization algorithm is not called The post estimation output is simply created at the parameter values currently stored in the Values fields Note that these are the estimates
73. 15 BILE DIALOG e seh he A EE ER EO EE ee id dos 28 RESTAR Ei A ad 28 NA ek iayon ena a sees ct A E Paes a Rita 29 IMPORTING MODELS ss isis iii aos 30 EXPORTING SETTINGS actina danna tin ai tte aid 31 SELLINGS AS TEXT li EEE EA EAEE 31 22 VEC id e to a dd 32 DATA DESCRIPTION Socorro 33 MISSING OBSERVATION S s cost sas ceusnesbe eones llo detras tati 34 PERIODIC OBSERVATIONS AND DATES cocoocccccononononononoconccnnnnncnnnnonnnncnnnnconnncnnnnconnncnnncronos 34 PERIODICIDATES suspira ls asis 34 CALENDAR DATE Sis tadas sabs iia 35 DATE LABELS cota aa e a e n e E e e 35 PANELDA TTA rustico e ra a e dilata 36 SPREADSHEET EDITING enina aa a a e a e a 37 TROUBLESHOOTIN Ec tii EA EE AE S EE 38 2 3 File A RESUS ea nre A a dane nag av thoes 38 XA Filed LISIS ai AR 39 LISTING FILES aa dls 40 SPREADSHEETS iaa A is 41 2 5 A A OS 41 2 0 Filo Graphics 42 E A O I teeta te Gita 43 SSCL Pet Sethe wt cane E ce tecta teal Sadan asta taal Shee se oes eat a tl aaa 45 Sil Setup Set AMG aie OS Oe Seale A 45 32 SOLU Data SS 46 3 3 Setup Data Transformations and EditiN8 ooooccninocinocononoconocannnononcnnnaconocnoo 48 EDIT COMMANDS porini seoste o Ei e E E E e iia diri 48 TRANSFORM COMMANDS cecccescesnseesseceeneeceseceeeeesaecseneeceaeceeneecsueeeeaeecaeeseneecaeeeeneecsas 52 3 4 Setup Data proa edi 54 3 5 Setup Make Data Formula aos 56 TEXT BOX CONTROES E E A E E 57 3 6 Setup Automatic Model Selection oonoconoccniccnnnccconncnono
74. 2 inter alia 3 4 Setup Data Spreadsheet The command opens a new dialog in spreadsheet format allowing individual observations to be viewed and edited The List Edit dialog provides a simple spreadsheet style editing interface 54 James Davidson 2015 Notes To select a cell click with the mouse or use the navigation keys Enter Arrows Page Up and Page Down To edit the contents of a cell in place double click the cell to open for editing Click a second time to highlight the contents O To discard the edit and retain the existing value press the Escape key O To change the cell contents press any navigation key or select another cell with the mouse Alternatively press Edit Observation The value in the currently selected cell appears highlighted in the Edit box Type the new value Then press O Next or the Enter key to save the new value move the highlight to the next observation and load this for editing o Copy to save the new value move the highlight to the next observation but retain the new value in the Edit field O Cancel to discard the new value and close the Edit box To search a series for a particular entry highlight any cell in the column and press Search Enter the target string in the text window which opens The Search gt gt gt button searches down from the current cell and the lt lt lt Search button searches upward The first occurrence of the target str
75. Calculator button pressed causes a choice box appears presenting the option of re displaying the results If the Save as Generic Model checkbox is checked the data file is not reloaded with the model which is the default action This setting is appropriate for models intended to be adapted to different data sets For example such a model may specify inputs for a user coded estimate or test Note If this option is selected the Store Data with Model and Store Results with Model options are disabled Stored models include the current settings for the Semiparametric Long Memory and Cointegration Analysis dialogs Different settings for these modules can therefore be stored and recalled in the same way as for the main equation specifications As models are created and modified settings and estimates are not discarded when specifications change if a regressor or equation is deleted its position in the model is recorded and it can then be reinstated at a later stage with the associated parameter values It may be desirable to delete these hidden components when the model is finalized to conserve memory and file space and ensure speedy and robust processing To finalize a model permanently remove unused components Check the Finalize Model checkbox before giving the command Store Current Model Note that the check is cancelled automatically LOADING MODELS 12 13 14 Loading a model overwrites the current
76. Click the square buttons to the left of the checkboxes to open the corresponding dialogs If options are set these buttons are highlighted The dialogs can also be opened from the Model menu NOTE Values dialog s corresponding to model features equilibrium relations switching regimes are not accessible unless the feature is checked To compute a Wald test as part of the run as well as to estimate subject to constraints the Parameter Constraints box must be checked Wald tests can also be performed separately see Actions Compute Test Statistics Wald Test SYSTEMS OF EQUATIONS 26 2d Select system estimation by checking the System of Equations checkbox When a system of equations is specified the estimator computed depends on the estimator selection If the option LGV FIML is selected the log determinant of the error covariance matrix is minimized Least Generalized Variance or FIML in the simultaneous equations case see 22 below In these cases the covariance parameters are concentrated out and do not 97 James Davidson 2015 28 29 30 appear in the vector of parameters If the option IV 2SLS GMM 3SLS is selected the estimation method is system GMM with the instruments selected If the estimation is launched with the Actions Run Estimation commands or the Run button the error covariance matrix set equal to the identity matrix However if the command Actions Multi Stage GMM is giv
77. Dialogs command The positions of dialogs on the screen are remembered during a session but by default are lost when the program is closed They are positioned centrally when first opened Optionally the program will remember the positions between sessions This allows the user to maintain a preferred screen layout but note that if the monitor resolution is changed they could become invisible In this event use the command Actions Reset Dialog Positions to re centre them By default the user is prompted to save data results before over writing them or closing the program Deselecting Enable Saving Prompts suppresses these reminders Note The prompt to clear model specifications when loading a data set can be optionally skipped select Always The prompt is re activated by deselecting and then reselecting this option Automatically Close Options Dialogs is selected by default and has the effect of closing any options dialog currently open when another is opened This saves a proliferation of open dialogs on the screen but can be disabled if it is desired to work on two or more options dialogs at once TSM output can be echoed to the console as well as appearing in the results window To enable this behaviour check the Echo Results to Console box Output from Ox not under the control of TSM such as error messages will also to appear in the console window Drag selection allows the quick highlighting of a block of adjac
78. Enable the parameter rescaling option in Options Optimization and Run Set the value to unity to limit the ratio of largest to smallest parameters effective only if starting values are a guide to the relative magnitudes Setting to a higher value e g 10 inflates all parameter values to reduce the risk of rounding error in the evaluation of numerical derivatives j Tinker with the simulated annealing settings in Options Optimization and Run There are not many useful guidelines for good choices here 186 James Davidson 2015 in most cases raising the number of iterations cannot hurt but also try switching it off see Note 3 si The scaling of the variance intercept parameter in GARCH models can be critical especially in the IGARCH case See Options ML and GARCH for details i Experiment with the settings for EGARCH and GARCH M models in Options ML and Dynamics j For dynamic parameters AR MA etc experiment with the bounding option in Options Optimization and Run None of these fixes is guaranteed to improve matters but setting starting values to good guesses of the estimates is always helpful For example if it is believed that a unit root exists in ARMA or GARCH models start the AR parameter at 1 rather than 0 Using the Impose Unit Root option in Model Dynamic Equation may help similarly 5 Another good strategy with a complicated model is to simplify it initially by deleting or fixing som
79. Export Spreadsheet Forecasts as for forecast outputs PLOT DISPLAY 23 Ex ante forecasts can be viewed by listing values in the results window see Options Output and Retrieval or graphically Graphics Ex Ante Forecasts Check the Display Forecasts Automatically checkbox to have the main graphs displayed immediately a forecast is run Use the Graphics menu to display plots individually and additional items such as Monte Carlo distribution plots IMPULSE RESPONSES 24 25 26 27 The impulse responses coefficients of the solved moving average process for levels and also conditional ARCH GARCH variances will be plotted according to the radio button setting in either impulse form or step cumulated form or with both plots on the same graph In a system of N equations the responses shown are those on a dependent variable of an impulse to its own shock process only N plots If the System checkbox is checked then the responses on each dependent variable of impulses to each shock process are calculated N 2 plots This checkbox has no effect in a single equation model There is no limit to the number of steps possible To increase the maximum select it and close open the dialog Only the own shock responses can be listed in the results window For a 155 James Davidson 2015 listing of the full set export the data to a listing file see File Listings Save MA Coefficients Note Only the imp
80. In multi equation models use the Equation gt and lt buttons to cycle through the equations either forwards or backwards Alternatively 118 James Davidson 2015 select an equation using the Equation choice widget on the tool bar and and then press the Refresh button In regime switching models to see the different regimes use the Regime lt and gt buttons or the Regime choice widget similarly 3 If a BEKK multivariate GARCH model is specified the ith columns of the matrices A_j and B_j are displayed in the dialog for equation 1 as Alphaj i k and Betaj i k for k 1 number of equations Be careful to note how these matrices enter the model see the main document for details Although entered and reported in the same style these matrices are not comparable with the multivariate GARCH specification Be careful to interpret them correctly 4 DCC dynamic parameters are displayed in the Values Distribution dialog 5 2 Values Equilibrium Relations This dialog shows parameters of the equilibrium relation s Note 1 If more than one relation is specified use either the gt and lt buttons in the dialog or the Equation choice widget on the tool bar to switch between them Ze At least one of the parameters in this dialog must be fixed at a non zero value the normalized variable If none is specified manually the first entry is automatically fixed at 1 when the equation is r
81. LO SETTINGS 15 16 17 18 The default number of replications is 1000 Select either the mean or the median of the Monte Carlo distribution for reporting In the former case 2 standard error bands are also shown in the plots and in the latter case the 2 5 and 97 5 quantiles are shown To select the simulation mode and change the random number seed see Options Simulation and Resampling The scroll bar allows selection of one of the forecast periods for a density plot Note that the maximum selection varies with the setting for number of forecasts ACTUALS IN FORECAST PLOT 19 It is usually helpful in a post sample plot to show some but not always all of the series for the estimation period The default is to include the last 50 observations This can be changed and to include all available observations simply enter any value large enough Note that when the forecast period includes or overlaps the data period as for ex post forecasts the actual values are always shown STANDARD ERRORS AND CONFIDENCE BANDS 20 Forecast standard errors and confidence bands are enabled by default It may be desirable to switch them off in certain circumstances For example t If a user coded function contains lagged adjustment these dynamics cannot be taken account of in analytic variance formulae which will therefore be incorrect 154 James Davidson 2015 21 id In Markov switching models calculation of multiple
82. LS When a system of equations is specified it also permits estimation by the seemingly unrelated regressions SUR and three stage least squares 3SLS system estimators 87 James Davidson 2015 Select the type of estimator required under Select Estimator The options offered depend on whether the System of Equations checkbox is checked For IV estimation select the instruments in the Model Select Instruments dialog Variables for inclusion in the equation are chosen by highlighting them in the list First use the radio buttons to choose which type variable to specify either the dependent variable s or regressors of Types 1 or 2 Any number of regressors can be selected of either type but not as both types at once Only one dependent variable can be selected unless the System of Equations checkbox is checked Set the Lags scrollbar to automatically include lags up to the set order of all variables of the Type whose radio button is currently selected Use the check boxes to include an intercept and or a trend dummy To run a Wald test of parameter constraints first enable this option using the check box Open the Model Parameter Constraints dialog by clicking the square button Parameters for zero and linear restrictions must be specified in the Values Equation dialog To run a cointegrating regression first enable the Cointegrating Regression options by checking the checkbox Then o check either or bo
83. Options Graphics dialog the line styles are used in order starting with 1 Equation graphics are drawn using line styles 1 4 Style 1 is used for the main series in each plot including the Actual series in Actual Fitted plots gt Style 2 is used for Fitted series Style 3 is used for forecasts Style 4 is used for confidence bands If multiple equation series are plotted in a single graph the line styles are incremented by two or three so as to cycle through the available styles The symbol option Fill does not draw a symbol but shades the region between the line and the zero axis using either light gray in colour plots or a hatching pattern in monochrome plots Optionally this style is used by default in the display of probability and conditional variance series This option is enabled by default uncheck the checkbox in the Options Graphics dialog to use Line Style 1 for these series The Band Fill line style is a special option to indicate regimes or time periods depending on the value of the selected variable It displays light grey bands in those periods when the variable is positive NOTE Band Fill can only be selected for Line 8 Attempting to select it for Lines 1 7 produces a warning message The Fan style is to select the colour to be used for fan charts Note that the series itself is drawn in a contrasting colour and the results are not always predictable from the description Experime
84. Prediction and Forecasting task If set to zero only in sample predictions are returned If the post sample period extends outside the range of the data set additional rows are added to accommodate it Unwanted model outputs created by these procedures in the form of columns added to the data matrix are easily deleted in the Setup Data Transformation and Editing dialog However since large numbers of outputs can be generated in models with many states e g with seasonal components it is recommended to create a dedicated data file containing only the series for analysis Do this using the Save Selected option in the same dialog This file could then be deleted at the end of the analysis without touching the original data store NOTE Errors in SsfPack routines are not generally trapped In some cases they may even lead even to the termination of the Ox program calling them and hence of TSM with an error message printed to standard output It is strongly recommended to enable Error Recovery in Options General so that error messages are accessible in the DOS box 80 James Davidson 2015 4 Model 4 0 Model General This page provides general information on setting up models using the set of dialogs grouped under the Model menu The Linear Regression dialog controls models that are estimated by evaluation of a formula analytic solution of normal equations without the need for numerical optimization This is also tru
85. SITION oococococonononcconnnonnncnnncconnnconnncnnnocnnnnnnn 155 PEOTDIS PLA ida ies 155 IMPULSE RESPONSES catarata E EEE E 155 8 4 Options Simulation and Resampling 00 cee eeceecceesseceteceeeeeeeeeeseeesaeenes 156 SIMULATION OPTIONS tiie ise dice pan LaS 156 SIMULATION PRESAMPLE MODE 00 ceccceesecssscesececeseceeneecaeceeneecaeceeneecaeceeneecnaeeeenees 158 RANDOM NUMBER GENERATION o oo cecceecseesseceeeeeceseceeneesaeceeeeeceaeceeneeceaeeeeaeecsaeeeeneeess 158 INFERENCE BY RESAMPLING roeien eiei ani EE AEO TE E 159 RESAMPLING CONFIDENCE INTERVALS 0 ccceecceceseceeeeecsseceneeceseeeeaeeceaeeeeaeeceaeeeeneeees 160 TYPE I FRACTIONAL PROCESSES oocccoconconnonannnconnnnnnanconnnnoncconnoconnnnonnrconn ccoo nn conan ron nocona ninos 160 8 Options Graphics ss peralta 161 TEXT ATFRIBUTES Gi OR A acetal ean sda ERRE 161 BITMAP DIMENSIO Nito taal R en ete et ea ei ARES 161 DAVESJINGPEO US 5 tet eee ai eed ire ln a 161 OTHER PEOTTING OPTIONS y uen tices cases ead eed ola 162 CONFIDENCE BANDS cuca la a ee ns eee 163 MUETIPEE SERTES DISPLA Vinci ados 163 LEGENDS tonta lo diia cias 163 IDPLOTS att A el ei oe Ra es a na 164 DISTRIBUTION PLOTS tua iaa 164 8 5a Options Graphics Lines and SymbolS ooooconocccnoccnoccconccconoconnconnnonnnonnno 164 LINE AND SYMBOL STY LES tei t a a E ee AERE nn cnn nooo ienei 164 SCATTER PLOT OPTIONS i cano a a E E A Reena 165 8 6 Options ML and Dynamics ss ssesessssessesssssessesseessee
86. TSM HOME 15 Use Simple Restart for option changes that require a restart such as hiding showing advanced estimation features 2 1 File Settings Settings files extension tsm save the current state of the program including optional program settings model specifications and parameter values Loading a settings file recreates the exact state of the program when it was written including operational settings model specifications and starting values 29 James Davidson 2015 The available commands are Open Loads settings from a selected file Only files with extension tsm can be opened Import Model Adds a model specification stored in a tsd file to the current settings Save Saves settings to the default file settings tsm Save As Saves settings to a named settings file The extension tsm is added to the file name if not supplied Export Exports settings listings and data to a tsm file Settings as Text gt Display Save Settings Writes all the non default settings as text in TSM script format either to the results window or to a file Save Current Model Writes the non default specifications for the currently loaded model to a file Save System Defaults Writes the current system settings as text Clear Replace all settings with defaults see Options General Information and Defaults for a list Notes l Changes to settings are written continuously to settings tsm as the program ru
87. Test checkbox and also the Test Joint Significance of Regressors box in the Model Constraints dialog Note that lagged dependent variables current endogenous variables in simultaneous systems and the trend term are not included in this set by default but can be added to it by checking the Wald Test checkboxes in the values dialog COINTEGRATING REGRESSION 11 12 13 14 15 The cointegration options are all disabled if the Systems checkbox is checked or the Estimator selection is V 2SLS The Phillips Perron and ADF statistics are only available with OLS estimation These options are disabled if FMLS or SSW LS are selected The Phillips Perron test and FMLS estimator both make use of a Heteroscedasticity and Autocorrelation Consistent HAC covariance estimator Set the desired kernel and bandwidth in Options Test and Diagnostics Options The SSW LS estimator includes leads and lags of the differences of all variables included as Type 1 regressors The coefficients of these ancillary regressors are not reported in the output Lagging Type 1 regressors is disabled Type 2 regressors can be included with lags chosen by the user not chosen automatically For valid application of the method the dependent variable and Type regressors must all be 111 while the Type 2 variables must all be I 0 stationary The ADF test and the SSW LS estimator depend respectively on a choice of lag length and of lead lag leng
88. The Show gt gt gt button opens closes the matrix editing box Select the matrix to be displayed in the adjacent choice widget pull down menu The Values button opens a dialog to display and edit model parameters and set parameter fixes and bounds See Section 5 0 of this manual for information on the options in this dialog 7 The Parameter Constraints check box enables the estimation of models subject to constraints and also the calculation of Wald and LM tests of specified constraints The adjacent square button opens the Model Constraints dialog See Section 4 9 of this manual for information on the options in this dialog x The Clear button resets all model settings and variable selections a The Sample button opens the sample selection dialog dd The Select Task pull down menu allows selection from the range of Ssfpack operations available on the specified model The lt lt lt Go gt gt gt button executes the selected task The Save Data button writes the data set to a file This button is enabled following a task that adds new series to the data set MODEL COMPONENTS The three radio buttons allow selection of variable s for analysis regressors and state space components Select deselect variables and components by clicking items in the lists Notes 1 At least two model components from the set Level Slope Seasonal Cycle and Irregular must be selected The Slope component can only be se
89. Time Series Modelling Version 4 47 User s Manual James Davidson 25 November 2015 This document is also accessible through the program Help pages There is no conventional index since the text is revised regularly The PDF file with the Search option in Acrobat Reader provide an effective indexing capability Contents O Introduction see eases ons eae eh es dae ecto 7 0 1 TS MBasicii ii s n a aaa 7 TSENTERING DATA A E Teh BE ead ea os eee 7 2 MENUS AND DTA LO OS a a a Be nk edhe ne dsb od Musee 7 3 COMPUTING ESTIMATES TESTS AND FORECASTS ccccccccccccsessscecececeeesenseseeeeees 7 4 SAVING PROGRAM SETTINGS ccccccccccccsessscecececsesessaeccecececseneneceseeceseseneaeeeecesesensaaes 8 S ORGANIZING YOUR WORK oren a re E ies cwdcacebcea donde bases cocsbdeadenvbces covevseachtehevecs 8 O SIMULA TION aa e e lia AE nadaa ace 8 MODE ES A A A ECE ES 8 8 PROGRAMMING WITH TSM ccccccssccccecsessssececececsessesssaeceecceceessaaeeeeeceesensaeaeeeeeeeene 9 9 TYPES OF MODEL ccccciesticveves cocci en a be Cae ee laa 9 10 SELECTING VARIABLES nc ccccciesvecosnctvasoess aa cintas aid 9 TI VARIABLE TYRES ninis e o adoos 10 12 PARAMETER VALUES oia a to E E 10 13 CODED FUNCTIONS sarria e E AA leo Be IRS 10 14 SYSTEMS OF EQUATIONS cusco 11 15 OUTRUT CONVENTION Sc cuca rta nice ases Conil E EEE tcs 11 0 2 HOW Toril as 12 1 HOW TO LOAD ADATA SE Tonic dE cheeses E 12 2 HOW LO PEOT DATA SERIES csi ti ar at 12 3
90. a ETES 131 O a ARR 132 7 0 Graphics General Information 132 7 1 Graphics Show Data Graphic a 132 SIMPLE PLOTTING e en eii i e EE EO tie 132 MULTI SERIES PLOTIN G oreinaren ona iti cece beaded cues EAEE ERROAREN i i 134 7 2 Graphics Equation Graphics sp tics vce shots esecaseedescea sues eetvaseeaniy roda 135 7 3 Graphics Monte Carlo Orpesa in 136 S Options han i A 139 8 0 Options General Information and DefaultS ooonoonncninncnnncoconocinncnancconncnnno 139 8 1 Options Output and Retrieval umi ii 141 SAVING DAWA FILES uta testes e E E TE E E ds 141 EXPORTING AND PRINTING LISTINGS Siriei oeie irete e EEEE TE ECEE 141 EXPORTING GRAPHICS coli its T E EE a E E E E EE 142 OUTPUT TING TABLE Sn iiri EEEE iaa 142 OUTPUT TING SERIES ren e EER E TAE ITE E E e E 143 RETRIEVING GENERATED SERIES ccssssosocesrsvssecoensecnecceensesveccoensesnassesnsesnascosnes sve 143 4 James Davidson 2015 8 2 Options ests and Diagnostics ai ceticcaycavsiea ses istvsacdisvisduedontdssatdemdsediberacen e 143 CORRELEOGRAM POINTS ra aea a Ee e a a E apr a odhecduges seassd aaa rai 143 LM TESTS OF SET RESTRICTIONS AND FIXED VALUES ooooocococccocccconcninnccnnnncinnncnn 144 HAC COVARIANCE MATRIX IN TESTS ooooocnccccnoncconononnnanonccnonnnnonccnnonnonccnnnnnoncccnnnnnanccnns 144 FORM OF THE LM STATISTICS a eE E R aA Ee EEEE Eri A aaa Na NEEE ES 144 LAGS FOR THE ADF AND ERS TESTS OF I 1 ceceececscssesseeeseeeeeee
91. a Markov switching model with a zero probability regime When Print Covariance Matrix is selected in Options Output and Retrieval Options the Hessian matrix itself is printed in this case as a diagnostic aid Checking for zero rows and columns could indicate the source of the problem SELECTION CRITERIA AND SUMMARY STATISTICS 13 14 By default the model selection criteria Schwarz Hannan Quinn and Akaike are defined as maximand less penalty Therefore larger values are preferred This convention can be optionally reversed see Report Minimand in Options Optimization and Run R Squared is the squared correlation coefficient between the dependent variable Y and the model predictions actual Y residuals Therefore 180 James Davidson 2015 15 16 it is well defined for any model and must lie in 0 1 However whether it is a useful measure of model performance depends on the model it is of no use in assessing GARCH models for example R Bar Squared is calculated as 1 1 R squared T 1 T p where p is the number of parameters fitted in the model When models are estimated by Instrumental Variables from the Linear Regression menu the Sargan and DWH Durbin Wu Hausman statistics are given These are asymptotic chi squared statistics under HO with degrees of freedom indicated and nominal p values shown in braces The Sargan statistic is N times the ratio of the GMM minimand to the residual
92. a0 is set gt 100 only the base statistic S_0 will be reported with weights ksi set to the unit vector 8 3 Options Forecasting FORECASTS l The levels forecasts include 2 standard error bands These are asymptotic and do not allow for parameter uncertainty For conditional heteroscedasticity models they are computed dynamically using the volatility forecasts The scroll bar label shows the number of forecast steps selected The date or observation number of the final step which depends on the sample selection see Setup Set Sample is shown above the scroll bar There is no limit to the number of ex ante forecasts To increase the maximum select it then close and re open the dialog However in models containing exogenous variables other than the trend and GARCH_M terms the limit is set by the available post sample observations FORECAST TYPE 4 Ex ante multi step forecasts use the lagged forecast values to projected two or more steps forward Ex Post 1 step forecasts are simply the fitted values of the model using actual values of all lagged and explanatory variables for the selected forecast period This cannot exceed the available observations so the estimation sample must be set appropriately By default the forecast period for ex post forecasts is set to the maximum available observations following the Last Observation set in the Setup Set Sample dialog If this setting is changed the number of for
93. ace looking at every case and hence it is path independent and does not depend on test outcomes Thus it is not a general to specific search nor 122 James Davidson 2015 specific to general but in fact both The limitation is that it cannot feasibly examine such large model spaces some other automatic specification search packages that are currently available which are selective in the cases they examine 4 The procedure can be used with any model except regime switching including equation systems although it only searches over regressor choices Any other model features will correspond to the baseline specification and the search is conditional on these Note that the number of models needing to be estimated may be very large For example with 4 variables and 4 lags current values N 20 and the choice is over 2220 1048576 cases This is feasible for OLS but probably not for iterative estimation 5 There is no option to print all the estimation results The output includes the baseline model and the optimal case 6 5 Actions Recursive Rolling Estimation This option estimates the same model for a succession of samples either of increasing size with fixed starting point incremental estimation or fixed size with moving starting point rolling estimation We call these procedures recursive estimation and while they are not recursive in the strict sense of using an updating formula to modify the estimator with
94. ads If the formula cannot be parsed e g non matching parentheses missing operators illegal characters an error message is printed and the calculations are terminated If an operation is illegal e g square root of negative number the output of the formula will be NaN RESERVED NAMES 13 14 15 16 The reserved names U u and N n upper and lower case equivalent are treated differently depending on the function call Cases ABE C in an estimation run Assigned the value 0 Case C in a simulation run U and u are replaced by a uniform 0 1 random drawing and N and n are replaced by a standard normal random drawing playing the role of a randomly selected parameter This feature allows the generation of randomized models for e g test power evaluation Case D U and u are replaced by a sample dimension vector of uniform 0 1 random drawings and N and n are replaced a sample dimension vector of standard normal random drawings If the symbols appear more than once in a formula a different drawing vector of drawings replaces each Cases AC The variable names E j e j where j represents a positive integer are reserved for use in recursive functions They are replaced by the function value itself lagged j periods E without a lag is replaced by 0 In systems of equations the names E 1 E 2 and E 1 j E 2 j denote the values for each equation current and lagged resp
95. alent to pressing Cancel PARSING THE MODEL Parsing fails in cases including the following Variable name does not match any variable in the data set E Non matching or misplaced brackets parentheses braces si Missing misplaced operators Wrong left hand side variable Equation An error message is displayed in a pop up window and should assist the debugging process Note A name not appearing in either the variable list or current parameter list is assumed to be a new parameter and added to the list Check the list carefully to see if it s what you intend PARAMETER NAMES a P i where i is the parameter number shown beside the text field is always a legitimate choice of name It must be still typed explicitly in the field so that the program knows how many parameters are specified id Nine parameter name fields are displayed by default To change the number type the value in the Maximum Parameters field To redraw the dialog box click any button e g Cancel dl Be careful that parameter names do not duplicate variable names The convention of naming a coefficient by the variable it multiplies must be avoided here In multi equation models the same names appear in each equation but refer to different parameters They are distinguished in the output by prefixes Eq1 Eq2 etc l If a parameter is named but does not appear in an equation it is fixed at 0 in that equation It appears in the Values
96. ames Davidson 2015 item highlighted The graphic display dialog opens automatically at the completion of a Monte Carlo run Alternatively open it from the menu with Graphics Monte Carlo Distributions The bandwidth used to compute the kernel density is user selectable Initially it is set to the default value displayed as 1 on the scrollbar Move the scrollbar to change the ratio of the bandwidth to the default then redisplay the plot to see the effect The chosen value is stored with the distribution data and used the next time the distribution is plotted as shown by the scrollbar If the scrollbar setting is changed by the user the new value is used for the next plot and replaces the stored value s for the distribution s plotted Tip to avoid changing a stored bandwidth after moving the scrollbar close and re open the dialog before giving the Plot command Monte Carlo graphics are stored in the TSD file created with the Data Generation Model If the TSD file is present reloading this model makes the results and plots of the last experiment performed with this model available to view just as when the model was run To save these outputs separately from the model give the command File Listings Save Listings File and enter a file name in the file dialog The distributions from a simulation run can be stored in an EDF file to supply critical values for tests The currently stored bandwidths for each distribution are
97. anel Inserted rows have their elements set to NaN and must be filled with data by hand In files formatted for panel data a column headed either PANEL or INDIVIDUAL upper or lower case contains indicators of the individuals in the data set Entries in this column can be either numbers positive integers or text names not exceeding eight characters in length These entries are stored as equivalent double precision values in the spreadsheet and converted to text when the file is processed Simply type the names into the cells of a column so headed in the List Edit table or use the Edit Observation field as usual Then use the Copy button to fill the required number of rows with the same entry Note Change in the contents of these rows signals the next individual in the sample so the same text or number must appear in each individual block id Non numeric text can only be entered in a column headed as above i In programs such as Excel the default numerical formatting may 37 James Davidson 2015 show the text fields as zeros They can only be viewed correctly in TSM 28 In spreadsheet editing mode but not otherwise the Edit command Set Panel Guides allows the PANEL PERIOD and if required YEAR guide columns to be inserted automatically in a panel data set Enter the number of periods per individual in the text box which opens or in the case of years periods enter the number of years followed
98. ange in the model specification until either the dialog is refreshed or the Values button is pressed in the relevant dialog 6 If a dialog gets hidden behind others bring it to the top by reselecting it from the menu bar 1 2 Status Bar and Tool Bar The status bar at the bottom of the results window shows the name of the current data set the currently selected estimator and currently selected sample x the current run ID number The symbol B also appears if bootstrap inference is selected and the symbol S if subsampling inference is selected The tool bar buttons provide quick access to the most frequently used actions and dialogs z Open Folder button shows the File Data Open popup menu by default When the Load Multiple Data Sets option is enabled see Options General shows the Setup Data Sets Switch To popup menu id f x button opens the Setup Data Transformation and Editing dialog MM button opens the Setup Model Manager dialog i Regression line button opens the Model Linear Regression dialog i Space Shuttle button optional opens the Model Dynamic Equation dialog s Running Man button optional normally launches Actions Run Estimation Also duplicates the function of the Go button in an open dialog Calculator button launches Actions Evaluate at Current Values This is equivalent to Actions Run Estimation in the case of linear regression
99. appear there Select the matrix to be edited or simply inspected from the pull down menu then either press Show gt gt gt or double click the menu itself bi After opening the editing box can be re sized by dragging the corners with the mouse ihe editing options are as follows Double click a cell to open it for editing id Press the Enter key OR click anywhere else in the table to save changes to a cell Press the Escape key to discard changes to a cell Press Clear to change all cell entries to 0 Press Paste to paste the contents of the clipboard into the matrix Press Print to have the matrix appear as text in six column format in the results window Press Code to send the matrix to the Results window in Ox format for pasting into an Ox program d Press Close or press the Show gt gt gt button again in the main dialog to close the editing box If it has been edited a prompt to save or discard the changes appears before closing X Notes 7 The Paste operation fills the cells in a left to right and down mode from the contents of the clipboard starting at the currently selected cell Only numerical values including signs decimal points and exponents written as eXX are pasted Punctuation spaces carriage returns and other non numeric characters are all ignored If the entries overflow the available cells they are discarded To see the capabilities try the following o W
100. ar programs The default bitmap graphics format This format is read by a wide range of commercial graphing and word processing software and converted to formats such as bitmap Jpeg Tiff etc Default vector graphics format Can be read by various public domain software and converted to wmf emf and other formats by most graphics packages Can also be inserted in Microsoft Word documents TSM saves data and graphics in a variety of other optional formats See 2 2 File Data 8 1 Options Output and Retrieval and 8 5 Options Graphics for details 185 O James Davidson 2015 12 Hints and Tips Here are some non obvious pointers for getting the best results from the program Suggestions from users for further tips are always welcome NUMERICAL OPTIMIZATION 1 TSM s optimization algorithm uses analytic derivatives by default wherever these have been coded A few of the less frequently used models including the GED likelihood EGARCH DCC and BEKK GARCH explained regime switching and Hamilton s model still depend on numerical derivatives in Version 4 31 Analytic derivatives will be coded for these models too as time permits Numerical derivatives can be selected optionally as a backstop in case an unforeseen problem is encountered see Options Optimization and Run The option to use numerical derivatives is saved with a model The option is enabled automatically if TSM itself detects any problem with the code
101. arameter values for the coded relations are displayed in Values Equilibrium Relations 4 For all options except the coded test and coded equilibrium relations the Coded Functions checkbox must be checked in Model Dynamic Equation to activate the option 5 Enter names of parameters in the text fields provided in the dialog Optionally an identifying name can be entered in the Function Name field This is used to identify the output and can also select the function from a code library maintained in the run file Alternatively a name can be passed from the function itself To activate this option leave the Function Name field blank 6 When residuals or the log likelihood are returned setting dependent variable s in the Model Dynamic Equation dialog is optional though recommended If set it they should correspond to the normalized variable s in the supplied functions These settings are not used to compute the estimates but allow the correct plots series and forecasts to be generated 7 It is the user s responsibility to set the sample period see Setup Set Sample to ensure that all observations are available for the variables in the model This is done automatically for models specified through the program options but the program cannot know whether variables included in the user s function have missing observations 8 For statistics and data generation there is the option to enter names for constants in the paramete
102. are displayed in the variable list in Setup Data Transformation and Editingwhen this option is accessed there as noted in 1 Be careful not to overlook that these numbers may change relative to the corresponding names if variables are deleted and or re ordered Reference by name is the safer option especially when stored formulae are re evaluated after data modifications 4 To evaluate a recursive formula use E j to denote the function value lagged j periods By default zero initial values are assigned to E j To assign different start up values do as follows assuming the recursion contains M lags 1 Create a new variable with the name to be assigned to the 56 James Davidson 2015 formula 2 Edit this series as necessary so that the desired start up value s appear in the M initial positions 3 Press Sample and advance the initial date for the calculations by M steps 4 Create the formula selecting Yes when prompted to overwrite the series 5 Reset the initial date to view the complete series in the spreadsheet including the start up values 5 If the formula as entered cannot be parsed an error message appears and nothing is changed TEXT BOX CONTROLS Close Closes the text box Delete Deletes the currently displayed formula the clears field Next Displays the next formula if it exists New Opens a new blank formula where there is no Next Previous Displays the previous formula if
103. are then blank An alternative navigation method is to use the choice widget s on the tool bar First choose the equation relation regime values to be displayed Change the display by either double clicking the widget or pressing the Refresh button in the Values dialog All dialogs have a checkbox for selecting the parameter bounds and grid plotting layout This control is located at the bottom of the panel it may be necessary to scroll the display view it It shows hides two columns of text fields for entering bound values see paras 11 15 below Checking unchecking the box in any dialog effects the setting in all the Values dialogs 116 James Davidson 2015 VALUES FIELDS 7 The values attained in an estimation run are displayed in the Values fields to double precision machine accuracy These provide the starting values for a new run and can be edited FIXED PARAMETERS 8 10 Check Fixed to fix the parameter at the value set during estimation Apphesuens of this feature include Suppressing intermediate lags in ARMA GARCH models fix the values at zero Temporarily restricting a model without changing the specifications Computing LM tests of the corresponding restriction s see Options Test and Diagnostics Options Evaluating the optimized likelihood over a grid of points see paras 13 14 below and also Actions Plot Criterion Grid for more details If the model specification is changed value
104. arlo experiment which involves both simulation and estimation stages The Random Number Seed initializes the random number generator such that it produces an identical sequence from any given seed Ifa positive integer an arbitrary set of decimal digits is entered in this field the same sequence of random numbers will be used in successive runs 158 O James Davidson 2015 which are accordingly exactly reproducible If the value is set to 0 the default the seed is taken from the system clock number of seconds since midnight Accordingly every run will be different and not reproducible INFERENCE BY RESAMPLING 15 16 17 18 19 20 Two methods are implemented for generating confidence intervals and p values by resampling the data rather than by asymptotic criteria id The bootstrap simulates the specified model using the TSM simulation engine with randomly drawn artificial disturbances These can be either drawn from a known distribution such as the normal or Student s t or resampled from the empirical distribution of the estimated residuals Monte Carlo simulation of the estimation procedure yields the bootstrap distribution Subsampling is the method of fitting the model to successive contiguous subsamples of the data set and constructing the empirical distribution of the subsamples It does not involve drawing random numbers The output is available in the form of confidence intervals p values and p
105. ase the jth smoothed element is the weighted average of 2H 1 points for H lt j lt T H andH j points for 1 lt j lt H and T H lt j lt T where T is the series length For the Gaussian kernel H is the standard deviation For the kernel formulae see e g the Probability package in the Ox language documentation 9 Fourier Transform computes the FFT of the selected series The real and imaginary parts of the transform are vectorized to give a real series of the same length of the original with cosine and sine terms alternating The components can be separated again if required using Edit Shape Note The series as generated are of length 2T and are trimmed to fit the existing data set To avoid losing these points first extend the data set using Edit Re Size Sample 10 Set the cubic spline bandwidth to zero for the default setting Positive values represent the number of parameters used in the fit so larger values yield a closer fit to the data matching the sample size yields a perfect fit For irregularly spaced observations use Mark to select the variable containing observation dates before giving the command 11 The option Tanaka Filter operates on the selected series X to create the series X where X _ 1 0 and X _ t Sum_ 1 t 1 X_ t j 4 t 2 T This construction features in various popular tests of fractional integration order as proposed notably by Tanaka 1999 See also Breitung and Hassler 200
106. ased on first stage residuals is effected by running the estimation repeatedly See Actions Run Estimation For this option to be active the type of covariance matrix desired Robust or HAC must be selected in Options Test and 94 James Davidson 2015 Diagnostics Options If Standard is selected only one step GMM is available 4 In the probit logit and ordered probit logit models the dependent variable must assume one of a fixed number of nonnegative integer values including 0 In the standard binary case the values must be either 0 or 1 Count data are also nonnegative integers but in this case there is no fixed upper limit to the permitted values 5 To select the ordered probit logit option enter the number of additional cases in the Options ML and Dynamics dialog Setting this value to 0 the default gives the standard binary 0 1 data cases The data must be integer valued with the reference minimum value equal to 0 and maximum value equal the number of cases less equivalently 1 the Options ML and Dynamics dialog entry See Section 4 7 of Models and Methods for the parameterization adopted The shift parameters are cumulated to get the total intercept shift of each case relative to the reference case If an intermediate value is not represented in the data set the model is under identified but a restricted version can be estimated by fixing the corresponding parameter to 0 For example if the sample
107. asted into the results window at the cursor position Right click with the mouse and select Paste MRU LISTS 3 Commands for loading saving and exporting settings and data files open a popup menu listing the most recently used MRU files The leading item File Dialog opens the operating system s file dialog for selecting other files Ifa list is empty the popup menu is skipped and the file dialog opens directly The maximum number of files on the MRU lists is an installation option see Appendix B The default setting is 20 MRU lists are stored in the settings file When settings are loaded the current lists are appended to the new ones as space permits FILE DIALOG 7 The file dialog is sensitive to the type of file being loaded saved and presents only files of the appropriate type for selection specified by extension See Section 11 Directories and Files for details Use the Files of Type choice widget to present different categories of file types where appropriate RESTART 8 10 The restart options work automatically only if the program is launched from the Windows Start Menu If started in Windows Explorer by double clicking on a tsm file the restart must be performed manually after the program closes by double clicking settings tsm However the main feature of the restart mode the preservation of the results window contents is operative in this case The Restart Load User Code c
108. atility indicator 9 Help A User s Manual gives access to these pages i View Text Files opens additional documentation in ASCII files for reading only X Data Descriptions opens a list of names of the currently loaded variables followed by any description that has been created for the variable The description is preceded by the symbol Register this Copy opens a dialog to enter the user s name and the unlocking key provided to registered users of the software i About opens a box showing copyright information and the registered username USER S MANUAL 1 Navigate the User s Manual by the menu sections and sub menus subsections and also by clicking the Previous and Next buttons to 176 James Davidson 2015 move backwards and forwards through the pages These pages duplicate the contents of the PDF file tsmod4ghp pdf which is accessible through the Start Menu Windows VIEW TEXT FILES 2 3 File Dialog opens the file dialog to select any ASCII file for reading Most Recently Opened repeats the last selection By default if no file has yet been opened it opens notes txt if this file exists Imported Ox Code refers to a source code file with ox extension which has been loaded from a distributed settings tsm file A distributor of coded functions has this opportunity to document their code by including text comments in the file before the code statements The code itself
109. ation ze Setting inequality constraints on parameters during estimation x Setting zero or linear restrictions on parameters either for constrained estimation or calculation of Wald tests The Values dialogs can be accessed from the menu bar or by the Values button in the relevant model specification dialog Parameter values obtained in the latest estimation run can be viewed in the Values dialogs and will form the starting values for the next run unless edited or cleared Alternatively the menu item Evaluate at Current Values or the Calculator button generates the program outputs at these values without re optimizing 13 CODED FUNCTIONS General nonlinear models can be estimated by creating coded formulae The program features a formula parser which can evaluate functions of data and or parameters typed using standard notations This feature is used to create functions for estimation and parameter restrictions for testing as well as data transformations Alternatively TSM can estimate a model programmed by the user in the Ox language while making use of all the estimation testing and forecasting features of the package This feature is distinct from though compatible with calling TSM from within an Ox program 10 James Davidson 2015 14 SYSTEMS OF EQUATIONS Setting up a system of equations is greatly simplified by requiring that the right hand side of every equation has the same specification In this way only
110. ations are not possible in this release If Print Model Descriptions is checked the complete non default model settings are printed in the output These are codes in the TSM scripting language see the Programming Reference document for details Note Thee same lines appear in the model description field in Model Manager if Automatic Descriptions is checked when the model is saved However they are generated independently and do not need to exist in the stored model By default the individual replications are stored These can be plotted as kernel densities or histograms see Graphics menu or written out to a spreadsheet file for further analysis using Files Listings Save MonteCarlo Replications For 1000 replications the option Save Frequency Table is enabled together with a field to enter the desired number of bins for histogram construction This option results in the actual replications being discarded The distribution of the first 1000 replications is used to construct the data range and bin widths for construction of the frequency table given the number of bins selected As well as putting no constraint on memory for large experiments this option also allows higher quality graphics with control over the smoothing bandwidth for kernel density estimation Increasing the number of bins used to generate the frequency distributions gives more accurate estimates of quantiles and test sizes at the cost of greater computing
111. avoid this behaviour give the New Results File command again to create or reinstate a results file ENTERING DATA BY HAND 12 Use one of the following methods to type data directly into the program The second method is recommended for entering several variables at once Don t forget to save the data set afterwards before doing anything else 13 Use the Setup Data Transformation and Editing dialog to create a new variable If no data are currently loaded give the command Re Size Sample and enter the desired sample size in which case a new variable Zeros is created automatically Otherwise give the command Make Zeros Use Rename to change Zeros to the name of the new variable Then choose Edit List Compare select the first observation and press Edit Observation To enter successive observations type the values into the edit field and press Enter repeatedly 14 A sequence of observations on a variable can also be pasted into TSM using the Windows clipboard The values can be columns in a spreadsheet or typed into a text editor or word processor In the latter case spaces tabs commas and carriage returns can all be used as separators To copy the text in the source application the usual routine is to highlight it then right click and choose Copy from the context menu or issue the keyboard command Ctrl C Then open the List Edit dialog as above select the first cell in the target range and either press Paste Clipboard
112. bands are provided The analytic method computes formulae for the mean and standard error of the forecast and the plots show two standard error bands corresponding to 95 confidence bands when the errors are Gaussian Two methods of computing analytic forecasts are available New code in version 4 38 is used by default This method solves the model simulation algorithm numerically with zero shocks and hence is available even for nonlinear structures such as ECM s In the case of nonlinear in variables dynamics the result is a linear approximation to the true dynamics which may be contrasted with the stochastic simulation Monte Carlo method The new code works with most models specified through the linear regression or dynamic specification dialogs with the exception of Markov switching models The old code which works only for VARMA GARCH models is still available by selecting this option in Options General Special Settings It is selected automatically for Markov switching models alternatively use the Monte Carlo method The Monte Carlo method uses the fitted model to compute stochastic simulations of the process and reports quantiles of the empirical distribution for each step In this case all models including those containing lagged dependent variables as regressors are computed by dynamic simulation Hence true multi step forecasts are reported in this case Two types of Monte Carlo plot are available Time plots show t
113. ble Observations button to show the available sample of exogenous variables for a simulation of the dependent variable The show hide status is remembered when this dialog is closed and re opened 7 The Options button opens the most recently opened estimation options dialog from the Options menu By default this is the Tests and Diagnostics dialog Click the horizontal lt lt lt lt and gt gt gt gt bars in these dialogs to switch between options dialogs j The Values button opens the equation Values dialog or refreshes it if it is already open y To compute the estimates press the lt lt lt Go gt gt gt button This duplicates the Run button on the toolbar and the Actions Run Estimation menu item The Clear button clears all settings in this dialog Notes ESTIMATION CRITERIA 1 Note limitations on the application of some estimators r GARCH and Markov switching options are unavailable with least squares and GMM x Systems of equations are unavailable with skewed Student errors and all discrete data options gt The Whittle method is only implemented for univariate ARFIMA models 2 If no conditional heteroscedasticity or regime switching features are specified the difference between Least Squares LGV and Gaussian ML is that in the latter case the error variance or covariance matrix for systems is estimated jointly with the other parameters 3 Multi stage GMM with efficient weights matrix b
114. bulations These commands handle special spreadsheet files formatted to be read as tables for plotting or critical value calculations Load EDF Table Loads a previously prepared spreadsheet file containing an empirical distribution function This can be displayed in Setup Look Up Probability and Setup Look Up Critical Value and used by the program to generate test p values Files with the correct format are generated by the Monte Carlo module see Setup Monte Carlo Experiment Merge EDF Table Combines a selected file with the resident EDF table When combining tabulations for different sample sizes the names and specifications for the two tests must be identical Save EDF Table Converts an EDF table held in memory back to a file reversing the Load command Optionally a new name can be entered using the file dialog the stored file name is used by default 41 O James Davidson 2015 Clear EDF Table Removes table from memory The table is saved with model listings tsd files so use this command before storing a model to avoid bulky files Load Density Plot Loads a previously saved spreadsheet file containing data for generating density plots in the dialog Graphics Stored MC Distributions The file contents are merged with any existing plot data If a loaded plot has an existing name the name is augmented with 1 MC Batch Results This command duplicates the action of the Results butto
115. by the number of periods in the box separated by a comma For this option to work the panel must be complete with equal numbers of time periods for each individual In the case of incomplete or irregular panels with missing time periods complete the panel by adding in the required rows temporarily see 25 above Delete them again following the insertion of the guide columns 29 A column headed GROUP upper or lower case contains group identifiers These are constructed in the same way as the PANEL identifiers see 27 but they only need to appear in the first row of each individual block The contents of the remaining rows of each block are optional 30 Ifthe GROUP column is present any individual block containing 0 as its first element is omitted from the analysis This allows individuals to be included in excluded from the data set with minimum difficulty To disable the column without deleting it simply rename it It then appears in the data set as a variable when the data are reloaded TROUBLESHOOTING 31 Although Ox should read spreadsheet files such as the Excel xls format and xlsx files it is occasionally found that such files contain incompatible features The message Data input failed appears In this event use Excel to save the file in comma delimited csv format These files are always readable and contain all the information relevant to TSM functionality If TSM is then used to save the data in xls or x
116. cally to the new locations Data files can be loaded from anywhere but if edited they will be saved to the current data folder This ensures that files read from other locations such as data sticks are preserved intact by default They can of course optionally be saved anywhere If the data file location is changed the data file or files currently loaded into TSM are saved to the new location If the old location is the home folder the file s will also be deleted from there Otherwise it is left to the user to tidy up the old location manually as desired This is to guard against unpredictable behaviour in the event that for example two users are working with a common data store Default model EDF and batch file locations can be set permanently by editing the file tsmgui4 However these default locations must be within the home folder Files can be stored anywhere but locations outside the home folder can only be set dynamically 44 James Davidson 2015 3 Setup 3 1 Setup Set Sample Select the sample for estimation and other data analysis procedures using the scrollbars Date information is given if provided with the data The maximum sample is selected by default Notes 1 Seven different sample selections can be set concurrently for different program functions This dialog is accessible from within every dialog where a sample must be specified and the sample to be selected depends on where it is opened from T
117. can also be inspected DESCRIPTIONS 5 Data descriptions can be created in two ways In Setup Data Editing and Transformations the choice widget item Description opens a text field where the description of the selected variable s can be entered Alternatively when the data are prepared for loading in a spreadsheet or text editor add the description text to the variable name normally preceded by a symbol The delimiter symbol can be changed by editing the tsmgui4 h file Some entry formats such as DAT limit the length of a variable name Overflowing text will be lost if the data are saved in this format Show Settings Info displays the header from most recenty opened settings file with tsm extension This contains the TSM version used to create the file the data and time of creation and whether the settings were Exported created with the File Settings Export command and hence portable between installations REGISTRATION 8 10 The username must be entered in exactly the format as given with the unlocking key Changes in e g spelling capitalization embedded spaces etc will cause the registration to fail The program saves the licence file registration txt in one of the two valid locations for this file It first tries the TSM Home directory i e ox home packages tsmod4 If either the user does not have permission to write in this folder or if a licence file already exists there it writ
118. carriage returns are all eligible separators For example a variable listed by observation in columns to be read left to right and down a common format can be copied complete to the clipboard and then pasted into a column of the table appearing in the correct order 5 If the number of pasted values exceeds the number of available rows in the spreadsheet the excess values are discarded Remember that the spreadsheet dimensions match the sample selected for editing not necessarily the full data set 6 CAUTION Editing cannot be undone To undo edits re load the original data file 3 5 Setup Make Data Formula This command gives direct access to a text box where formulae can be entered to create new variables as functions of existing variables in the data set The formula should be typed in the box in the format New Variable Formula where New Variable represents a variable name and Formula represents text formulated as described in Section 1 5 Entering Formulae Case A Notes 1 These actions can also be performed as an option in the dialog Setup Data Transformation and Editing press Formula 2 If New Variable matches an existing variable in the data set a choice box is displayed with the option to over write it Otherwise the new variable is added to the data set 3 Variables can be referenced either by name or in the format X j where j denotes the column number in the data set These numbers
119. ch as gif png and jpg Note that the gnuplot window can be resized by dragging the corner with the mouse and a saved bitmap image will have the same dimensions Alternatively pasting the clipboard into a graphics program such as CorelDraw results in a vector graphics image that can be edited further and saved in various formats An alternative procedure to save a graph is with the command File Graphics Save Last Graphic Select the type of file to be saved in Options Output and Retrieval The desired line and text characteristics as well as bitmap dimensions can be selected in Options Graphics Note that Postscript vector graphics formats eps or epc can also be imported into graphics programs such as CorelDraw for further editing 7 1 Graphics Show Data Graphic Opens a dialog for selection of graphical representations time plot correlogram partial correlogram spectrum histogram and normal QQ plot of any variable in the data set SIMPLE PLOTTING x Select the type s of plot required using the check boxes Select one or more names in the variable list Optionally select for the series to be either detrended by OLS or differenced before plotting Press Sample to open the Set Sample dialog and choose the sample required Press lt lt lt Plot gt gt gt Alternatively just double click the name of any series convenient for a single plot Press List to display the the currently selected sa
120. conoconn cono nono nocnocnoos 57 AUTOMATIC REGRESSOR SELECTION occ eeeccesseeesseceececenaeceeeeecaeceeeeecaeceeneeenaeeeeeeees 57 MULTIPLE ARMA MODELS vissccciucccjeccesccosseccessctsessenseuvoecsoetecvunedednavescscedeascvaesesesd slacoovnteenss 58 3 7 Setup Recursive Rolling Estimati0N oooonoconnccnnonnnonncoonoconaconn nono nono noconocnnnos 58 3 8 Setup Compute Summary Statistics A 59 3 9 Setup Nonparametric Regression lt i ccscsaszcsdscavsscessevessjacdesniveccteszieceecsvscvaases 61 3 10 Setup Semiparametric Long MeMOry cscccssccsssscsscssscesscssetscsscssees 61 3 11 Setup Cointegration Analysis cds 63 3 12 Setup Monte Carlo Experiments 64 OPTION Srta ad A aaa ee Ie etre eee 65 OUTPUTS 5 ccs 2h A A ad nas 68 RUNNING AN EXTERNAL PROCESS 00 cece ceeccsscessseceeeeecaeeeeneeceaeceeaeecsueeseneeceaeeeeneecsas 68 CONDOR 5550525 hee sisson Daca vesepses ince sia ac il eet eens 69 PARALEEL PROCESSING inr o ot E RENEO E ER R OEE decades 69 WARP SPEED BOOTSTRA Perosio tine iii e E EE O SR RE 70 3 13 Setup Tail Probabilities and Critical Values eeceeeeseesteereeereeeeeeeees 71 Sl Ca A aid ee eA 71 3 15 MATA o E cae uae 73 EDITING MATRICES cit A ee a eas 74 MATRIX CALCULA TOR e ienei it a AA dai 74 3 16 SsfPack State Space Modelling ii si 75 MODEL COMPONENTS ici ii die hic Salk eo Ii bios 76 MODP DM N SO N Sa A A BS ae lanka Bes 77 2 James Davidson 2015 TAS vts A ER IL OE EE E E T ARE 78 O O A A e 8
121. cons appear on the Windows task bar The icon enclosed in a white square represents Ox running in a minimized console window Click it to view the window The icon without the white square represents the GUI front end running under the Java Runtime Environment Note if TSM is started by clicking on a settings file in Windows explorer the Windows DOS box icon appears instead of the first TSM icon 3 The Windows button remembers which dialogs were open between sessions If the Remember Dialog Positions checkbox is checked in Options General Pressing it at start up restores the window configuration existing at a recent close down To avoid an excessive clutter of dialogs getting re opened the configuration is reset if the time lag between sessions exceeds 11 hours 4 When lengthy computations such as optimizations recursive estimations grid plots and Monte Carlo experiments are running a Stop button appears on the tool bar Clicking the button opens a choice box with the choice of aborting the run or continuing Note there may be some delay before the box opens 5 If a panel data set is loaded the program switches to Panel Data mode and the Space Shuttle and Running Man are automatically omitted from the button bar Modelling options are selected from the Linear Regression and Panel Data dialogs in this case 1 3 The Results Window The text area is editable Comments and aide memoires can be typed in and saved
122. crete Fourier transform Set c 2 Note the jth periodogram point for j 1 T 2 is the sum of squares of the jth row elements of these columns 2 Separate seasonal data into its seasonal components For example with quarterly data set c 4 If the first observation is from Quarter 1 then the first column created will contain the Quarter 1 observations the second column the Quarter 2 observations and so on Vectorize Columns Arranges the selected variables two or more into a single column by stacking the transposed rows The new variable is saved to a file For example use this command to create a single series from a table of monthly observations where the columns contain observations for each month and the rows correspond to years Note Use Shape to recreate the original table Set Sample Indicators Opens the data editing dialog showing a variable selectobs which initially has all observations set to 1 Change a value to 0 to indicate that this observation should be omitted from the estimation sample If an indicator set already exists this command allows it to be edited Note 1 Once this option has been selected an indicator variable named Iselectobs is saved with the data set and is enabled on re loading It can be edited in a spreadsheet program if desired 2 The indicator does not appear in the variable list but its values are displayed in the editing dialog following the observation number
123. ct it in the list and press Name ds To delete a stored matrix select and press Delete Notes l Created matrices can be of any dimension and composition For a square symmetric moment matrix choose matching lists of row and column variables Ze To compute a square symmetric matrix simply choose the row variables and press Evaluate If no column variables are selected these are set to match the row variables automatically 3 To see the list of matrix descriptions go to Help Data Descriptions while the Matrix Calculator dialog is open 4 Matrices are saved in vectorized form as spreadsheet columns with the first two elements containing the row and column dimensions The files can be edited in the usual way in Excel or other spreadsheet packaged or by loading them in to TSM as data files 5 Saved file names are given the prefix MAT_ by default Files whose names have this prefix can be dragged and dropped into TSM and will be opened as matrix files 73 James Davidson 2015 EDITING MATRICES To view a matrix in the editing box double click its name in the list or select it from the list and press View Edit The following operations are available gt Double click a cell to edit 1ts contents Save the change by pressing Enter or clicking another cell discard the change by pressing Escape To paste cell entries via the clipboard first type them in the Results window or a text file separated by spaces
124. ct to the state space framework for prediction or filtering or to be incorporated into a new model MODEL DIMENSIONS The scroll bars allow the setting of AR and MA orders the seasonal frequency and the number of post sample forecasts to be computed 6 If no model with preset features and estimable parameters is specified the State Vector scrollbar is enabled allowing the manual formulation of a state space model of the indicated dimension If any model features are selected this scrollbar is disabled MATRIX EDITING A state space model is defined by up to seven matrices which can be either set up by the predefined SsfPack functions and parameter values or entered directly in the editing box Following the notation in the SsfPack documentation these matrices with dimensions indicated where m number of states and n number of variables are Phi transition matrix m n xm Omega variance matrix m n x m n Sigma initial state m 1 xm 77 James Davidson 2015 Delta f intercepts m n x 1 Indicators for time varying components of Phi Omega and Delta having the same dimensions are J_ Phi J Omega and J_ Delta These matrix elements when present are set either to 1 or to a number indicating the column of the regressor matrix containing the requisite time varying component Note The regressor matrix is assembled from the selected columns in the variable list in the same order as they
125. d To return the eigenvalues of a matrix x as a column enter the formula dia eig x The inversion and Choleski decomposition functions result in errors if the arguments are not nonsingular or positive definite respectively The scalar outputs from det tra and nrm are printed in the results window but are also saved as 1x1 matrices 3 16 SsfPack State Space Modelling Note This option needs SsfPack 2 2 to be installed See Appendix A for details This dialog sets up models for estimation and evaluation using the SsfPack Basic 2 2 suite of state space functions For information on the model options and interpretation of the outputs consult the SsfPack documentation 75 James Davidson 2015 Univariate models can be constructed and estimated by maximum likelihood using the SsfPack routines for ARMA and unobserved component models In addition models can be formulated by constructing the state space matrices directly using the handy matrix editor In the latter context both univariate and multivariate models can be handled although not estimated Model specifications and estimates can be stored and retrieved using the Model Manager in the same way as for regular TSM models Model outputs including state and signal predictions and forecasts conditional means and standard deviations smoothed states disturbances and simulations are written to the data matrix for display using TSM graphics or for further analysis si
126. d and deselected with the mouse Notes l In model specification dialogs the choice of radio button may determine the interpretation of list selections The correct sequence of actions is Click the radio button to select the type of variable id Click list items to select deselect them To avoid unintended choices it is a good practice before launching an estimation run to click each radio button in turn and note which variables are highlighted in the list for each case 2 Choice widgets are similar in function to radio buttons convenient for larger numbers of alternatives The widget shows the current selection in the window Click the down arrow to display the list which can be scrolled if necessary then click the desired selection 3 Lists are equipped with vertical scroll bars when there are more items than can be displayed at one time Drag the bar to bring them into view Horizontal scrolling allows long names to be viewed On occasion Java can fail to display the scrollbars correctly If this happens try closing and re opening the dialog or just drag on the list to scroll it 4 In some cases e g selecting the dependent variable only one list selection is allowed at a time In others multiple selections are allowed Clicking a name has a toggle action select when unselected deselect when selected In some dialogs double clicking a list item simultaneously selects the item and launches the appropriate action on it
127. d If the Fixed box is checked and both bounds are 0 then the parameter in question is simply held fixed when the grid is drawn If three or more parameter are both fixed and have bounds set the first two encountered are the plotted parameters The others are just treated as fixed in the usual way 117 James Davidson 2015 15 The number of grid points must be set in the Options Optimization and Run dialog The number is counted from zero Thus if the bounds are 0 and 1 and it is desired to evaluate at intervals of width 0 1 enter 10 in this text field The likelihood will then be evaluated at 11 points 0 0 1 0 2 1 WALD TESTS AND LINEAR RESTRICTIONS 16 17 18 19 20 To compute a Wald test of joint significance enable Wald Tests in the Model Linear Regression dialog or Parameter Constraints in the Model Dynamic Equation dialog Then check the checkboxes of the variables to be included in the test If the option to test joint significance of the regressors is selected these are included automatically and do not need to be checked her Any additional parameters checked here will be added to the test set To compute a Wald test of linear restrictions Rb c or impose these restrictions in estimation the number of restrictions and the elements of c must first be entered in the Model Constraints dialog Then refresh the Values dialog and enter the columns of R 1 e the rows of R transposed
128. d allowing the centring to be achieved by the equation intercept This is a backwards compatibility option suspending the change made to the EGARCH model specification in release 4 32 08 06 14 8 7 Options Optimization and Run OPTIMIZATION SETTINGS BROYDEN FLETCHER GOLDFARB SHANNO BFGS ALGORITHM 1 The options Maximum Number of Iterations Iterations Print Frequency Strong Convergence Criterion and Weak Convergence Criterion are set to their Ox defaults with the value 1 They will not normally need to be changed Printing of the current position and gradient is performed every N iterations where N is the print frequency This output is under the control of the Ox routine and will not appear in the TSM results window It goes only to standard output meaning either the console window or OxEdit Give Win output depending on operating mode Set frequency to 0 for no printing 169 O James Davidson 2015 3 Due to rounding error the efficiency of the search algorithm can be sensitive to large differences in scale between parameters This can be due to inappropriate units of measurement for example Setting the Parameter Rescaling Factor to 1 adjusts parameters to have a similar order of magnitude based on the starting values hence this setting alone will not have any effect with default starting values However setting to a value greater than 1 scales all parameters up to limit rounding error The value of 10 appears to
129. d formulae Whatever optimization method is used success can greatly depend on the good choice of starting values Some packages implement elaborate schemes to choose starting values automatically for specific models such as ARIMAs but this type of strategy is difficult to combine with a wide range of models TSM implements a number of basic strategies but these cannot entirely replace the user s initiative in exploring the parameter space to achieve successful optimization A limited number of steps using the simulated annealing SA algorithm are optionally taken with a view to getting good starting values for the BFGS gradient based algorithm This option is selected by default but switching it off may speed things up if the estimation criteria are well conditioned SA uses randomization to decide on successive steps and with a multi modal criterion function it is possible for successive runs of the search algorithm to converge to different points from the same initial values Running SA for a limited number of steps before starting BFGS has the effect of randomizing the BFGS initial values Repeating an optimization run from different starting points or with different algorithm settings is in any case always a sound strategy The program makes a maximum of two attempts to perform an optimization where the second attempt uses the default starting values If both attempts fail there are several program settings that may assist 7
130. d in a model the sample period is automatically truncated as necessary to exclude NaN observations PERIODIC OBSERVATIONS AND DATES 7 If provided date information years quarters months etc is used to label graphs and printouts and is presented in the Setup Set Sample dialog for selecting the sample Ox dating information is used by default This is the first column of any spreadsheet file saved by TSM and has the format Year Period This format is suitable when the data have a regular periodicity but if other dating schemes are used thus column is ignored and can be deleted from the spreadsheet if desired For data sets other than panel data there are three ways in which the user can create dates Year Period Enter information on the start date and the periodicity and let TSM generate the dates which are saved in the default Ox format This is the best scheme for annual quarterly and monthly data where the periodicity is fixed id Calendar Dates Create a literal date series in the data file using the yyyy mm dd date format This is the best scheme for daily data where the periodicity is irregular due to week ends and holidays id Date Labels These are arbitrary numerical values which need not be increasing or regular stored as a special series in the data file These are suitable for irregularly spaced data and historic long period data series Note If a file contains more than one type of date informa
131. d in columns starting in column 2 with the first row of the spreadsheet containing the variable names 2 HOW TO PLOT DATA SERIES Click with the mouse on the variable list in any open dialog Click the Chart button on the toolbar to display plots of all the highlighted series on the list Clicking the Chart button without first clicking a variable list opens the Graphics Show Data Graphic dialog 3 HOW TO RUN A SIMPLE REGRESSION Click on the regression scatter button to open the Linear Regression dialog In the Select Estimator box choose Ordinary Least Squares the default Choose the dependent variable from the list and highlight the name by clicking on it with the mouse At most one name can be selected at once Note that the radio button is highlighted to show you have made a selection In the Select Regressors panel click on the Type 1 radio button Then select the regressors from the list as for the dependent variable Any number of names can be selected The radio button is highlighted Click the check box for Intercept and if appropriate for Trend To ensure your selection of variables is as you intend it s a good idea the click alternately on the highlighted radio buttons Note how your selections on the data list are highlighted in turn Click the Go button in the dialog or the Running Man or Calculator buttons on the tool bar All have the same action in this case The results appear in the wi
132. d in the programming manual To see what your current set of non default options looks like in coded form give the command File Settings Display Save Text and inspect the listing created The reverse operation is also possible Write out a set of coded commands in the TSM launch file and these options are then set when the GUI program is started This provides an alternative way to set and maintain your list of favourite program options 3K K 2K 2 K K K K 2k 3K 2K 2 2s K K K ok Modelling with TSM ao k 2 k k kk k k k k 9 TYPES OF MODEL There are two main model specification dialogs called respectively Linear Regression and Dynamic Equation The regression scatter and space shuttle toolbar buttons give direct access to these The latter can be optionally hidden to simplify the interface if these features are not being used Linear Regression is used to specify linear models for estimation by a closed form expression or at most a fixed finite sequence of calculations These include OLS 2SLS SUR and 3SLS Although linear regressions can also be specified in the Dynamic Equation dialog its special role is to set up nonlinear dynamic models All estimation in this dialog even of linear models is done by optimizing a log likelihood or other criterion function numerically using the BFGS and or simulated annealing algorithms Model choices include Gaussian Student t and GED continuous distributions binary logit a
133. ded variables Identified structural cointegrating relations must belong to this set If the cointegration hypothesis is not rejected estimates of the vectors are reported with asymptotically valid standard errors and Phillips Perron statistics for the corresponding cointegrating residuals There is the option to specify a single test of the hypothesis that the cointegrating space contains an element subject to specified zero restrictions When the radio button for this option is selected the variable list shows only the currently selected CIVAR variables Select a subset of these to test the hypothesis that they form a cointegrating subset Scroll bars allow setting the number of additional lags in the CIVAR and also the cointegrating rank to be assumed for computing the beta matrix of cointegrating vectors This setting is taken as given in the MINIMAL analysis See Davidson 1998a for details of the rule of thumb adjustment to the chi squared critical values 3 12 Setup Monte Carlo Experiments This dialog provides the options to set up and run one or more simulation experiments To make use of it there should normally be at least one model stored using the Setup Model Manager dialog If two different models are stored one can be used to generate the artificial data and the other to specify the estimation allowing a flexible approach to misspecification analysis x Select one or more Data Generation Models DGM
134. del is stored These are coded in the scripting language detailed in the programming manual This provides a convenient way to check that the model specification is as intended Note If either the Semiparametric Long Memory or the Cointegration Analysis dialogs are open when the Store command is given the settings written relate to those modules otherwise the usual model settings are written 18 You can type your own comments in the model description field However these will be saved with the model only if Automatic Descriptions is unchecked To save the model settings and personal comments together save the model first with Automatic Descriptions checked then add your comments and save again with the option unchecked 19 Ifthe Print Descriptions checkbox is checked the model description if any is written to the results windows when the model is loaded DELETING MODELS 20 When a model is deleted the associated tsd file is deleted from the disk Also note that these files are overwritten when a new model is stored with the same name 21 There is an option to remove all the tsd files automatically at shutdown Their contents except for Monte Carlo results can be regenerated by running the command Evaluate at Current Values with appropriate options set 4 2 Model Linear Regression This dialog is for specifying a linear equation for estimation by Ordinary Least Squares OLS or Instrumental Variables IV 2S
135. dent t df Make Uniform Uses the built in random number generator to create series of independent observations with the specified distribution Make PDL Creates polynomial distributed lag variates see Models and Methods for details for highlighted variable s with lag length specified by the scroll bar Five new variables are created corresponding to terms of order 0 up to 4 in the lag polynomial Delete any unneeded cases Make NaN Creates an empty variable into which data can be entered in the editing spreadsheet Useful for importing a new variable in conjunction with the clipboard pasting option Reverse Data Operates on the whole data set listing the observations in reverse order Sort Data By Operates on the whole data set sorting the observations according to the 50 O James Davidson 2015 ascending order of the highlighted variable Don t select more than one If two or more are selected only the last choice is effective Undo Sort Reverses the action of the Reverse Data and Sort Data By commands restoring the data set to its original order Shape Re assembles by rows a data series of length T into c columns of length ceil T c where c gt 1 is selectable In case T is not divisible by c the columns are padded to equal length with zeros and then with NaNs to fill the rest of the data matrix Uses for Shape include the following 1 Separate the real and imaginary components of a dis
136. dialog but is suppressed in the output This allows equation specific parameters to be named distinctively 104 James Davidson 2015 VARIABLE NAMES ki These can be spelled out in full or replaced by the short form x i where 1 is the position of the variable in the list starting from 0 The line numbers are displayed in the variable list in Models Dynamic Equation whenever the text field is open A Under the Equation coding option select the dependent variable s in the Model Dynamic Equation dialog first Unless the formula fields already contain formulae press Clear to delete these opening a field will automatically insert the variable name and ready for the rest of the formula to be typed SIMULATING CODED EQUATIONS Any coded functions of Equation type can be simulated Normally the generated disturbance is added to the coded function to simulate the dependent variable However a special feature available for simulation models is to include the disturbance as a coded component which can therefore be transformed or enter the model nonlinearly dd After selecting Equation in this dialog represent the disturbance by the reserved name W or W j for lagged values See 1 5 General Entering Formulae for further details If the reserved name W appears in one or more equations of a model shocks are not added to any coded function s Therefore in a multi equation model every equation must have its shock inc
137. discrete distribution contain an autoregressive component With this option the argument must depend on regressors of Type 2 typically including the lagged dependent variable The autoregressive parameter s appear in the output with a 2 prefix and 166 James Davidson 2015 the order of the autoregression matches the lag set forType 2 regressors Fine tune the number of included lags by fixing parameters at zero in the Values Equation dialog Zero inflated discrete models allow for an excess of zero observations relative to the distribution specified The probability of a zeros regime generating the observation is controlled by an auxiliary distribution Gaussian for the Probit logistic for the Poisson or negative binomial If this probability is fixed the distribution quantile is an additional parameter appearing in the Values Distribution dialog with a prefix 3 If the quantile is varying depending on regressors these are specified as regressors of Type 3 in the Dynamic Equation dialog and are reported woth a 3 prefix in the output The auxiliary distribution can be dynamic and can contain an autoregressive component as in 6 above To select this option go to Options General Special Settings and set Zero inflated discrete model to 2 The chi squared distribution can be used to define the probit latent variable with the degrees of freedom estimated as an additional parameter The value appears in the Values Distr
138. duct The functions inv gnv cho eig eve vec ver dia det tra nrm Notes l The first character of a variable or parameter name MUST be a letter from the sets a z A Z Ze The following characters can also appear in variable or parameter names 148 8 0123456789 lt gt A_ de Names are case sensitive E g Alpha ALPHA and alpha are all treated as different names 4 An alternative to typing a variable name in full is to type x i or X i where i denotes the number of the variable in the data list When the text field is 22 O James Davidson 2015 10 opened variable numbers are pre pended to names in the appropriate data list i e id In case A Setup Data Transformation and Editing In case C Model Dynamic Equation An alternative to typing a parameter name in full is to type a i or p i or A i or P i all forms are equivalent where i is the parameter number Parameter numbers are shown in the Values Equation dialog s The characters must NOT appear in names of variables or parameters Any other characters in particular spaces are ignored Use spaces optionally to improve readability WARNING Variable names generated automatically in Setup Data Transformation and Editing may contain illegal characters Rename such variables before including in a formula The sign to denote multiplication is mandatory omitting it will in general cause a syntax
139. e d lt 0 5 To simulate a nonstationary process replace d by d 1 and check the option Impose Unit Root in Model Dynamic Equation 2 The option is not available in conjunction with regime switching A type I process is always generated in this case 3 If the Presample data are held fixed in the simulations required in bootstrap and Monte Carlo forecasting estimates or imposed values of the presample shock components must be available The number of these to be included is set in the type I Fractional text box in Options General if the setting is zero the type II process is generated 8 5 Options Graphics Press the button Line and Symbol Styles to access a separate dialog for controlling the appearance of series graphs These options are described in Section 8 5a of this manual TEXT ATTRIBUTES l Select the font and size in points for titles axis labels and legends in exported files Note that the actual appearance will depend on the file type selected for export see Options Output and Retrieval 2 Gnuplot graphs always use the Arial font when initially displayed The text style for these graphs can be changed using the context menu accessed by clicking the top left corner of the window BITMAP DIMENSIONS 3 The dimensions of PNG and GIF bitmaps are selected by entering the numbers of column and row pixels desired The default is 640x480 If 0 is entered in the column row field the setting is auto
140. e Scatter Plot or Bivariate Density options are selected the first two highlighted variables in the list are plotted together the first on the list is assigned the vertical axis Y and the second the horizontal axis X Reverse the ordering if desired in Setup Data Transformation and Editing Edit Move Up Move Down If only one variable is highlighted with these options nothing is plotted Other options can be selected at the same time and will be displayed for all highlighted variables By default T 2 correlogram and partial correlogram points are plotted where T is the length of the selected plotting sample Optionally the number of points to be plotted can be set in the Setup Compute Summary Statistics dialog The effective number of plotted points is the minimum of T 2 and this selection provided if it is greater than zero and the option is selected NOTE Only the correlogram order is selected by this option To plot the actual points listed in Setup Compute Summary Statistics the samples selected in the two dialogs must match In a scatter plot the two regression lines Y on X and X on Y are superimposed by default Note that these both pass through and jointly 133 O James Davidson 2015 indicate the point of sample means The more nearly parallel these are the higher the correlation between the variables Unselect this feature in Options Graphics 10 Plotting options for the bivariate density can be s
141. e Values button is highlighted if two or more coefficients are restricted in any relation Ds With two or more Eq Rs note that this dialog specifies the variables to appear in all of them To create distinct relations exclusion restrictions fixing coefficients at 0 must be set up in Values Equilibrium Relations Note For consistent estimation the relations should satisfy the standard rank conditions for identification of a linear system 3 When Closed VECM is checked the lagged variables included in the VECM are the dependent variables LESS the fitted combination of Type 1 intercept and or Type 1 regressors See Models and Methods Section for 5 3 details of the specification Option C 4 The equilibrium relations are formulated as the function f5 in the Model Coded Function dialog Note that Residual format must be used no in the field This is the only permitted option when option C is selected in this dialog 5 When Coded Equilibrium Relations is checked and Equilibrium Relations is also checked in the Model Dynamic Equation dialog the 110 James Davidson 2015 Coded Function checkbox is disabled coded functions can appear either in the main equation s or in equilibrium relation s but not both at once The number of relations in the model is determined by the number specified in the Model Coded Function dialog This overrides the setting in this dialog Formulating the relations with enough
142. e been created and merged If the actual T is 150 a weighted average of the tabulated p values is returned with weight w 200 150 200 100 92 0 25 on the case T 100 and 1 w 0 75 on the case T 200 i e greater weight on the larger sample size than with a linear interpolation If T exceeds the largest tabulated sample size or is less than the smallest then the nearest values are used with weight 1 8 2a Options Tests and Diagnostics Diagnostic Tests Tests selected in this dialog are calculated automatically following an estimation run They can also be computed independently using current estimation outputs from the Actions Compute Test Statistics menu The main preset diagnostic tests are available in score test and conditional moment test versions Unless otherwise indicated the statistics by default are asymptotically Chi squared with degrees of freedom shown in parentheses The nominal p values of the tests are shown enclosed in braces following the statistic values F versions of the tests can optionally be substituted although note that these are not exact except in special cases Q TESTS FOR SERIAL DEPENDENCE Q tests for residual autocorrelation in levels and squares are printed after an estimation run by default The Box Pierce 1970 formula is used by default Check the Ljung Box radio button to use the Ljung Box 1978 formula or None to disable this option Notes 1 The upper limit
143. e components Estimate the simple model then add back the deleted components one at a time The estimates of the simpler model often provide the best starting values for those parameters in the more general one This stepwise approach to the optimum is often successful when an attempt to optimize the full model from the default initial values ends in failure 6 As a last resort try keeping a parameter away from illegal values by imposing inequality constraints Set them in Values after checking the checkbox for Parameter Bounds This won t work if for example the optimum is actually on the boundary of the feasible region In this case simply fix the parameters in question at the boundary values Conventional inference won t be possible on these parameters 7 The estimation output can be optionally printed in the event of non convergence but note the caution given on the Options Optimization and Run help page regarding the interpretation of these reported values 8 Switching regime models Markov switching and smooth transition models generally exhibit multiple maxima of the likelihood Good starting values and careful experimentation with different starting values is strongly recommended As a switching probability tends to 0 or 1 the likelihood becomes flat due to the logistic mapping employed and the algorithm can get stuck at these points Restarting with plausible probability values such as 0 9 0 1 in the 2 reg
144. e in in model estimation If this option is not set the default starting value for variances is automatically selected as unity The profile likelihood option concentrates out the variance of the irregular component thereby reducing the dimension of the parameter space When this option is selected the corresponding parameter is removed from the parameter vector for iteration and the solved value appears separately in the output When an ARMA model is specified without an irregular component the ARMA shock variance is concentrated out All Tasks except those involving likelihood evaluation optimization result in generated series being written to the data set These series are identified by coded mnemonics as follows as well as a Run ID usually relating to the last likelihood optimization PrdSt State predictions PrdMs Measured variable predictions FreSt f State forecasts FreMs q Measured variable forecasts U st Disturbances states U ms f Disturbances measurement eqn s sU st Standardized disturbances states sU_ms a A Standardized disturbs measurement eqn s MnSt SmoSt Conditional means states MnMs SmoMs Conditional means measured variables DsSt Disturbance means states DsMs E Disturbance means measured variables SimSt f Simulation of states Gaussian shocks SimMs Simulation of measured variables Gaussian shocks A prefix sd attached to any of
145. e of most of the panel data options presented in Panel Data By contrast all the methods set up in the Dynamic Equation dialog are estimated numerically although there are some cases linear models in which the resulting estimator is the same MODEL MANAGER Model specifications including fitted or imposed parameter values and other model outputs in graphical or listing form can be stored under a supplied name and subsequently retrieved from a list using the following commands in the Model menu More detailed control of model storage and retrieval is available through the Model Manager dialog Load a Model Opens a pop up menu listing models in order of last retrieval The default maximum number of list entries is 20 If the model required is not on the list access it though Model Manager Save Current Model Opens a text field where the name for the new model can be entered The current model name appears in the field for editing or confirmation If the name entered already exists in the model list a confirmation box opens with options Overwrite and Cancel Quick Model Save Saves the current model under the current model name without prompting Use this command to skip the naming steps under Save Current Model BUTTONS l The Values button either opens the corresponding Values dialog or refreshes it with new settings if it is already open If any parameters are fixed in this dialog the button i
146. e saving of program data in the file settings tsd See 2 3 File Listings and 11 Directories and Files Export bundles everything including the contents of settings tsd in a single file SETTINGS AS TEXT 10 11 The Display Save Settings command opens a choice box with the options of printing the text in the results window and opening the file dialog for saving the text In the latter case a txt file extension is recommended See the programming manual for details of the scripting language The Save Current Model command saves just the loaded model settings to a file To view these settings in TSM store the model in Model Manager with the Automatic Descriptions option checked then click the Model 31 O James Davidson 2015 Description button The main function of this command is to allow the settings to be imported into another instance of TSM using File Restart Load Text Input 12 The Save System Defaults command saves a file for loading at start up This options allows the user to control the state of the program set by the File Settings Clear All command or renewing the settings file Use the File Restart command to set up the system to read the designated file 2 2 File Data Data can be read and written in one of eight formats The format is specified by the file extension wow xls xlsx CSV in7 dht dta dat mat The available Open Merge
147. e text file will contain either a complete specification for the non default program settings or a complete non default model specification In these cases it is usually important to set the defaults before importing the new settings In the first case do this by setting the first line of the file to Set_Defaults In the second case set the first line of the file to Set_ModDefaults Failure to include one of these lines may lead to unpredictable results 12 Ifthe new settings include parameter values then the last line of the file must be set to Load_TextValues This function converts the new values to the internal program format If it omitted the new values will be ignored Note it is not possible to read in a subset of new parameter values and retain others Running this function resets all the parameters 13 The Restart Load Text Defaults option edits tsmod_run ox with permanent effect To restore the standard default settings edit the file and comment out the define TEXT DEFAULTS line The defaults file can also be modified in a text editor See the programming manual for information on text commands 14 Ifthe Restart command is given after editing the user s code resulting in a compilation error the program will fail to restart In this event check the console window for error messages TSM can always be restarted using the default shortcut if required This shortcut uses the unchanged copy of tsmod_run ox in
148. ean deviation form are insignificant when added to the GLS transformed equation The distribution is Chi squared with degrees of freedom equal to the number of regressors with large N 4 4 Model Dynamic Equation This dialog sets up the specifications for a dynamic model As well as setting the basic ARIMA and ARFIMA specifications as specified in equation 4 1 of Models and Methods it also specifies which additional model features will be activated ls Use the radio buttons to select an estimator The estimation criteria see Models and Method for details are O Least Squares Least Generalized Variance FIML Instrumental Variables GMM Conditional Maximum Likelihood with Gaussian normal errors Conditional Maximum Likelihood with Student s t errors Conditional Maximum Likelihood with skewed Student s t errors Conditional Maximum Likelihood with General Error Distribution Whittle frequency domain ML with Gaussian errors Probit and ordered probit Logit and ordered logit Poisson count data Negative Binomial I count data Negative Binomial II count data O O O O O O OOOOO X Use the scroll bars to choose the order of ARMA model Use the checkboxes to select the ARFIMA long memory specification impose a unit root select a nonlinear moving average see 16 below and include intercepts of Type 1 or 2 and a trend dummy Only one type of intercept can be selected at a time id Use the radio buttons to switch between
149. ecasts is adjusted to the default To include fewer than the maximum number of observations in the forecast period change this setting after setting the 152 O James Davidson 2015 6 estimation sample Ex post forecasts and forecast errors are displayed in the Actual Fitted and Residual plots The main purpose of this option is to check model stability Two test statistics are computed appropriate to short and long forecast periods respectively The chi squared short period test Forecast Test 1 is the generalization of Chow s 1960 second test and depends on the additional assumption of Gaussian disturbances under the null hypothesis The second test reported depends on the model In single equation linear regression models Chow s stability test statistic is reported choose between F and Chi squared forms by checking the box in Options Tests and Diagnostics In other cases where the need to re estimating the model for sub periods precludes generalizing the Chow procedure a difference of means test applied to the squared residuals and forecast errors This is asymptotically N 0 1 as both periods tend to infinity This is called Forecast Test 2 If it is desired to compute this statistic for the linear regression case simply open the Dynamic Equation dialog and select Actions Evaluate at Current Values MULTI STEP FORECAST METHOD 8 9 10 11 Two methods of computing forecasts and associated standard error
150. ect the option and choose the bootstrap sample size with the re assigned scrollbar Note 159 James Davidson 2015 l The option is cancelled if the resampling method is changed to Subsampling 2 The option is not available for models with exogenous variables 21 The bias correction option subtracts an estimate of the bias from each parameter point estimate This is computed as the difference between the mean of the bootstrap distribution and the point estimate estimating respectively the mean of the estimator distribution and the true value 22 The fast double bootstrap is a device aimed at reducing the error in rejection probability of bootstrap tests It is not guaranteed to improve performance in all cases but showing that test outcomes are invariant to this selection offers additional robustness RESAMPLING CONFIDENCE INTERVALS 23 Resampling allows true confidence intervals for parameters to be estimated Three schemes for 95 confidence intervals are implemented Equal tails 2 5 of probability mass in each tail but if the distribution is skewed the point estimate is not the mid point of the interval Equal tails percentile t intervals based on quantiles of the distribution of t statistics weighted by standard errors from the resampling distribution Symmetric percentile t intervals based on 95 quantile of the absolute t statistics centred on the point estimates but tail probabilities are unequal if the di
151. ectively Current values from lower numbered equations can appear in higher numbered equations otherwise are replaced by 0 Case C The variable names Z and z are reserved for use in nonlinear ECMs and are replaced by the values of the equilibrium relation In models with two or more equilibrium relations use Z 1 Z 2 to denote the values Case C The variable names W w and also W j w j where j represents a positive integer are reserved for use in simulation models These represent the random shock used to generate the series current and lagged j periods respectively In systems of equations the names W 1 W 2 etc denote the shock values for each equation NOTE Attempting to estimate a model with this option generates an error Equations in which the current shock enters nonlinearly cannot be inverted automatically To estimate a model of this type create the 24 James Davidson 2015 17 18 specification in a separate model Case C The variable names X i and x i where i gt 0 denotes the position of a variable in the data set as in 4 above cause the indicated variable to be over written by a column of standard normal random numbers before a simulation is run Leads and lags are accessed in the usual way by entering X i 1 etc When estimating a model with this option selected the is ignored and X i is equivalent to X 1 Case E The variable names S and s denote the
152. ed on 2log sin pi j T where T is sample size and M T gt 0 sj Broad band log periodogram regression Moulines and Soulier 1999 The log periodogram points for j 1 T 2 are regressed on 2log sin pi j T and P Fourier terms cosine functions of pi j T to approximate omitted short range components where P gt infinity but P T gt 0 Local Whittle Gaussian maximum likelihood Kunsch 1987 Robinson 1995 Maximizes the frequency domain Gaussian likelihood as function of d using the first M periodogram points where M T gt 0 6l James Davidson 2015 The outputs from this option includes point estimate asymptotic standard error and t test of significance Notes 1 To run the estimation select a variable or variables from the list and press Go Multiple selections are permitted and will be computed in succession Alternatively just double click on a variable in the list 2 The series may be either differenced or detrended by regression prior to computing the periodogram Choose option with the radio buttons 3 Press Sample to select the sample for estimation Sample 3 This is stored independently of the sample selection for other program functions but is shared with Nonparametric Regression and can be set in either dialog See Setup Set Sample for details 4 For the GPH bandwidth and trim options and MS Fourier terms the power of T being selected to nearest integer below is shown as
153. eeeeeceeseneeeeesseenseenaes 145 DIAGNOSTIC TESTS A E E EA E EEE 145 COVARIANCE MATRIX FORMULAE 2 0 ce eecceceseceeeceseeeeseeeceeeeeaeeceeeeeeaaeceeeeeaaeceereeeneeees 145 HAC KERNEL FORMULAE AND BANDWIDTH cooooccnoccnoconononcconnnconnnnonccnnnnnoncccnnncnonccnns 146 MODEL SELECTION CRITERIA c sssssscssssssveccesscnvsccensssnssesensscsvsccsnssssnscsenasessscsensesns 146 SUPPLYING AN EDF FILE FOR P VALUES 1 0 cceeceeneeeeseceeneeceaeceeneecaeceeneesnaeeeenees 146 8 2a Options Tests and Diagnostics Diagnostic Tests oonnoconoccniocnnoccconnonnns 147 Q TESTS FOR SERIAL DEPENDEN GE erenn a a ia 147 SCORE EMIEST 5 lolo AS 147 CONDITIONAL MOMENT CM TESTS cecccessesseesseeseeseeeeeeeseeeeeeeeeeeeneesseenaeenseenaeenaes 148 RESIDUAL BASED TES IS contada split 149 OARS INADI PAGNO NAN LOA A ESA o EEEE is 150 CONSISTENT SPECIFICATION TESTS 1 0 eeeceeeecsseceeeeeceeeeeeeeceaeeeeeeeceaeeeeaeeceaeeseneens 151 8 3 Options FOLECAS tiie ui td dd A E on eae dies 152 FORECASTS e etone tep ts shasta E tias 152 FORECAST TYPE cuina easeocecvotteeyecosiegnexcsbessecddious sos geoti E E EEE AEE Y 152 MULTI STEP FORECAST METHOD 0 000 cececeeneeesseeeececeseeeeacecaeceeaeecaeeeeaeeceaeeseneeee 153 MONTE CARLO SETTINGS esoo oye cesdbatevestnstavecsostecsecunecectobeveevbonavees 154 ACTUAESTIN FORECASTPLO Tostadora 154 STANDARD ERRORS AND CONFIDENCE BANDS 1 cee eecceeseceseceeeeeceaeceeeeecnaeeeeees 154 FORECAST ERROR VARIANCE DECOMPO
154. eereeenaeess 174 DEFER EXTERNAL JOBS diia dadas liada 174 LOAD MULTIPLE DATASET Sienie niie ietan n ei 174 ASSIGNABLE TOOLBAR BUTTONS ccc ceeccessecesneeesseceeeeecaeceeeeecaeceeneecsaeceeneeeaeeenees 174 SPECIAL SETTINGS acia A aia data 175 A e ea is e e dd 176 USERS MANUAL a e o cad al e ates 176 VIEWTEXT FIELES ctra ls lidad lanos Islandia aliens 177 DESCRIPTO NS ss naaa 177 REGISTRATION N E ai 177 10 Interpreting the Outputs A tert oder avaues Seen 179 PARAMETER LABELLING wiicssscccscesssscceseseonstsscivelecoouncuavecdveddesvetenses coves EE E AEE 179 PARAMETER ROOT TRANSFORMATIONS 1 0 0 ceeecesscesececseeceeeeeceaeeeeeeeceaeeeeaeecsaeeeeneeees 179 STANDARD ERRORS TEST STATISTICS AND P VALUES oseese 180 SELECTION CRITERIA AND SUMMARY STATISTICS ce ceeceesseeeceecsseceeeeeeneceenees 180 CONVERGENCE ISSUES uso alteren cote rinitis elites 181 GRAPHICS FOR REGIME SWITCHING MODELS oddccococcnoccnonononnncnnonncnnnnonnnocnnnncnnnacnncnnns 181 BOOTSTRAP AND SUBSAMPLING P VALUES dcococcconoccnoncconnnconnnnonnnconnccnnnncnnncconnncnnncnnns 182 A e etaces cuatacinsjascestsdan sages a an a a T 183 DIRECTORIES Windows folders cccesccescssseesseesseeseceecseecseeeneeeeeeseeeereneeenseeneeneenseenaes 183 FILE Siea ar e a A A A EORR 183 FILE TYRES cui E aera else ea aaa ake Tages 184 12 Hints and TIPS sise a e ea aa rt dot ada 186 NUMERICAL OPTIMIZATION ree tne a aaea k E E E aA TEE aE a 186 CHOICE OF SYSTEM ESTIMATORS 1 0
155. el dates automatically Saved panel data sets contain an Ox dates column but this is ignored by TSM when the file has the format specified above Individuals in a panel may be identified by names instead of numbers See 27 below for details To load a panel data set conventionally for example so as to estimate time regressions for individuals one at a time simply load the file as a spreadsheet see below delete the guide columns and save the file under a different name SPREADSHEET EDITING 24 25 26 27 Use this option to edit a raw spreadsheet or data file TSM functions in this mode as a simple alternative to Excel or equivalent spreadsheet program This mode is chiefly useful for setting up series of calendar dates date labels and indicators and also for preparing files in panel data format When a data file is loaded by this command the data editing dialog opens automatically and all other program functions except data graphics are disabled Guide series that are normally concealed from the user having special names enclosed in pairs are visible and can be created and changed as required When the dialog is closed the file is processed in the usual way and TSM then functions as normal In spreadsheet editing mode but not otherwise rows of the data matrix can be deleted or inserted at the position of the selected cell Use the Insert Row and Delete Row buttons that appear in the left hand p
156. elected in Options Graphics The options that can be selected are A Contour Surface Both in 3D Plot Type Density Histogram and Normal in Distribution Plot Options 11 The sample of observations selected for plotting Sample 5 is independent of the samples set concurrently for other program functions See Setup Set Sample for details If data are missing for part of the specified period nothing is plotted for these observations MULTI SERIES PLOTTING This option allows up to 8 series to be plotted on one graph with line styles selected by the user All the series representations except Histogram Density and the bivariate plots can be drawn using this option It gives the user more control over plotting styles and allows multiple series plotting without changing the basic setting in Options Graphics Check the Multi Series Plot Checkbox s Choose a line style 1 8 using the radio buttons and then a variable from the list at most one variable can be selected for each style Repeat for up to 8 series bi Press Go Notes 13 The Centre and Standardize checkboxes allow the variables to be relocated and rescaled for comparability Centre subtracts the mean and Standardize also divides by the standard deviation 14 The RH Scale checkbox is enabled when two or more series are selected If checked the series with the largest line number is plotted against the right hand axis If more than two series are
157. els in Setup Data Transformation and Editing Edit The series is not visible on the variable list but appears in the dates column when series are listed and is saved to a spreadsheet file with the data If files with date labels are merged in TSM the dating information in the files is merged Labels from the merged file replace existing labels when both exist Otherwise missing labels are replaced by zeros 35 James Davidson 2015 PANEL DATA 16 17 18 19 20 To load a panel sample the data file must be formatted according to the following specifications The data for each variable must be input as a single column The observations on individuals should appear in row blocks with the dated observations in date order within each block Panels can be unbalanced with different start and finish dates for each block A date must take the form of either a year or a period or a year period quarter month etc Dated daily data are not supported Panels can also be irregular with missing periods as well as different start finish dates However irregular panels must have a seasonal frequency of one years or periods The year period format is not supported The file must contain the following guide columns They can appear anywhere in the file id A column with the name PANEL or equivalently INDIVIDUAL in the first row This contains the individual identifiers The same number or text string see
158. en the regimes However note that in a test for no differences between regimes test for number of regimes the switching probabilities or ST parameters are unidentified under the null hypothesis This is a well known testing pitfall and the standard tests don t apply MARKOV SWITCHING 4 If Estimate Regime Differences is selected with Markov or Hamilton switching then rows 2 M of the Markov transition matrix are likewise expressed as differences from row 1 This allows a test of the hypothesis that transition probabilities are independent of the current regime In the Markov and Hamilton models both the matrix of estimated transition probabilities p ji and the unrestricted parameters t_ ji with standard errors are reported in the output The latter are labelled Logistic of P j i See Models and Methods for details In Hamilton s model the Intercept selection in Models Dynamic Equation is ignored The intercept is specified as shown in Models and Methods Section 8 3 Analytic forecasts are available for the Markov switching models However the number of calculations needed to compute the multi step forecast 2 standard error bands increases exponentially with the number of steps and can become excessive Standard error calculations are terminated after 100 seconds has elapsed and only the point forecasts are reported for further steps A warning message is printed in this case The SE bands can also be omitted
159. en twice in succession the second run uses the efficient weights matrix estimated from the current residuals This iteration can be repeated as often as desired The form of the weights matrix used depends on the Covariance Matrix Formula setting see Options Tests and Diagnostics either standard robust allowing for heteroscedasticity or HAC If the Gaussian ML Student t ML or GED ML estimation options are selected the error variances and contemporaneous correlations are estimated as additional parameters The variances may be modelled by ARCH and other processes by selecting the Conditional Variance Model feature These parameters variances and correlations can also be subject to regime switching If current endogenous variables are included as Type 1 regressors the FIML variant of the LGV and ML estimators is automatically selected That is the log determinant of the square matrix of coefficients is incorporated in the maximand Suitable identifying restrictions must be imposed on the coefficients for this option to proceed The coefficient of the normalized variable in each equation is automatically fixed at 0 in this case Note Endogenous variables specified as Type 2 regressors are ignored If lags are specified only the lagged values are included In a system coded functions see 4 6 Model Coded Functions may not be simultaneous only one endogenous variable may validly appear in each function However coded funct
160. eneralized cointegration model In this case the cointegrating variables may be fractional differences of the measured variables See Models and Methods for details The checkbox labelled Diffs Spec n for FI amp ECM Pars controls the option of estimating certain parameters in equations 2 N as the differences from the corresponding parameters in Equation 1 The parameters in question are the fractional integration parameters d1 and d3 and the parameters of the nonlinear ECM adjustment mechanisms The option allows the restriction of equal parameters to be both tested and imposed in the latter case by putting the parameters for equations 2 N to zero and setting the Fixed checkboxes in the values dialog NOTE It is not necessary to specify a fractional VECM to set this option It applies also to a regularly cointegrating or non cointegrating VARFIMA model and also to the fractional lag parameters of a system FIGARCH 111 James Davidson 2015 or HYGARCH specification 14 If Impose Unit Root is specified in Model Dynamic Equation the VECM is estimated with unit roots imposed in the short run dynamics while the Eq R s enter as lagged levels 4 9 Model Parameter Constraints This dialog sets options for imposing restrictions on the coefficients Three types of restrictions can be set up a zero restrictions b multiple linear restrictions and c general restrictions specified as coded formulae In case
161. ent variables in any list allowing multiple selection Select a variable as usual then put the mouse pointer on another variable and drag briefly hold down the mouse button while moving the mouse These actions select all the names in between De selection works the same way The option can be switched off in case it fails to operate smoothly on particular systems Tool tips appear by default when the mouse pointer is passed over the tool buttons These can be optionally switched off 172 James Davidson 2015 The default font size of 12 points should suit most monitors but can be changed This setting also effects the help pages whose widths are increased to accommodate the larger text The results window is resizable by dragging the corner with the mouse The results window background can be either white or tinted to make the TSM window easier to locate on a crowded desktop or simply easier on the eye The button cycles through five preset choices white red green blue gray and a user selectable color The latter yellow by default is set by editing the file tsmgui4 h and changing the RGB values in the function Get_TextAreaBG OPERATIONAL SETTINGS 10 11 12 13 14 Saving model settings in Model Manager can always be done manually but the option Save Model After a Run saves model settings and results automatically after each run Enabling this option allows an earlier estimation run to be re created
162. er test X Lag selection in the Stock Watson Saikkonen augmented least squares estimator for cointegrating relations The radio buttons allow a choice of the Akaike Schwarz and Hannan Quinn criteria for these purposes SUPPLYING AN EDF FILE FOR P VALUES Check the box Use EDF from File for p Values if tabulations of test distributions has been created by Monte Carlo simulation of the null hypothesis The currently loaded EDF file is used to supply p values for each test for which a tabulation exists in the file In the case of significance tests t tests the parameter s name must match a name in the file Notes 8 P values taken from the EDF are marked with a in the output 9 See Setup Monte Carlo Experiments for details of the EDF file format 10 EDF files can be read and plotted in Setup Look Up Tail Probability and Setup Look Up Critical Value To read off a p value type the test statistic into the first Tail Probability dialog 11 EDF files are spreadsheet files They can be loaded as data files inspected and merged in TSM 12 If tabulations for several sample sizes are created these can be merged into a single EDF file Use the command File Data Tabulations Merge EDF 146 James Davidson 2015 File to merge a file on disk with the one resident in memory These tabulations will be used to calculate p values by interpolation For example suppose tabulations for T 50 100 200 and 500 observations hav
163. erating conventions to first time users 288 K 3K 28 2K K K K 2k 3K 2 2 2s 2K K ok Working with TSM 388 K 2K 2K 2K K K K K 2 2 3K 2s 2K gt K ok 1 ENTERING DATA Regression packages often have their own proprietary database formats and getting data into them from different sources can be troublesome By contrast TSM reads either ASCII files or spreadsheet files directly It works smoothly in conjunction with popular spreadsheet programs such as Microsoft Excel and also OxMetrics It can itself merge datasets with different start and finish dates and use and display date information including daily dates in Excel format It offers flexible single observation editing series transformations and dummy creation capabilities 2 MENUS AND DIALOGS TSM is operated in Graphical User Interface GUT mode by setting the options in a number of dialogs These can be opened from the menu bar or by shortcut buttons on the tool bar Some operations can be performed in several different ways For example an estimation run can be launched from the menus from the Running Man toolbar button and also from the Go buttons in several dialogs The action of the toolbar button can vary depending on the dialog currently open 3 COMPUTING ESTIMATES TESTS AND FORECASTS The basic method of operation is as follows 1 Specify the calculations and settings desired using the Setup Model Values and Options menus 2 Launch the estimation module u
164. ering Formulae for details Note that this is case D Simple Bootstrap Block Bootstrap randomly resamples the actual residuals with replacement The resampled series is centred and multiplied by a variance correction factor sqrt n n k The block bootstrap is implemented by choosing a block length gt 1 Stationary Block Bootstrap is like the block bootstrap except that the blocks have random lengths drawn from the geometric distribution Wild Bootstrap preserves the heteroscedasticity of the original sample Instead of randomly resampling the data are randomly transformed by a drawing from a two point discrete distribution The Fourier bootstrap resamples from the discrete Fourier transform of the residuals using the Rademacher wild bootstrap and returns the inverse transform of the resampled series An alternative to the 156 James Davidson 2015 sieve AR suitable for Gaussian homoscedastic residuals showing generalized autocorrelation si Data Resampling is only appropriate for serially independent data cross section data in general Observations both dependent and explanatory variables are resampled randomly with replacement from the specified range of the data set Click Set Range to open the Sample Setup dialog and select the sampling range Any bootstrap option can be combined with the sieve autoregression in which the resampled series are passed through an autoregressive filter fitted to the
165. error The exception is where it would follow transposition symbol Numeric constants can contain the symbols 0123456789 The symbol decimal point may appear ONLY as part of a numeric constant An isolated is parsed as the number 0 Constants are nonnegative A leading minus in any formula is parsed as a unary operator and changes the sign of the operand Definitions of special functions atn x arctan x sgn x 1 if x lt 0 1 otherwise pos x x if x gt 0 0 otherwise neg x x if x lt 0 0 otherwise int x integer nearest to x flr x largest integer not exceeding x Indicators ips x 1 if x gt 0 0 otherwise ing x 1 if x lt 0 0 otherwise izo x 1 if x 0 0 otherwise imi x 1 if x NaN missing observation 0 otherwise These functions are not differentiable so may not be used in parameter constraints This results in a parsing error Also note pos x y y max x y neg x y y min x y x y flr x y x mod y x y integers 1 ips y x 1 ify lt x 0 otherwise etc etc Other uses include creating period dummies If t is an integer dummy neg pos Trend t 1 1 0 up to date t 1 from date t onwards 23 James Davidson 2015 11 12 Reminder the following uses are mandatory Parentheses for function arguments and sub formulae id Square brackets for parameter variable numbers Braces for lags and le
166. es to the current Results folder This allows several different licences to coexist on the same workstation if each user maintains a different Results folder By default the Results folder is the start in folder specified in the short cut used to start the program However this location can be changed e g by the command File Results Locate Results Folder and new location is saved in settings tsm If the settings file is subsequently deleted it will be necessary to either restore the Results location or move the licence file 177 James Davidson 2015 11 manually to the new one TSM reads the licence file at start up and looks for it in the current Results folder first If it is not found there the program looks in the TSM Home directory If a licence file exists in the current Results folder it will take precedence and any licence file stored in the TSM Home directory will be ignored To see the latter registration change the Results folder 178 James Davidson 2015 10 Interpreting the Output PARAMETER LABELLING 1 The symbols AR1 AR2 MA1 MA2 are used to label the ARMA coefficients in the output The prefixes GARCH EGARCH or APARCH as appropriate are appended for the conditional variance coefficients in the default case of the ARMA in squares parameterization For the standard Bollerslev parameterization AR and MA are replaced by Alpha and Beta respectively These no
167. est of I 1 Elliott Rothenberg Stock 1996 P feasible likelihood ratio test of I 1 59 James Davidson 2015 Robinson s 1994 semiparametric estimator of d is also computed See Robinson Anns Stat 22 515 539 The statistic corresponds to eq 4 2 of the paper with lamda_m 2 pi n 0 35 and q 0 5 Notes 1 Check the Detrend box to compute the statistics for the series after detrending by OLS 2 Check the Differenced box to compute the statistics for the differenced series in addition to the undifferenced series 3 Choose the order of correlograms of the series and squared series with associated Q statistics using the scroll bar If this is set to 0 no correlograms are computed Choice of Box Pierce or Ljung Box Q test variants is selected in Options Tests and Diagnostics 4 Check the Data Correlations checkbox with Correlogram Order set to 0 to see the contemporaneous correlation matrix of two or more series In this case no other statistics appear and the I 0 and I 1 test checkboxes are grayed out If only one series is selected with this option set no output is produced 5 Check the Data Correlations checkbox with Correlogram Order set to a positive value to compute the correlograms and cross correlograms of a pair of series Denoting the selected variables as X and Y respectively the four columns of the table show for lags j gt 0 7 The autocorrelation sequences Corr X_t X t j a
168. esults for future study The complete set of replications or the frequency table if this option is selected can be also exported to a spreadsheet file for further analysis Give the command File Listings Export Spreadsheet Monte Carlo Replications The distributions can also by displayed graphically The command Graphics Monte Carlo Distributions opens a dialog to select and display the empirical densities of each parameter test statistic and p value These are optionally displayed in both histogram and kernel density form The normal curve with matching mean and variance can be optionally superimposed for comparison see Options Graphics See 7 3 Graphics Monte Carlo Graphics for further information about creating plots including the ability to combine density plots from different experiments for comparison RUNNING AN EXTERNAL PROCESS 28 29 Check the Run as External Process checkbox to launch the run as a batch job in a console window This option allows the TSM GUI to remain under the user s control for other tasks while a long Monte Carlo job is performed A temporary executable Ox file is created to be run in batch mode in a console window The file has the generic name Batch_Run ID ox where ID denotes the run ID number The file is deleted at closedown if Delete Temporary Files on Exit is checked in Options General When the run is completed the results are sent to a text file with the generic na
169. ext and Previous buttons If no function is specified for a variable enter 0 in the corresponding field While linear simultaneous equations systems can feature coded components set the matrix B in equation 5 1 of Models and Methods simultaneity in coded equations is not allowed for estimation That is Equation specifications should contain only exogenous or lagged endogenous variables on the right hand side gt Residual specifications may be estimated subject to the caveat of containing only one endogenous variable each It is the user s responsibility to respect these restrictions The program cannot monitor violations and incorrect estimates and 103 James Davidson 2015 simulations will result Note nonlinear simultaneous equations can be simulated using the W 1 W 2 reserved names to denote shocks see User Interface Entering Formulae 6 When the Coded Equilibrium Relations option is selected in the Model Equilibrium Relations dialog only the Residuals option is selectable in this dialog TEXT BOX CONTROLS Cancel Discard changes and restore existing formula Clear Clears displayed formula Enters left hand side for Equation entry Next Displays the next formula where present disabled otherwise Previous Displays previous formula where present disabled otherwise Test Tests parsing of the current model equation s Closing the dialog with the Windows Close button x is equiv
170. f the test statistics 50 10 5 2 5 1 are optionally reported in the case of parameter t values By default the absolute t values are tabulated so that for example the 5 tail quantile should be approximately 1 96 in large samples when the null hypothesis is true Also optionally reported are the empirical distribution function EDF points for the nominal p values If the test criteria are correctly sized these distributions should be Uniform 0 1 if the null hypothesis is true and 100x of replications should lie below x Over rejection yields a value larger than the nominal one The cases tabulated are x 0 01 0 025 0 05 0 1 0 5 The option 2 sided causes the p value EDF to be computed for the upper and lower tails combined as well as the upper tail For example in the case 5 the reported value is the fraction of p values in the replications falling outside the equal tails range of 0 025 0 975 When combined with signed t statistics see next paragraph this option gives a result comparable to tabulation of the absolute t statistics but differing in the case of asymmetry about zero It also shows the coverage probabilities for any user defined statistic Optionally the signed t statistics can be tabulated instead of the absolute t statistics to allow the evaluation of one tailed tests In this case the 5 tail quantiles should be approximately 1 64 in large samples when the null hypothesis is true Note that
171. fault Iteration Print Frequency 0 A Strong Convergence Crit 1 Ox Default i Weak Convergence Crit 1 Ox Default j Parameter Rescaling Factor 0 off Simulated Annealing Yes SA Iterations 500 Initial Temperature 5 id Temperature Reduction Factor 0 85 iS Iterations before Temp Reduction 10 General Options Restore Dialogs Automatically No Enable Savings Prompts Yes Store Model After Each Run No Delete Temporary Files on Exit No Automatically Close Options Dialogs Yes Size of Results Window Text 12 points Echo Results to Console No Show Tool Tips Yes Enable Error Recovery Yes Drag Selection Yes Enable Optimization Estimators Yes 8 1 Options Output and Retrievals SAVING DATA FILES The type of data file saved XLS XLSX CSV WKS IN7 DAT or MAT is determined by the extension added to the file name If no extension is added by the user the one selected in this dialog is included l automatically However note that the user s choice over rides the selection in this dialog For example if the name is selected from the list of existing files in the file dialog with extension XLS the selection here is ignored if different EXPORTING AND PRINTING LISTINGS 2 Select a radio button for the type of spreadsheet file or ASCII file to be saved by the command File Listings Export Spreadsheet By default the files are identified by a descriptive name and the current run ID 3 Check the checkbo
172. features but should not generally need changing TESTS AND DIAGNOSTICS 13 14 15 Standard linear and nonlinear Wald tests of restrictions on the parameters are available for panel regressions Choose the covariance matrix formula either standard or robust in the Options Tests and Diagnostics dialog The other diagnostic tests controlled from this dialog are not available Except in the individual means case the modified Durbin Watson statistic due to Bhargava et al 1982 is reported as BFN DW This provides a test for serial correlation in the within individual disturbances Partial tabulations can be found in the cited paper for the case of OLS estimation assuming that fixed effects have been fitted by dummies or taking individual mean deviations For other cases an EDF table might be created for statistic by Monte Carlo Note in the Monte Carlo module the statistic tabulated is 2 DW such that the upper tail quantiles are relevant to the positive autocorrelation alternative The Breusch Pagan LM test for the null hypothesis of no random effects is reported in OLS estimation without transformations 92 James Davidson 2015 This tests the hypothesis that random effects are absent The null distribution is Chi squared 1 with large N 16 The variable addition implementation of Hausman s specification test is reported for random effects models This tests the null hypothesis that the regressors in individual m
173. ff To indicate to the program the transformation required for each variable edit the data description field see Setup Data Transformation and Pairing Edit Data Descriptions The data description field should contain the flag FN case sensitive followed by the formula to be implemented which is written using the syntax detailed in Section 1 5 Entering Formulae This is case E The reserved variable names s and S may be used to represent the variable being transformed as an alternative to its actual name which is also valid Note that the transformation may involve other variables in the data set as well as constants id For example the text HEN log s 100 transforms the data by taking the logarithm after adding 100 Note how spaces can be freely used to improve readability id This text should follow any other material appearing in the data description If the transformation is 1 1 with a unique inverse fitted values and forecasts may be optionally reported for the original series not the transformed ones To implement this option a formula for the inverse transformation must be provided Following formula enter the text INV followed by the formula for the inverse function 3 In this case use either of the reserved names s and S 83 James Davidson 2015 17 to represent the transformed variable gt For example the text HEN log s 100 INV exp s 10 specifies the transformation and
174. file names can optionally be changed for a particular installation by editing the file tsmgui4 h settings tsm S C Contains all the user s settings and specifications including the most recent estimates and stored model specifications Updated automatically throughout a TSM session settings tsd S C Optionally this file stores the current data set results listings and graphics and is updated automatically when these are changed Enabling this option see 8 8 Options General Operational Settings allows the complete working environment to be saved from one session to the next Note settings tsm and settings tsd are paired by a time stamp The latter file cannot be opened except in conjunction with its tsm 183 James Davidson 2015 counterpart The data and estimation outputs stored in the latter file are always matched with the model specifications stored in the former registration txt tsmod_run ox S C usercode ox S C errchk S FILE TYPES tsm tsd txt Contains the user s licence code By default this is written to the TSM Home directory subject to the user having write permissions and there being no pre existing licence file there Otherwise it is written to Start in directory or if this also contains a licence file to the current results folder This allows multiple licenced users to share the same installation NOTE The program looks for registration txt in reverse order first
175. fly as part of a model specification A user specified reserved character by default is used to separate a variable name from the description field All characters following the form the description Descriptions for the current data file can be viewed by the command Help Data Descriptions and created and edited in Setup Data Transformations and Editing Edit see Edit Description If desired the separator character can be changed during installation by editing the file tsmgui4 oxh and setting the function Get_NameCharacter Ox allows a maximum of 64 characters to appear in the name field the first row of the spreadsheet but descriptions can nonetheless be of arbitrary length If the name and description together exceed 64 characters the additional characters are stored numerically at the bottom of the corresponding spreadsheet column a Double value occupies 8 bytes and so can represent up to 8 text characters The description zone is separated from the data proper by two rows containing respectively the constants DBL_MAX and DBL MIN the largest and smallest storable numbers These additional rows can be inspected by loading the file into a program such as Microsoft Excel 33 James Davidson 2015 MISSING OBSERVATIONS 6 The input file may have missing observations e g blank cells in an Excel file and these are replaced in the data matrix by NaN Not a Number If the variable in question is include
176. following an estimation run This option can be used for example to obtain test statistics forecasts listings etc for a model that has just been estimated without repeating the optimization Notes 1 This command is also launched by the Evaluate button on the toolbar 2 If either the Semiparametric Long Memory Cointegration Analysis or Monte Carlo Experiment dialog is open the command has the same effect as the Go buttons in those dialogs 3 Most evaluations cannot be interrupted once begun The exceptional cases are bootstrap and subsampling runs and Monte Carlo forecasts 121 James Davidson 2015 6 3 Actions Estimate Multiple ARMA Models Estimates a sequence of models with increasing ARMA orders starting with ARMA 0 0 All other features of the model are as currently specified although regime switching options are disabled The limits of the sequence are set in the Setup Multiple ARMA Models dialog Notes l Starting values are set to either the estimates from the preceding specification or zero as appropriate The ARFIMA 0 d 0 is initialized with Robinson s 1994 nonparametric estimator of d 2 Other selected model features regressors conditional heteroscedasticity supplied function are estimated as usual with the supplied starting values for each case 3 Post estimation options forecasts correlograms graphics impulse responses tests series output and retrieval are suspended Re es
177. g this button opens a text field where formulae can be entered This works just like the Calculator option except that matrices are entered by name as well as optionally numerical values The formulae must conform to the rules of matrix algebra sE The general syntax is of the form name formula and the value is saved in the matrix list under name 74 O James Davidson 2015 Notes 10 11 If name is omitted the Name text field opens to allow a name to be entered If the name matches an existing name the options to change it or over write the existing matrix are offered Permitted matrix operators are sum difference product transpose Kronecker product Hadamard product Matrix functions are inv inverse gnv generalized inverse cho Choleski decomposition eig eigenvalues returned as diagonal matrix evc eigenvectors vec vectorization ver row vectorization dia matrix diagonal returned as column det i determinant trad trace nrm y Frobenius norm All the functions specified in the Calculator option can also be used and are applied elementwise The operators and can be used with scalar exponent or divisor and are applied elementwise For matrices A and B the expressions A B and A B are equivalent The eigenvalue eigenvector algorithm is valid ONLY for symmetric matrices complex valued matrices are not handle
178. gh they can always be computed as an option Heteroscedasticity and autocorrelation consistent HAC 11 James Davidson 2015 standard errors are also optionally available Test p values and confidence intervals can also be computed by the parametric bootstrap based on resampling model residuals and using the fitted model to simulate data under the null hypothesis Asymptotic chi squared statistics are reported by default for the standard tests of restrictions and mis specification although reporting in F statistic form is a selectable option Note that in most time series applications F statistics are not truly F distributed in finite samples Bootstrap p values can be computed if desired for improved test performance in small samples Another approach related to the bootstrap is to tabulate test statistics by simulation and use the EDF tabulations to generate p values 0 2 How To For the first time user who doesn t want to spend too much time with the user s manual here are some simple step by step instructions to get you started 1 HOW TO LOAD A DATA SET x EITHER click the Open File button on the tool bar In the file dialog navigate to the Windows folder containing your data file and click on it OR simply drag the data file icon from the Windows Explorer window and drop it onto the TSM window Several different file formats are supported but an Excel worksheet is a popular choice The series should be store
179. gs get lost from the visible screen area which can happen if program settings are transferred between machines different screen resolutions Notes 1 The actions of Close All Dialogs and Restore Dialogs are duplicated by the toolbar Windows button which toggles between them 2 Dialog positions for open dialogs are saved between runs Restore Dialogs or the Windows button restores your dialog configuration at shut down 3 Speed up multiple text searches by assigning a toolbar button to the Search Results Window menu item see Options General Assign Toolbar Buttons Searches are case insensitive but targets may not contain line breaks 131 James Davidson 2015 7 Graphics 7 0 Graphics General Information Graphics are displayed in a window whose size is linked to screen resolution As many graphs as desired can be open at once Close them by clicking the Close button in the top right hand corner or from the Windows taskbar x Clicking on the gnuplot icon in the top left corner of the window opens a context menu Choose Options to open a submenu of useful commands These include changing the text font line style and background colour sending to a printer and copying the graph to the Windows clipboard so that the image can be pasted into your favorite graphics program For bitmaps IrfanView is a highly recommended freeware package which can convert an imported image to a variety of bitmap formats su
180. he extension or if no extension is added by the current selection in Options Output and Retrieval Options Edit Spreadsheet Notes This option opens a raw data file for editing effectively duplicating the role of Excel or similar software Data files may be loaded by the program automatically as when a settings file or a stored model is loaded If the file in question is not found on the stored path other paths known to the program are searched Messages are printed to show that this has occurred or if the file is not found anywhere Since the file found might not be the one intended it is important to check the program messages If data are saved in MAT format the variable names are listed in the results window When loading a data set a prompt appears by default giving the option to retain or clear the current model specifications In most cases these won t be appropriate to the new data To make clearing automatic and so bypass this prompt on future occasions without disabling the other prompts choose the option Always To reinstate this prompt deselect and then reselect the option Enable Saving Clearing Prompts in Options General DATA DESCRIPTIONS 4 In addition to names for the series data files can optionally store text containing a description of the variable The description field can be used among other things to contain formulae specifying transformations of variables to be performed on the
181. he locations are Setup Recursive Rolling Estimation Sample 1 Setup Summary Statistics Sample 2 Setup Nonparametric Regression Sample 3 Setup Semiparametric Long Memory Sample 4 Setup Cointegration Analysis Sample 5 Model Linear Regression Sample 1 Model Dynamic Equation Sample 1 Graphics Show Data Graphic Sample 6 Setup Data Transformation and Editing Sample 7 Options Simulation and Resampling Sample 8 When this dialog when opened from the menu bar it s function depends on which dialog is currently open By default 1t sets Sample 1 2 Sample selection 1 is displayed on the status bar Sample selections 2 7 are displayed at the top left of the relevant dialogs Sample selections 1 3 4 5 and 6 are stored as part of a model and retrieved by reloading the model Selections 2 7 and 8 are saved with general program settings 3 By default the chosen sample is automatically truncated to exclude missing observations denoted NaN of any variable in the model specified Remember that missing values are created by taking lags leads and differences The actual sample used is the sequence of non missing observations that terminates with the last non missing observation of the selected sample Note that this is not necessarily the longest available set of non missing observations 4 Use the All Available Observations button to check for missing observations The largest sample
182. he median and 2 5 and 97 5 percentiles so that the plotted bands in this case show a true 95 confidence interval neglecting estimation error even when the disturbances are non Gaussian Alternatively kernel densities can 153 James Davidson 2015 12 13 14 be displayed for the complete empirical distribution of any forecast step Analytic standard error bands for regime switching models use a recursive algorithm involving m K function calls for M regimes and K steps ahead In Hamilton s model the number of effective regimes is M number of lags Unless they converge rapidly these calculations can become very time consuming They are therefore terminated automatically after 100 seconds has elapsed Unless the bands have converged sufficiently to be extrapolated thereafter only the point forecasts are reported for the remaining steps NB diminishing returns set in rapidly Even raising this factor substantially could yield at most a couple of extra steps The display mode for standard error confidence bands including omitting them can be selected in Graphics Options In dated daily weekly data it is not possible to plot forecasts with date information beyond the end of the observed sample since the information is missing An error message is displayed In this case either change the date type to No Dates or extend the data set and supply the additional dates manually This must be done outside TSM MONTE CAR
183. he menu item as well as by the check boxes 7 If it is not possible to activate a feature e g no options have been selected the Active checkboxes are disabled 8 The current model feature settings are retained even when the feature is de activated DIALOG CONTROL All dialogs are closed when an estimation is run Restore them to their original positions by the Actions Restore Dialogs command or by clicking the Windows button on the tool bar Alternatively select the option to have them restored automatically following a run see Options General SPECIFYING SYSTEMS OF EQUATIONS 9 A system of equations is specified by checking this option in the main Model dialogs and then selecting a set of two or more dependent variables All the equations are given the same specifications AR MA components regressors etc The specification of individual equations is changed by selecting restrictions on individual parameters in the Values dialogs 10 To modify the specification of an equation first open the corresponding Values dialog Use the left and right arrow buttons at the case of the dialog box to switch between equations To exclude a regressor or lag from an equation select the Fixed checkbox for the parameter s in question and then make sure that 0 is entered in the Values field If desired any other fixed value can be set 11 Variables selected as endogenous can also appear on the right hand sides 82 James Da
184. he option Test Joint Significance of Regressors provides a valid time series implementation to the F test of the regression computed by many packages 5 In a single equation it sets up a Wald test of the joint significance of all 112 James Davidson 2015 9 regressors in the mean model all Types and components of equilibrium relations if any but excluding the intercept trend and seasonal dummies and lagged endogenous variables The null hypothesis can therefore be set up as a univariate time series representation of the dependent variable Note that this test can be performed in the usual way by selecting the parameters individually in the Values dialogs but this option provides a handy shortcut The program knows a regressor is a seasonal dummy if the string seasonal dummy or seasonal dummies is part of the data description This is set up automatically if the dummies are generated in Setup Data Transformations and Editing In equation systems all exogenous regressors of all types in all equations and in equilibrium relations are included in the test but intercepts trends and current and or lagged endogenous variables are excluded Endogenous means any variable explained by the system Additional parameters can be added to the test set in the usual way by checking the relevant Wald Test box in the Values dialogs Variables having parameters fixed are excluded from the test CODED_RESTRICTIONS 10 1
185. he order of polynomial in the fitted values with the scroll bars These statistics are indicated in the output by LM after the description Notes 4 If no conditional variance is specified in the null model the LM tests for neglected ARCH and heteroscedasticity is performed by regressing the squared residuals on the test variable s Otherwise the test variable s are added to the conditional variance model as regressors 5 The test variables are designated regressors of Type 3 if a MA GMA component is selected and of Type 2 if a AR or FI GAR or FIGARCH component is selected and otherwise of Type 1 NOTE Test variables cannot be assigned to a Type for which lags are already selected If lags are specified for Type 1 variables the test may be unavailable A warning message is printed in this case 6 In the implementation of White s heteroscedasticity test the possibility of collinearity between the squares and products is allowed for automatically In this case the principle components with positive eigenvalues are extracted 7 The AR common factor test is enabled in the following case a model with Type 1 regressors current values only no Type 2 regressors and an AR p error process is specified but not a fractional process The null hypothesis is that p lags of the regressors are not independently significant in other words that there are common AR factors shared by the dependent variable and regressors in the model
186. he p values are then computed by locating the sample statistics in the distribution of bootstrap statistics over the experiment To activate this option go to Options General Special Settings scroll 70 James Davidson 2015 to the bottom of the choice list and double click the text field to change the toggle setting Set the bootstrap options as usual for the model for estimation but remember that the Bootstrap Replications setting is ignored Also note that the actual replications must be recorded to construct the bootstrap distribution when the experiment terminates hence the Save Frequency Tables option is also ignored 3 13 Setup Tail Probabilities and Critical Values This dialog gives access to tabulations and plots of standard distributions the standard normal and Student t either signed or absolute and the chi squared and F distributions x Notes Select the radio button for the distribution required Set degrees of freedom as appropriate except for EDF from File see Note 4 below Depending on the dialog opened enter either the critical value to get the tail probability or the tail probability to get the critical value To show the probability critical value also printed in the results window press the right hand button To plot the density with the tail area shaded press the left hand button The tail probability is the area of the upper tail of the density to the right of the critical
187. he test are number of test variables x 1 number of lags Select the F form of the test with the checkbox 5 There are two ways to run the test Pressing Go will execute it immediately using the currently stored parameter values Otherwise the test will be performed following the next estimation run To cancel the test press Clear MOMENT M or CM TEST 6 This options opens a dialog to allow specification of a moment test of the correlation of variables selected from the data set with either the model residuals or l the squared model residuals Te If the Conditional Moment Test option is selected the joint covariance matrix of scores and moments is computed using the Robust formula see Options Tests and Diagnostics If the Moment Test option is selected the selected HAC formula is used to compute this covariance matrix This selection implies that serial correlation is permitted under the null hypothesis 126 James Davidson 2015 Select the F form of the test with the checkbox Perform the test immediately with the current values by pressing Go Otherwise it will be performed following the next estimation run Cancel it by pressing Clear LM TESTS OF PARAMETER RESTRICTIONS T By default this option computes the LM test of the fixed parameter restrictions in the current model if any are set CAUTION this test requires that the stored parameter values have been estimated subject to the set restrictio
188. his setting appears as NaN in the text field OPTIMAND CONVENTION 7 Two of the estimators available least squares and GMM are conventionally regarded as minimizing a criterion while the ML options are maximands This can lead to confusion especially when interpreting the model selection criteria The optimand for least squares and LGV is reported for comparability as the Gaussian log likelihood a monotone decreasing transformation of the sum of squares but the GMM optimand has no such counterpart By default all the estimation criteria are treated as maximands so GMM criterion The Report Minimand option reverses the signs so Log Likelihood The important issue is that the selection criteria are always signed in the same way as the estimation criterion and so are to be minimized maximized if this option is checked unchecked NUMBER OF GRID POINTS 8 Enter an integer value here to choose the density of points computed in a grid plot If N is set then N 1 points are evaluated in a 1 dimensional grid or N 1 2 points in a 2 dimensional grid Note that grid plotting 170 James Davidson 2015 must be enabled in Values Equation and the run launched with Actions Plot Criterion Grid Set the grid bounds s in the relevant Values dialog s SUPPRESSING THE OUTPUT 9 Optionally computation of estimation outputs including residuals covariance matrix test statistics and forecasts can be skipped This opt
189. i Chart button Dual action O Displays the plot of the variable s selected in the variable list in any dialog first click the list o Opens the Graphics Show Data Graphic dialog if no variable list has the focus Double Chart button displays combined chart of actual and fitted values and residuals Only available following an estimation run Optionally can also show the actual fitted scatter and residual histogram and kernel density see Options Graphics 17 James Davidson 2015 Dialog 1 button can be assigned by the user to open any dialog lacking a dedicated toolbar button By default it shows the last dialog opened Up to 6 assignable buttons are available but only the first one is visible by default To assign a button go to the Options General dialog See Section 8 8 for details Windows button Toggle action o Restores dialogs in previous positions duplicating Actions Restore Dialogs if dialogs closed o Closes all dialogs duplicating Actions Close All Dialogs if dialogs open X Stop button only displayed when an iterative calculation is in progress Pauses the calculation and opens a choice box to Abort or Continue Notes l The Space Shuttle and Running Man buttons can be optionally omitted from the button bar deselect Enable Optimization Estimators in Options General This option can be used to simplify the interface for classroom use 2 When TSM is running two TSM i
190. ia the Windows clipboard bi Commands selectable from the pull down menu are arranged under the headings Edit and Transform o Press a button to bring up the desired list of choices o Choose the desired operation or transformation o Where appropriate select one or more variables from the list o Press Go to execute the command ds Press List Edit Series to view and or edit observations in spreadsheet format after selecting one or more variables from the list Alternatively double click the selection This option is also available without the variable selection option through the menu item Setup Data Spreadsheet See 3 4 for further details A To mark a variable highlight it and press Mark To remove the mark press Mark with no variable highlighted Marking enables operations involving a pair of variables Select All highlights the whole list Clear removes all highlights The Sample button brings up the sample selection dialog Editing operations and transformations are performed for the selected subset of the data where appropriate This option is not available for panels The Formula button opens a text field where a formula for a new variable can be entered directly using the notation described in 1 5 This option is also available through the menu item Setup Make Data Formula See 3 5 for further details id If changes are made the Save Modified Data button is enabled Use this to o
191. ibution dialog In the Poisson and negative binomial models the distribution mean can optionally be specified as the exponential of the latent regression function Otherwise the regressors must be non negative and the argument is constrained to its positive part in estimation DYNAMIC MODEL SETTINGS 10 11 12 By default up to 10 lags can be set in the ARMA and GARCH models This maximum can be reset to any desired value in the text box There is no accepted convention regarding the signs of the coefficients of a moving average lag polynomial The program default is to report the MA coefficients theta_j in theta L 1 theta_1 L theta_q Lg and GARCH coefficients as beta_j in beta L 1 beta_1 L beta rL r This is consistent with the convention in equation 4 8 of Models and Methods and also more natural For example in the ARMA 1 1 model equal roots cancel each other out and in this case the estimates will be equal Similarly in the ARMA in squares representation of the GARCH 1 1 model beta_1 delta_1 corresponds to alpha 1 0 and the estimates are again equal in this case However the MA coefficients can be optionally reported as theta_j in theta L 1 theta_1 L theta_q Lg and GARCH coefficients as beta_j in beta L 1 beta_1 L beta_r L r If the first observation for estimation is greater than 1 lag distributions will normally be computed using all available pre sam
192. ics depend on nuisance parameters and are computable in one of three modes depending on how the nuisance parameters are treated 1 Sup test S 2 Integrated test ICM A IA 3 Exponential integrated test ICM B IB The right hand column indicates how the cases are identified in the output sj p values for the tests can be computed by 1 2 statistic procedure using standard chi squared table 2 Hansen 1996 bootstrap could be computationally burdensome Notes 16 The number of Hansen bootstrap replications are set in this dialog The 151 James Davidson 2015 17 18 Options Simulation and Resampling replications setting is independent of this one The usual bootstrap method could also be used to generate p values In this case the Hansen bootstrap setting is ignored Various test settings are found under Options General Special Settings see options with prefix Consistent In general these will not need to be changed from the defaults They include parameters for 2 statistic bound gamma0 rho1 rho2 rho3 y upper and lower hypercube bounds for the weight set Ksi Defaults are 1 1 Precision and maximum number of evaluations for the computation of integrated and sup statistics gt Maximum lag order for the polynomial lag option Scale factor for the test function determines the range of variation of log w_t over the given sample Default 3 such that 0 22 lt w_t lt 4 48 If gamm
193. ilinear order and p d and q are as for the standard AR F IMA model PARAMETER ROOT TRANSFORMATIONS 7 By default the GARCH intercept term is estimated in square root form Correspondingly in ML estimation of models without a conditional variance component the error standard deviation is estimated by default This is for reasons of numerical stability Particularly in IGARCH models where the parameter can be close to zero numerical derivatives can be highly inaccurate without a rescaling transformation The transformation can be selected by the user in the Options ML and Dynamics dialog In certain cases raising the order of root from 2 to 4 may be found to aid 179 James Davidson 2015 convergence while in others 1 will work satisfactorily Similarly the parameter of the Student t distribution can optionally be estimated as a root of the degrees of freedom The square root is the default See the Options ML and Dynamics dialog to set alternative values This is again for reasons of numerical stability The parameter is both bounded below and infinite in the Gaussian case and extreme values are potentially difficult for numerical differentiation By setting the root to a negative value the inverse transformation can be applied such that the parameter is zero in the Gaussian case STANDARD ERRORS TEST STATISTICS AND P VALUES 9 10 11 12 Every estimated parameter is shown in the output with either its est
194. imated standard error or the words Fixed or Solved when the parameters have been so designated in the Values dialogs Following the standard error most parameters show the t ratio and nominal p value of the significance test The degrees of freedom are calculated as sample size total model parameters number of equations Parameters for which there is no natural zero hypothesis to be tested such as the variance GARCH intercept Student s t degrees of freedom etc are shown with standard error in parentheses but no p value Nominal p values are also given for quoted test statistics in many cases asymptotic chi squared statistics For tests with non standard distributions Dickey Fuller KPSS R S these are computed from the available tables Since the coverage is incomplete these results are shown as inequalities Thus lt 0 05 would denote that the p value is less than 0 05 leading to rejection at the 5 level according to the table The result lt 1 simply indicates that the statistic falls within the bounds of all the tabulated points The tables themselves are given as Appendix I If standard errors and or test statistics print as NaN stands for not a number this means the Hessian matrix of the optimization criterion could not be inverted at the current point Typically this means the local optimum is not unique which will also cause convergence failure Lack of identification is a leading cause for example
195. imator panel choose Gaussian ML Click on Conditional Variance Model The Conditional Variance dialog box opens Select the GAR and GMA orders To see the model in the form usually reported the Bollerslev form open the Options ML and Dynamics dialog box and under GARCH Settings uncheck the first two checkboxes Note the model you fit is identical in either case Only the interpretation of the coefficients is affected by these options Press the Go or Running Man buttons to estimate Estimation of GARCH models can sometimes be tricky Poor starting values can cause convergence failure See Help Hints and Tips for advice on optimization in case of difficulty 15 James Davidson 2015 1 User Interface 1 1 The Menus Clicking on most menu items opens a dialog in which program settings can be changed As many dialogs as desired can be open simultaneously x Notes The File menu controls loading and saving of settings data and results The Setup menu controls basic operations including choice of data set and sample size data editing and transformations storing and loading models special estimation routines preliminary data analyses Monte Carlo experiments and a test tabulation viewer The Model menu gives access to dialogs for setting model specifications The Load a Model and Save Current Model menu items provide a quick link to the basic Model Manager operations The Values menu is for setting starting
196. ime case often succeeds in this situation CHOICE OF SYSTEM ESTIMATORS 9 Don t overlook the distinction between the Linear Regression and Dynamic Equation options The latter always uses numerical optimization to compute 187 James Davidson 2015 the estimator even when a closed form solution exists Large unrestricted VARs may be computed in the Linear Regression dialog using SUR Exclusion restrictions can be imposed by fixing parameters although they can be tested only by Wald tests on the unrestricted model 10 There are two procedures to estimate a Gaussian linear equation system by maximum likelihood Least generalized variance LGV optimizes the concentrated log likelihood function the log determinant of the covariance matrix The Gaussian ML option estimates the log likelihood as a function of all parameters including the variance matrix and hence is much more computationally intensive than LGV This method is only required for models with nonlinear features such as ARCH GARCH or Markov switching USING THE RESULTS WINDOW AS A TEXT EDITOR 11 Text can be typed or pasted freely into the window To paste from the clipboard right click in the text area and choose Paste To save text in a file first name the file with File Results New Results File Then select the desired text with the mouse and give the command File Results Save Selected Text Note that subsequent saves will be appended to the same file To
197. iments When these jobs terminate their outputs are written to text files with the run number Give the command File Load Text File to write the contents to the results window in the usual way By default a batch job is launched automatically to run concurrently with the GUI This is the efficient way to make use of a dual core processor since TSM is not multi threaded even under Ox 5 Alternatively the run or runs can be postponed to a time when the machine is otherwise idle In this case they must be launched manually as regular Ox programs 191 James Davidson 2015 28 29 30 It is also possible to run two or more instances of the GUI concurrently The only major problem to be avoided in this case is the different sessions interfering with each other by attempting to access and write to the same files The trick is to create a different working directory for each instance In Windows do as follows t Use the File Settings Export command to bundle your data and models into a portable tsm file A Create a new directory for each instance and copy the tsm file to each ig Start each instance by double clicking on the tsm file see 23 above The directory containing the tsm file becomes the Start up directory for each instance with data graphics tsd model and results files all written there by default For a more permanent multi tasking setup create multiple Windows shortcuts on the Start Me
198. in the fields displayed A restriction can involve any subset of model parameters and hence can be spread over two or more number of Values dialogs It may be helpful to open the relevant dialogs together and arrange them on the screen in a column Restrictions may also be applied across equations and across regimes Since only one equation regime Values dialog can be displayed at a time use the choice widgets or Next buttons to switch quickly between them For each linear restriction one parameter must be designated to be solved as a function of the remainder Make this choice by checking the relevant Constrained Wald test checkbox There must be same number of checks in this column as restrictions otherwise an error message is generated It is also the user s responsibility to be sure that the restrictions can be solved uniquely for the checked parameters in other words the square sub matrix of R defined by the checked rows must be nonsingular If this property does not hold an error message is generated 5 1 Values Equation This dialog sets the parameters specified for an equation including specifications set in either the Linear Equation dialog or the Dynamic Equation Conditional Variance Supplied Function dialogs Notes 1 The Parameter Bounds Grid Plotting checkbox affects all the Values dialogs When checked a text field is displayed to set the number of grid points for criterion plotting
199. inequality form These tests require an interval of the sample period to be specified in the form of upper and lower fractions of sample size and the default values are pil 0 15 and pi2 0 85 To change these settings go to Options General Special Settings and enter the values desired in the fields Andrews Test Lower Bound pil and Andrews Test Upper Bound pi2 Use the Coded Test checkbox to activate deactivate a test statistic that has been supplied by the user as Ox code see Appendix C This checkbox has the same function as the Test checkbox in the Model Coded Function dialog It is disabled unless code is loaded and the Test Only option is selected in Model Coded Function In the case where other Ox code is being compiled this test option should be controlled from the same dialog The bootstrap test of I 0 compares the generated values from a time 150 James Davidson 2015 series model with 1 1 d data to verify the validity of short memory assumptions underlying asymptotic tests in finite samples It is only available for univariate time series models Note that bootstrap inference for the equation itself is disabled if this option is selected Notes 14 The Andrews LM test uses a simple line search algorithm to locate the maximum test statistic as a function of the break date The convergence criterion and the maximum iterations are set in Options General Special Settings Note that these setti
200. ines by choosing None in the Symbol choice widget 3 In Microsoft Windows line widths and patterns can be further edited by clicking by clicking the top left corner of the Gnuplot display window and choosing Options Line Styles from the menu LINE AND SYMBOL STYLES Eight line styles for series plotting can be set by the user The selectable option are line colour or pattern for monochrome plots line width symbol type and symbol size First select the line to be styled with the radio buttons Then select options with the line and symbol choice widgets and line width and symbol size fields x Available line widths are 1 thinnest default to 6 thickest bi Symbol size can have any positive value 1 is default Monochrome lines can take any width if solid Patterned lines dots dashes etc are always of thickness 1 Press the Restore Defaults button to set all line settings to defaults x 164 O James Davidson 2015 Notes 10 11 The Colour Pattern widget shows different options depending on whether the colour or monochrome plots option is selected Note that both settings colour and pattern are remembered Switching between colour and monochrome plots does not delete the options The eight line styles are used for data series plotting in the multi series plot option in Graphics Show Data Graphic If a multi series graph is plotted by selecting One Graph under Multiple Series Display in the
201. ing is highlighted To paste one or more data values from the Windows clipboard into cells in a column select the first cell in the range and press the Paste Clipboard button or enter the keyboard command Ctrl V Press Close or the X button to close the editing dialog The left hand column shows row numbers and dates and is read only These cells cannot be selected or edited Editing in place may round the data value to fit the cell six significant digits is the maximum If precision is an issue the Edit Observation text field allows exact editing of the value with up to 12 digits retained after the decimal point Use the Copy button to repeatedly insert the same value to successive observations This option allows easy creation of e g dummies for sub periods Observations can be copied via the Windows clipboard from sources such as text editors word processors spreadsheet programs and the TSM results window The clipboard must contain a character string consisting of data values and separators files cannot be pasted id A data value is a string containing digits 0 9 optionally a decimal point optionally starting with a minus and may include an exponent with the form e nnn or e nnn where n denotes a digit and E e are equivalent 55 O James Davidson 2015 dl A separator may consist of any number of arbitrary characters except 0 9 and eE Spaces tabs punctuation marks except and
202. ion may be useful in big models where these calculations are time consuming and the user is performing a sequence of restricted optimizations This can be a good strategy for optimizing poorly conditioned criterion functions The best parameter values attained are stored and can be inspected in Values The full outputs can then be computed using the Evaluate at Current Values command if required Likewise if the search algorithm fails to converge or is interrupted by the user the output at the attained point can be evaluated in the same manner RUNNING AN EXTERNAL PROCESS 10 11 12 13 14 The option of running estimations as independent processes from the command line allows the TSM GUI to remain under the user s control for other tasks while a long numerical optimization is performed It also allows two or more jobs to run be concurrently Since Ox is not multi threaded this is the best way to make full use of a multi core processor If the option Run Next Estimation as External Process is checked before launching an estimation run the calculations are run in a new instance of Ox running in a console window A temporary executable Ox file is created to be run in batch mode The usual estimation results are written to a text file identified by the run number Import this text to the results window using the command File Load Text File The option is cancelled once the run is executed Reset it in this dialog a
203. ional Use Likelihood Model Enable Bootstrap Inference Once Always Confidence Intervals Bootstrap Replications Fast Double Bootstrap Bias Correction Newton Raphson algorithm Maximum Iterations Graphics Options Export Graphs to Files of Type Save Graphs Automatically Display plots using GnuPlot Dates Format f PNG Image Size 2SE Band Style for Forecasts Multiple Series Display Time Series Plot Type Criterion 3D Plot Type Density Options Histogram Normal Curve CDF Colour Monochrome Keep PLT files Extended Actual Fitted Fill Probs and Var plots Line Width Symbol Size ML and Dynamic Options LK LK A XX LL amp Ke HF SF Maximum ARMA GARCH Order MA Polynomial with s Root of Student t d f Log of Skewness Parameter Restrict Pre Sample Lags GARCH coefficients in Standard Fond Type 2 GARCH intercept Root of GARCH Intercept No Gauss Seidel Its in GARCH M GARCH M Trimming Factor f Compute EGARCH Likelihood by G S No G S Its to compute EGARCH Optimization and Run Options x Report Minimand a 140 0 system clock 1 Fixed No Yes No Once Equal Tails 99 No No No 50 PNG No Yes YYYY 640x480 Bands One Frame Lines Both Yes No No Colour No No Yes 1 1 10 No 2 Yes No No No 2 5 10 No 50 James Davidson 2015 No Grid Points for Criterion Plot 10 ki Absolute bound on dynamic params 3 ss Max No of BFGS Iterations 1 Ox De
204. ions Menu Recursive Rolling Estimation x Notes Choose rolling estimation fixed sample size or incremental estimation extending sample size with the radio buttons Set the initial sample in the usual way as for the estimation sample Access the Set Sample dialog either using the button provided or in Setup Set Sample or in a model dialog The Go button duplicates the Actions Recursive Rolling estimation button If this dialog is open the Run button on the toolbar is a third way to launch the run A confirmation box opens to guard against accidental launches Step size is the number of extra observations added at each step Set by dragging the scrollbar If this setting is greater than 1 the sequences of estimates are plotted as step functions The terminal observation required will in most cases be the maximum available The scrollbar allows it to be set smaller The lower limit is 58 James Davidson 2015 constrained by the initial sample and step size settings The first check box allows the option of saving regression diagnostics and test statistics to be selected This is on by default The second check box allows saving to a file of all the forecasts for each estimation period NOTE The forecasts other than the N step ahead cannot be displayed interactively By default the number of forecast steps N is fixed and the N step forecast is reported for each recursion step If the second check box is
205. ions imposed on the parameters in the Values dialogs There are two modes of operation of this option If parameter constraints have been activated in the Parameter Constraints dialog with the option Restricted Estimation selected these restrictions are tested E If not parameter constraints are set but parameters have been fixed in the Values dialogs a test of the fixing restrictions is generated Notes l In first case parameter fixes are not tested This allows testing one set of restrictions while simultaneously including other restrictions in the maintained hypothesis 2 These tests can also be computed for a fitted model with the option Actions Compute Test Statistics LM Tests of Parameter Restrictions 3 This option is not available for linear regressions Use Wald tests to test restrictions in this context HAC COVARIANCE MATRIX IN TESTS A number of test statistics especially the tests of weak dependence depend on HAC estimates of the covariance matrix of scores or residuals HAC is also an optional choice for the calculation of standard errors and test statistics via the residual covariance matrix This option set checked by default makes the choice of HAC for the additional tests independent of the selection in Covariance Matrix Formulae see below Uncheck this option to make all selections subject to the dialog setting FORM OF THE LM STATISTICS The T R 2 form option gives a choice of sma
206. ions may be embedded in linear simultaneous systems Note that when coded functions are specified the residuals of these functions replace the measured variables specified as dependent The same substitution also occurs if these variables appear as contemporaneous regressors of Type I Identifying restrictions must hold as normal Ina VARFIMA model it is possible to parameterize the fractional difference parameters for Equations 2 as the differences from the parameter of Equation 1 This makes it easy to constrain and test equality of the parameters across equations To select this option set the third checkbox in the Model Equilibrium Relations dialog This setting applies even if error correction terms are not specified ESTIMATING TYPE I V ARFIMA PROCESSES 31 It is possible to correct for the omission of the presample data in a fractionally integrated model by including some generated regressors depending on the d and variance parameters This option is enabled by setting the Type I Fractional text box in Options General to a positive integer value corresponding to the number of generated regressors to be included In the 98 James Davidson 2015 output the estimated coefficients are denoted typelFrac Z1 typelFrac Z2 These are akin to principal components of the omitted stochastic terms 32 Recommended settings are for the number of components are 1 or 2 The columns of higher order are very small so including
207. ior to the simulation This method is generally more numerically efficient and 105 James Davidson 2015 is particularly useful in models such as the probit logit Poisson etc where only single equation estimation is currently supported X To enable this feature simply reference a variable in the coded equation as X i where i represents the column number of the data matrix Referring to the variable by name is not supported y Only standard normal data can be generated in this way but the equation coding might apply transformations to yield modified distributions Don t forget that the previous contents of the data set are over written each time a simulation is run It s recommended to create placeholder variables to hold the generated data Do this using the Make Zeros and Rename commands in the Setup Data Transformation and Editing dialog OX CODING See Appendix C for information on compiling supplied code into the program Supplied Ox code can be used to return five types of object according to the selection made with the radio buttons Residuals Return a vector matrix of equation residuals as a function of data and parameters from UserEquation Return solved values and forecasts from UserSolve Log likelihood Return a vector of log likelihood contributions as a function of data and parameters from UserLikelihood Statistic Return a statistic or vector of statistics as a function of data and optional c
208. is either by selecting it using the menu see below or automatically by loading a model which specifies it The data set currently in foreground takes its place in the holding area The stored data sets are remembered between sessions and reloaded at start up provided the disk files containing them have not been moved or deleted Switch To Opens a popup menu with the list of data sets held in background memory Click a name to bring the selected data set to the foreground for analysis The data set currently in foreground if any moves to the background Note This menu is also opened by the Open File button on the tool bar When Load Multiple Data Sets is disabled this button opens the popup menu for disk file access Remove Opens a popup menu with the list of data sets in background Click a name to remove the data set from memory Remove All Removes all data sets from memory New Data Clears the foreground data space moving the current foreground data set to the background Notes l Data sets must have unique names corresponding to the name of the file containing them excluding the extension It is not possible to load files with the same name simultaneously even if they have different extensions file types or reside in different directories A warning is shown and unless the action is cancelled the new data set will overwrite the existing one Tip to avoid a clash save the current data set with a new name bef
209. is modified by adding a character EXPORTING SETTINGS 6 The Export option allows model specifications to be distributed to other users This option has the following features All relevant information is saved in the tsm file including the current data set s model listings usually saved in separate tsd files and supplied Ox code All local path information including MRU lists is omitted from the file When the file is loaded the stored data and listings files are automatically saved in the local Start in directory In this way the local installation can exactly reproduce the set up existing on the machine where the export file was created To be exported using Export supplied Ox code must be contained in one of the following locations 1 The standard file usercode ox located in the Start in directory 2 The file named in a include compiler directive in usercode ox In this case x any executable code in usercode ox itself is ignored e only the first include directive in usercode ox is recognized Any additional inclusions are ignored Any text in the results window which is highlighted when the File Export command is given is stored in the settings file and written back to the results window at start up This trick allows instructions and notes about the contents of the exported file to be easily conveyed to recipients of the file The Export function is distinct from th
210. is will often clear a problem with bad starting values Analytic derivatives are implemented for most models since these are faster than numerical approximation but the algorithms can fail in certain situations In the case of convergence failure from this cause the iterations are restarted with numerical derivatives enabled and a note to this effect appears in the output This setting is saved with the model in question Numerical derivatives can also be selected manually in Options Optimization and Run GRAPHICS FOR REGIME SWITCHING MODELS 20 For simple Markov and Hamilton switching models the M 1 series of independent filter probabilities can be listed and or plotted These are the probabilities of the regime being occupied conditional on information to date t as used to weight the likelihood terms in estimation In the case of Hamilton s model these are summed over lags p to reduce M p 1 181 James Davidson 2015 series down to M 21 For the explained switching model the M 1 series of variable switching probabilities are also plotted When regime dummies have been specified there are up to M 1 different series for each regime although differing only by the same offset at each t These are averaged to create the series plotted 22 For the smooth transition model the regime weights are plotted logistic functions of the transition indicator BOOTSTRAP AND SUBSAMPLING P VALUES 23 Resampling computing p values fo
211. it exists Go Creates new variable from the displayed formula Return Equivalent to pressing OK Escape Discards current editing restores existing formula Closing the text box with the Windows Close button x is equivalent to pressing Cancel Run All Evaluates all the currently stored formulae in sequence The button bar also displays a formula number i in the format i n where n denotes the number of formulae currently stored 3 6 Setup Automatic Model Selection Two options for estimating a sequence of models automatically are controlled from this dialog Note that they cannot be run simultaneously AUTOMATIC REGRESSOR SELECTION When this option is selected in the Actions menu or by pressing the Run Regressor Selection button the program chooses the set of regressors to optimize the chosen model selection criterion out of the specified regressors in a baseline model The option is described in detail in 6 4 Actions Automatic Regressor Selection Use the checkboxes in this dialog to choose which regressor Types are to be included in the initial set to search over For example select focus variables to be included in every specification as Type 1 regressors and nuisance variables whose inclusion is optional as Type 2 regressors To conduct the search over the latter set only uncheck the box Include Type 1 Regressors and check the box Include Type 2 Regressors Notes l To set the selection
212. lag order selected click on the radio button in question Regressors of Type 1 can have a different lag order specified from those of Type 2 It is recommended to e g make variables for lagging of Type 2 and others such as dummies of Type 1 If lags are not specified then regressors of Types 1 and 2 are equivalent In single equation mode if the dependent variable is selected as a regressor of Type 2 and Lags gt 0 only its lagged value s are included in the set This provides an alternative way to estimate an autoregression without numerical optimization In all other cases as a regressor of Type 1 or with Lags 0 the dependent variable is ignored In Equations System mode selecting the same set variables as the Dependent Variables and as Regressors of Type 2 with k gt 0 lags 89 O James Davidson 2015 selected results in the unrestricted VAR k system being estimated The trend term if selected with the checkbox is a regressor of Type 1 With this option selected lags of Type 1 regressors are disabled to avoid collinearity WALD TEST OF CONSTRAINTS 9 10 Estimation subject to constraints is not available for linear regressions LM tests of parameter constraints and fixing restrictions are likewise disabled although parameters can be fixed in the usual way However note that Wald and LM tests are equivalent in this case To perform an F test of significance of the regression check the Wald
213. lected 1f Level is also selected 2 Only one of the seasonal model options can be selected at a time The scroll bar setting fixes the seasonal frequency in conjunction these options otherwise it has no effect 76 James Davidson 2015 3 Trigonometric seasonals are available in two forms either constraining the variances of the trigonometric components to be equal or allowing them to be different 4 The parameters of the unobserved components ARMA model are identified in the Values dialog and outputs in the results window by a naming scheme based on the following identifiers Multiple cases e g cycles intercepts lags requiring numbering have the appropriate suffixes appended Shock variance Level f A SgLevel Slope f z a SgSlope Dummy seasonal SgSeasD Trigonometric seasonal SgSeasT Harrison Stevens seasonal f SgSeasH Cycle i f SgCycle ARMA y SgArma Irregular Sglrreg Cycle frequency l Lamdac Cycle damping factor Rho ARMA lag coefficients AR MA Signal noise ratio cubic spline q State intercept InterceptD Measurement intercept f E InterceptC 5 The state space ARMA coefficients and shock variance share storage spaces with the same parameters in conventional TSM dynamic equation models It is accordingly possible to formulate and estimate an ARMA equation in the Dynamic Equation dialog and then move with these estimates dire
214. legal Ox instruction and crashes a message is displayed and then it automatically restarts The Ox error message appears in the console window second TSM icon on the taskbar and can be copied to the clipboard and saved follow the onscreen instructions This message can guide users in debugging supplied code If the error is due to a TSM bug please send in the error message as 192 James Davidson 2015 34 35 requested The error recovery screen displays options for quitting continuing and exporting the current settings to a file This file contains valuable diagnostic information preserving the last recorded state of the program before the crash If possible please send in this file along with the error message Although Ox should read spreadsheet files such as the Excel xls format and xlsx files with Ox 6 2 it is occasionally found that such files contain incompatible features The message Data input failed appears In this event use Excel to save the file in comma delimited csv format These files are always readable and contain all the information relevant to TSM functionality If TSM is then used to save the data in xls or xlsx format the file will be readable by both TSM and Excel 193 James Davidson 2015
215. ll sample approximations for diagnostic LM tests on the mean model The default is to report the statistic W 1 W T where W is the usual LM statistic and T is the sample size If W takes the usual form of TR 2 in the artificial regression of the residuals on the gradients under HO the default is therefore TR 2 1 R 2 Ina linear model this is equivalent to normalizing the statistic with the unrestricted residual variance under the alternative The asymptotic distributions are the same under HO Check the option to report W itself When the F form of the statistic is selected this option is unavailable 144 James Davidson 2015 LAGS FOR THE ADF AND ERS TESTS OF I 1 These tests for the integration order of series are accessible in the Setup Compute Summary Statistics dialog The number of lags to compute the statistic can be chosen either manually using the scrollbar or automatically using a model selection criterion selected in the right hand panel of this dialog 4 The ADF Lags scrollbar is disabled unless the No Criterion option is selected The ADF lags can also be set in the Model Linear Regression dialog when the Cointegrating Regression option is selected In this context the setting is applied to the ADF based test of cointegration as well as the test of I 1 Note that the setting in either dialog is mirrored in the other the same internal counter is set in either location DIAGNOSTIC TESTS
216. log The window can be resized by dragging the corner with the mouse and also maximized to fill the screen Dialogs are displayed on top of the window In maximized display mode they can conveniently be arranged on the right hand side of the screen with the results printed on the left hand side The command File Load Text File allows the window to be used as a text editor To save text highlight it and use the File Save Selected Text command d This feature allows a user s code to be conveniently edited on the fly without needing to start up OxEdit The command File Restart closes and restarts the program in exactly its previous state including window contents allowing the amended code to be compiled 19 O James Davidson 2015 1 4 Dialogs Dialogs are where most interactions between user and program take place They contain objects of the following kinds Buttons to initiate actions including opening closing other dialogs Checkboxes to turn program options on and off Radio Buttons to choose from a set of mutually exclusive options Choice Widgets also known as pull down menus to make a choice from a list of mutually exclusive options Scrollbars to input numerical values usually integers e g sample size Text fields to input strings of characters from the keyboard These may represent names to label the output or real numerical values Lists columns of names usually of data series that can be selecte
217. lots of the empirical distributions generated By default resampling is deselected automatically after a single run Once There is an option to select it permanently as the inference method Always Selection is indicated by a flag on the status line B for bootstrap and S for subsampling The number of replications determines the accuracy with which the p value is measured However because of the small sample error in the p value due to replacing actual with estimated parameters the accuracy attained from a large number of replications is typically spurious The default of 99 implying accuracy is bounded by 1 is probably adequate in many cases 399 would be sufficient in nearly every case The Static option generates the bootstrap draws by adding the resampled shocks to the fitted values of the estimated equation This procedure is equivalent to the usual bootstrap method when the model contains only exogenous variables fixed in repeated draws although it is typically much faster On the other hand in models containing lagged dependent variables the resampled series are generated conditional on the lagged actual data not the lagged resampled data The m T option uses a bootstrap sample of length smaller than a fractional power of the observed sample This option may yield a consistent bootstrap in cases of data with infinite variance First select the number of bootstrap replications with the scrollbar Then sel
218. lsx format the file will be readable by both TSM and Excel 2 3 File Results Results and information appear in the program s text window The output can be saved to disk files in two ways 1 Select part or all of the window s contents using the mouse and append these lines to a designated file 2 Have all the output saved automatically to a file in the background Both methods can be used at the same time if desired The available commands are Enable Background Saving Switches on Background Save mode Disable Background Saving Switches off Background Save mode 38 James Davidson 2015 New Results File Opens the file selection dialog showing the current results file Choice can be an existing text file or a new one Notes l Results are always appended to the current results file To start a new file choose a new name or delete the existing file first 2 The default results file is results txt in the working Start in directory This will be created automatically if it does not exist There is no default name for selections You are prompted for a file name if one is not currently specified If background saving is enabled the New Results File command designates a new file for background saving If background saving is disabled the chosen file will be used for selected text 3 If the folder specified for a new results file is different from the working directory the results folder is changed acco
219. luded explicitly in the formula if any one equation does ia Models with these features cannot be estimated If the W reserved name appears in an equation for estimation an error message is generated However it will often be possible to estimate the same model in a different formulation Code the function separately for estimation by selecting Residual in this dialog and creating the counterpart nonlinear equation for W The reserved names E j can be used to represent the lagged residuals in this context In equation systems the generated shocks are written W 1 W 2 etc It is possible to simulate models having a recursive triangular structure The equations are solved sequentially and equations numbered 2 or above can contain solutions from the preceding equations These are coded using the reserved names E 1 E 2 etc NOTE Such equations cannot be estimated in general TSM can handle only linear simultaneity in estimation SIMULATING WITH RANDOM EXPLANATORY VARIABLES Monte Carlo experiments may need to be conducted under random regressor assumptions so that the estimators simulated are marginalized with respect to the distributions of exogenous variables One way to achieve this is to set up a recursive triangular multi equation model in which one or more equations generate the explanatory variables Another way is to insert normally distributed random numbers directly into the relevant columns of the data matrix pr
220. matically calculated as 3 4 times the row value 4 3 times the column value NOTE These settings do not affect the screen display DATES IN PLOTS 4 The default date display mode is selected automatically when a new data set is loaded Alternative settings must then be re selected in the dialog The defaults are YYYY for annual or quarterly data id MM Y Y Y Y for monthly and higher frequencies de DD MM Y Y for dated daily or weekly data dd Labels for undated data 5 By default Labels are set to the row numbers of the data matrix An option 161 James Davidson 2015 also exists to create arbitrary observation labels as a column of the data file For details see 3 3 Setup Data Transformation and Editing Edit Set Date Labels Dates are disabled in the cases of panel samples and samples selected by indicators In these cases consecutive observation numbers do not in general correspond to consecutive dates With daily weekday data unless calendar dates have been loaded with the data see 2 2 File Data the date indication is generally approximate since there is no allowance for missing days such as holidays In most daily data sets with large numbers of observations the axis labels should provide an adequate approximation OTHER PLOTTING OPTIONS 8 10 11 12 13 By default plots are displayed with an embedded title This can optionally be either changed by the user or simply suppressed Checki
221. matically using a model selection criterion unless the No Criterion option is selected 12 Check the Report LR Variance checkbox to see the estimates of the long run variance of the series differences in an I 1 test For the ADF and ERF GLS test this is computed from the fitted autoregressive model parameters in ADF regression In the PP and ERF P tests the spectral estimate HAC variance estimate is reported 3 9 Setup Nonparametric Regression Opens a dialog to specify a Nadaraya Watson estimate of the conditional mean using the Gaussian kernel Two variables must be selected from the list the dependent variable y and regressor x Use the radio buttons to toggle between these choices Press Sample to open the Set Sample dialog and select the sample to be analysed Sample 3 This sample is shared with the semiparametric long memory estimators and can be set in either dialog By default the bandwidth used is S n 1 5 where n sample size and S is the sample standard deviation of the regressor Use the scroll bar to increase or decrease this setting by factors of 2 The function is plotted with the y x scatter optionally superimposed 3 10 Setup Semiparametric Long Memory This dialog computes estimates of the long range dependence parameter d using one of three semiparametric methods Narrow band log periodogram regression Geweke and Porter Hudak 1983 The log periodogram points for j 1 M are regress
222. me Batch_Run ID txt This can be loaded in the TSM window using the command File Load Text File Note t The listings for the run are stored with the Data Generation model Reload this model to see the plots If Parallel Runs is set to 1 or greater the action is different 68 James Davidson 2015 30 see 31ff below If the checkbox Defer External Jobs is checked in Options General the Ox file containing the job is created but not started automatically Use this option if the job is to be run at a different time or on a different machine for example CONDOR 31 32 33 If running on a network with the Condor HTC system implemented the procedure for launching a Condor job is effectively the same to processing on the local machine as described above Simply check the Run Condor Job checkbox when this is displayed Like external jobs to be run locally Condor jobs can be either started from within TSM or deferred to be launched manually See Appendix H for information on working with TSM in the Condor environment Condor can optionally copy the Ox files needed to run the jobs from a different Ox installation The obvious application here is where the user is running the 64 bit versions of Ox and TSM under Windows while the Condor cluster consists of 32 bit workstations Then the files need to be taken from a 32 bit Ox installation Set the item Condor Alternative Executable to TRUE to enable this
223. mple in spreadsheet format 132 James Davidson 2015 Notes Unselect a selected variable by clicking it second time Press Clear to unselect all selected variables Double clicking a variable on the list just displays the plot Selecting with a single click and then pressing Go plots the variable s and leaves them selected Three modes of display are available for time plots correlograms and partial correlograms spectra and QQ plots The mode is selectable by the radio buttons in the Options Graphics dialog gt Individual each variable plotted in its own frame i One Frame multiple individual graphs in one frame One Graph multiple series plots overlaid in one graph with common axes In Individual mode multiple representations of a series e g time plot correlogram etc are still displayed in one frame Draw these separately to get them in their own frames In One Frame mode up to 36 graphs can be displayed in one frame However with a large numbers of plots the quality of the display on a standard monitor is not too good In One Graph mode line colours and styles are assigned according to the line style selections in Options Graphics variables being ordered by their position in the list For more flexible assignment of styles see Multi series Plotting below This mode is not available for Histogram Density plots if these are selected the mode defaults to One Frame If either th
224. mporary files on Exit is checked However their contents can also be imported directly so that models can be passed from one installation or project to another The program creates various files in standard text format including results files images of the results window text 184 James Davidson 2015 xls xlsx csv ox png eps and settings files created with the Settings Save Text command These files can be view and edited in Windows Notepad or other word processing programs Microsoft Excel spreadsheet format is the default format for saving data sets forecasts and other listings Other options available in the Options Output and Retrieval dialog csv files are text files have the same capabilities as the Excel 2 spreadsheets created by Ox and are widely portable Text files containing Ox source code They can be executable such as tsmod_run ox but can also be included in other ox files using the compiler directive include In normal use a user s code files should be include d in the standard code file usercode ox which is in turn included in the executable tsmod_run ox Graphics file produded by Gnudraw formatted for input to Gnuplot These files are deleted by default after Gnuplot has processed them but are optionally saved in the Results directory for further processing by the user They are ordinary text files and can be viewed and edited in Notepad OxEdit and simil
225. ms such as the built in intercept are deselected to avoid duplication and an unidentified model METHODS There are three ways to code a model for estimation L IL TIL Metho Metho Type coded formulae for equations or equation components into the text box interactively Supply the code for the model equations as an Ox function and compile this with the program Write Ox code as in II but for the complete likelihood function d I is easiest to implement but limits the function to a single line of code ds II and II allow any degree of generality but require a minimum of programming expertise Since the function is compiled with the program TSM must be stopped and restarted to make changes to the specification INTERACTIVE CODING To set up the model do as follows 1 Open the Model Coded Equations dialog and select one of the radio buttons Equation Residual Nonlinear MA and Nonlinear ECM 2 Select the dependent variable s in the usual way in the Model Dynamic Equation dialog 3 Type the equation formulae in the text fields Use Previous and Next to navigate the fields Clear to initialize the formula and Cancel to discard changes and revert to the stored text 4 Press Test to check the model parses OK and list the parameter names in the name fields below Notes 1 See Section 1 5 General Entering Formulae for detailed 101 James Davidson 2015 instructions on entering c
226. multiple machines proceeds automatically as if being run on the local machine When the runs are completed the outputs from each instance are written to temporary files with names matching the Ox files and the tsd extension Press the Results button choose Load Results from File 69 James Davidson 2015 36 37 and select any file called Batch Run ID _Inst tsd in the file dialog The complete results for the runs are automatically imported and aggregated into a single set of tables for display The option is presented to save the aggregated results in a new tsd file and delete the individual instance files ox and tsd in addition to output and log files if these have been created Note id There is no need to wait for all the instances to complete to perform the aggregation step Select the highest numbered file to be sure that all those available are loaded ig However don t choose the temporary file deletion option until all instances are returned Aggregation must be done as a single operation An alternative way to load the batch outputs is by the command Files Tabulations MC Batch Results Or in Windows simply drag any of the files to the results window with the mouse An alternative way to save the aggregated results is by File Listings Save Listings File By default the instances return the actual replications Sorting and frequency calculations are done at the aggregation s
227. n folder Press OK to confirm the change or Cancel The file categories are Results This folder holds the automatic results window listing enabled by File Results Enable Background Saving and other text files also graphics files of all types Data Default location of data files Model Files Temporary files with tsd suffix holding data associated with models EDF Files Empirical distribution function files in spreadsheet format created to provide test p values Typically an EDF file is associated with a model User Code Files with extension ox supplied by the user to be compiled with the main program Batch Files Code ox files and output tsd files generated for external jobs such as Monte Carlo experiments run in parallel including Condor jobs These files are temporary and are normally deleted after their contents has been consolidated Notes 43 James Davidson 2015 The file locations are stored in the TSM settings file and remembered between sessions The same folder can be used for any or all of the file categories By default this is the home folder Using separate folders becomes the more convenient option when large numbers of files are generated These locations can be subfolders of the home folder and can also be located elsewhere in the file system If the model EDF and user code file locations are changed the files associated with the current program settings are moved physi
228. n in Notes the Setup Monte Carlo Experiment dialog The files read by these commands must have a spreadsheet format and extension but also require special formatting to be read successfully TSM optionally creates these files in the course of running simulation experiments Alternatively given suitable data the files might be constructed manually in a spreadsheet program The format specifications are given in Appendix G EDF tables are stored in the listings tsd file created for a model and are loaded along with the model if this file is available If listings file is unavailable when a model specifying EDF critical values is loaded TSM looks for the specified spreadsheet file This might be the case if the estimation job is being run as an external process in a different location for example An exported settings tsm file bundles all material relevant to each stored model including data sets and EDF tables When such a file is loaded both the data and EDF spreadsheet files are created automatically in the working directory 2 6 File Graphics Save last Graphic gt Saves the most recently displayed graphic to a file Optionally one can either open the file dialog to enter a name for the graphics file or accept the default file name Import Graphics Settings Open the file dialog to select for import a previously exported store of the settings for the Options Graphics dialog Export Graphics Settings
229. n in the data table taking precedence over Ox format Year Period dates To reinstate the latter give the Set Dates command as above CAUTION Calendar date information will be deleted permanently to Results Window This command allows observations to be cut and pasted into other applications Variables are listed in single columns even if two or more are selected Use the Sample dialog to select the required range before giving this command TRANSFORM COMMANDS x Most commands in this menu can also be executed using the Edit Make Formula command Here they can be performed with a single click on any number of highlighted variables Created series is are added to the end of the list with a self explanatory prefix or suffix appended to the name s Use Edit Rename to change the automatically created name if desired Use Edit Delete to remove any unwanted series i Xt t 1 T denotes a highlighted variable in the data set x Mt t 1 T denotes the marked variable if any id j represents the scrollbar setting for leads lags differences si C d E Lamda represent values entered in the text field Lag Xt j Lead Xt j Difference a Xt Xt j Log Difference log Xt log Xt j Difference 100 Xt Xt j Xt j Fractional Difference Sum i 0 t 1 Bi Xt 1 where Bi Gamma i d Gamma d Gamma it 1 Cumulate Sum j 0 t 1 Xt 52 James Davidson 2015
230. n the normalized residuals and a bounded nonlinear function of the exogenous variables this test is supposedly consistent against all nonlinear functional form alternatives CM and LM tests are not available for use with the Whittle estimator In GARCH type models CM tests use the normalized variance adjusted residuals as the test covariates In tests for neglected ARCH at least fourth order moments must exist and failure of this assumption can invalidate test results caution is advised when interpreting the findings CM diagnostic tests are always computed with the joint covariance matrix of scores and moments computed by the robust method see 21 below Moment tests can also be specified using one of the HAC estimators see Actions Compute Test Statistics Moment Tests It may prove impossible to evaluate the White heteroscedasticity tests because the columns of the indicator matrix are linearly dependent In this case principal components of the test indicators are used with a corresponding reduction in the degrees of freedom of the test RESIDUAL BASED TESTS The following tests are applied to a single equation s residuals Hence in multi equation models a test statistic is computed for each equation x The Durbin Watson test is included only for heritage reasons It is asymptotically equivalent to the Box Pierce Q statistic for 1 lag The LM or CM tests for residual autocorrelation are recommended in a regression
231. nd Corr Y_t Y_t j gt The cross correlation sequences Corr X_t Y t j and Corr Y_t X_t j Note that stationarity is assumed so that Corr X_t Y_t is taken to be the same as Corr Y_t X t j 6 Check the Partial Correlogram checkbox to print the partial autocorrelation functions PACF instead of the simple autocorrelations T Optionally the number of correlogram and partial correlogram points plotted in Graphics Show Data Graphic can be controlled by the setting in this dialog Check Make Graph Order to enable this feature 8 Check the Quantiles checkbox to report the following quantiles of the data distribution 0 01 0 05 0 1 0 3 0 5 0 07 0 09 0 95 0 99 For small samples the extreme cases are omitted gt Note that if detrending is specified the mean of the distribution is zero by construction 9 The Sample button opens a dialog to set the sample period to be analysed Sample 2 See Setup Set Sample for details 10 The test p values are computed from the published tables and are not 60 James Davidson 2015 available for every ordinate The values given are upper bounds Dickey Fuller s table for the maximum sample size is quoted for the ADF and Phillips Perron tests and in this case the probabilities refer to the lower tail 11 The settings for the various order tests bandwidth kernel ADF lags are selected in the dialog Options Tests and Diagnostics Note that the lags are chosen auto
232. nd probit models and count data models All these models can feature conditional variances and Markov switching or smooth transition nonlinearity 10 SELECTING VARIABLES Model specification dialogs include a list of variable names corresponding to the currently loaded data file Selecting a variable is a two step procedure First select a radio button specifying the variable Type dependent variable s one of several types of explanatory variables instruments and so forth Next click on the desired name in the list to highlight it The list can be scrolled if it is too long to display complete in the dialog Note that when one or more variables are selected in a category the corresponding radio button is highlighted with a lighter grey panel To see which variables are currently selected in a particular category click on the radio button in question A little practice helps to get variable selection smooth and rapid and it is a good idea to click on each highlighted button in turn to check the specification is as desired before launching the estimation run To deselect a variable simply click on it again to remove the highlight There is also a Clear 9 James Davidson 2015 button to remove all the current selections NOTE to display time plots of one or more variables highlight them in the list and click the Data Graphics button on the toolbar 11 VARIABLE TYPES Explanatory variables in an equation can be of two or th
233. nder Interface Settings This allows both Options General and the other dialog to be open together o With Tool Tips activated view the current assignment by hovering the mouse pointer over the button O Buttons 2 6 are removed from the toolbar if unassigned 174 O James Davidson 2015 Button 1 is set to the default of re opening the last dialog opened SPECIAL SETTINGS 21 22 23 24 A pull down menu gives convenient access to a range of parameters that control the performance of various tests and other procedures selectable in the program These are gathered here to reduce the clutter in other options dialogs since they are changed only infrequently This facility is designed to be expandable as more tests and diagnostic procedures are added to the program in the future Ifa parameter take a fixed number of discrete values such as TRUE and FALSE simply double click the text box to change the setting or cycle through available values when there are more than 2 Otherwise type numerical values into the text box Passing the mouse pointer over the box registers the new value Be careful not to move the mouse while typing the entry In Initialize Run ID enter a nonnegative numerical value to reset the run counter to that value The change comes into effect the next time settings tsm is saved e g the next time an estimation is run The entry displayed then reverts to the default value OFF If the next ac
234. ndow A The action taken depends on the file extension 7 See 2 2 File Data for a list of the supported data file types se Multiple file drops are supported Cases where only single file drops allowed are indicated by S Special actions are performed on files with the indicated name prefixes File Type Equivalent Menu Command settings file tsm File Settings Open S model file tsd File Settings Import Model data file File Data Open text file txt ox h File Load Text File data file EDF _ File Data Tabulations Load EDF Table S data file DNS_ File Data Tabulations Load Density Plot S tsd file Batch_Run File Data Tabulations MC Batch Results S matrix file MAT_ Setup Matrix Calculator Load File S 26 O James Davidson 2015 2 File 2 0 File General Information This menu gives access to submenus for Settings gt gt Save and load tsm files Data gt gt Save and load data files including empirical distributions for test statistics Results gt gt Control the saving to a file of output from the results window Listings gt gt Save items of output from estimation or simulation runs to spreadsheet files Graphics gt gt Save a copy of the most recently displayed graphic Load Text File Allows the results window to be used as a text editor The contents of the chosen file will be appended to the existing window contents
235. ndow To view the Actual Fitted and Residual plots click the Twin Graph button on the tool bar 12 James Davidson 2015 To use less than the complete sample for estimation click the Select Sample button to open the sample setting dialog Use the scroll bars to select the first and last observation When you launch an estimation run open dialogs are closed automatically to show the results window Click the Windows button on the tool bar to restore them to their previous locations on the screen 4 HOW TO GENERATE QUARTERLY DUMMIES Click the f x button on the tool bar Click the Edit button then scroll down the choice widget pull down menu until you find Make Seasonals A scroll bar to choose the frequency appears Select 4 and press Go Four dummy variables are added to the data set Add only three of them to your regression if you have an intercept 5 HOW TO TAKE LOGARITHMS OF YOUR DATA Click the f x button on the tool bar Click the Transform button then scroll down the choice widget until you find Logarithm Highlight all the variables on the list you wish to transform Click Go The transformed variables are added to the data set identified with the prefix Log added to the name To give a more convenient name if desired select Edit and Rename with the choice widget and enter the new name in the field provided 6 HOW TO TEST THE SIGNIFICANCE OF THE REGRESSION The following proced
236. ng either restricted or estimated This is sometimes called an Error Correction Model ECM Most often an Eq R has the 109 James Davidson 2015 interpretation of a cointegrating relation in a system of I 1 variables although it could also in principle appear in a model of stationary processes Eq R s can also appear in single equations in which case they implement a re parameterization of the dynamic model in ECM form Choose one of the three options for specifying the equilibrium relation s A Select Linear Equilibrium Relations to specify the relation s by choosing variables from the list B Select Nonlinear AR Closed VECM to include the set of dependent variables as lagged regressors automatically C Select Coded Equilibrium Relations to specify nonlinear equilibrium relations using the Coded Function dialog Use the first scroll bar to select the number of Eq R s to be included in the model x Use the second scroll bar to chose the lag to apply to the Eq R s must be gt 0 ds Restrictions on each relation are set up in the Values Equilibrium Relations dialog Notes Options A and B l Every Eq R must contain at least one fixed coefficient otherwise the relation will be unidentified Set the fix in the Values Equilibrium Relations dialog If no restriction is set manually the first coefficient in the list will automatically have its coefficient set to 1 when the estimation is run Note Th
237. ng the Edit Title checkbox causes a text entry box to appear when a graphic is generated This contains the default title for either modification or replacement Note that this option cannot be selected if the No Title checkbox is checked When the origin falls in the range of the plot the zero axis is drawn as a light grey broken line by default This option can be turned off using the Plot Zero Axis checkbox When the option RH Scale is selected in Graphics Show Data Graphic two zero axes may be drawn for the left and right hand scales respectively Plots have a white background by default A light grey background is a selectable option when plotting with Gnuplot 4 6 3 and later NOTE This option is not available in the bundled Gnuplot 4 2 Files with extension PLT are created by GnuDraw for processing by GnuPlot These are text files that can be edited for further processing if you know the GnuPlot command language If the box Keep PLT Files is checked these files are retained in the results folder after creating a graphics file Otherwise they are deleted automatically The Double Chart button on the toolbar displays by default time plots of the actual and fitted values and the residuals The button is disabled until an estimation has been performed If the option Extended Actual Fitted Residual Plots is checked two additional plots are shown the actual fitted scatter plot and the histogram and kernel density
238. ngs are shared by other program features They should not generally need changing 15 For details on the implementation of the I 0 test see 6 8 Actions Compute Test Statistics Bootstrap Test of I 0 CONSISTENT SPECIFICATION TESTS Note to simplify the interface dialog controls for the advanced consistent tests of functional form and dynamic specification including Bierens tests are not displayed by default To switch these features on go to Options General Special Settings and set Show Consistent Test Settings to TRUE double click toggle The consistent tests of specification which we generically refer to as CS tests are based on the covariance between a target series derived from the fitted model and an exponential test function of explanatory variables See Models and Methods for full details i Select the variables to appear in the test function and a fixed number of lags in the dialog accessed with the Test Variables button To include polynomial distributed lags of the test variables permits long lags with fewer nuisance parameters set the polynomial order P in this dialog o If P 0 the lags in the test function are set in the Test Variables dialog O If P gt 0 this setting is ignored The possible target series are 1 model residuals Bierens tests 1 d f test 2 score contributions full gradient vector p d f test 3 individual score contribution elements 1 d f test e The test statist
239. nococonoconnnonnnconncconocannconnnon 123 6 6 Actions Plot Criterion Grid ad A di 124 6 1 Actions Multi Stage GMM idad 125 6 8 Actions Compute Test Statistic ssc SS 125 SCORE LM TES Ti A N EENE dune ones 126 MOMENT M or CM TEST uu cecceeseesscesseeeceseceecseecaecaaecseecaeecaeeeaeeeneseeeseeeesesesnaeeeaeenaeenaes 126 LM TESTS OF PARAMETER RESTRICTIONS cesceeneeceseceeeceeeeeeeeecsaeeeeaeeceeeeeaeeess 127 WALD TEST OF SET RESTRICTIONS 2 00 cece ceecceeneecseceeeeeceaeeeeeeecaeeeeaeecaeeeeaeecsaeeeeneeee 127 SPECIFIED DIAGNOSTIC TESTS aeee anna iaaa a e E AEE AAEE SEn 127 TEST FOR I 0 DEPENDENT VARIABLE ss ssseessesesssrsersseeesstsrrssesrsssernessreressesresreseesessee 127 6 9 Actions Compute Forecasts amp IRS o oooooocinocccococonccconoconc cono nonnncnonocnnoconnnoo 128 6 10 Actions REEVES died 128 6 11 Actions Simulate Current Modelos adds ide 129 PANEL DATA dei ds 130 6 12 Other Commands yicissuvisss Asem totast Mea E des need athena 130 SET DEFAULT VALUES icons ten s ie E E AN EE 130 CLEAR VALUES a or E E E EEE EA STEE O E OE O 130 CLEAR RESULTS WINDOW carnero iiig i O CEOE EEO E EE e a 130 SEARCH RESULTS WINDOW cccssscosccessserccesssecneccesssesveccessaesrsccesssvonsscesssvonsesennens 130 CLOSE ALL DIALOGS ini asin 130 RESTORE DIALOGS 2 xis sececanc seanedt scuseennstadhevascetetsics dueetensueanegesasiventseuiatens caceeih EN toast A 131 RESET DIALOG POSITIONS nionee teak eesne A E N A A
240. nored By default the sieve AR method used an increasing function of sample size as maximum lag order For this case enter 1 in the Max Sieve AR Lags text field Setting a zero or positive value over rides the default Setting 0 is equivalent to the regular bootstrap method If Bootstrap Block Bootstrap is selected with block length 1 and the random number seed is set to 1 the shock generation procedure returns the actual model residuals in original order The generated series should then be identical to the original data series apart from possible rounding error This feature provides a check that the simulation module is inverting the fitted model correctly Note that to generate Markov switching models also requires a latent switching process so this check will be valid only if 157 O James Davidson 2015 10 the Markov transition matrix is fixed at the identity matrix The option Wild Bootstrap Skewness sets the parameter a such that the t th drawing is e u_t where u_t is the sample value fixed and e a and 1 a with probabilities 1 1 a 2 and a 2 1 a 2 respectively Note that this setup preserves the first two marginal moments of the distribution The default is a 1 which always yields a symmetric distribution but preserves kurtosis Setting a 1 618 preserves the original skewness if any but doubles the kurtosis The value of the Kolmogorov Smirnov statistic comparing the fit of the original data points
241. ns Data program listings and graphics are similarly saved to the file settings tsd If the program is closed down restarting it restores the working environment exactly as it was before The current settings can be saved to a different named file using Save as for subsequent reloading by the command Open The default settings files are read at start up if they exist The current data set is loaded directly from settings tsd even if the original spreadsheet file has been moved or deleted in the meantime data being sourced from the spreadsheet file only if settings tsd is absent Optionally this feature can be disabled see Options General Operational Settings Save Data with Settings TSM can be started by double clicking on any settings file This loads the file in question as if loaded by the Open command System settings are always written to settings tsm however named settings files are changed only by the Save as command IMPORTING MODELS 4 The Import Model command can be used to access model specifications stored in tsd files which can include data sets created with a different settings file or a different installation This option which replaces a superseded import command that operated on tsm files only works for 30 James Davidson 2015 5 tsd files created with TSM 4 27 and later releases If a model is imported which has the same name as an existing model its name
242. ns Otherwise it is invalid It is safer to run the test by checking the LM Tests of Parameter Restrictions checkbox in Options Tests and Diagnostics and then run the estimation of the model The test is then reported automatically If the model has been estimated subject to parameter constraints set up through the Model Parameter Constraints and Values dialogs select the option Restricted Estimation then the LM test is performed on these constraints ignoring any fixes This allows the option to be used to test restrictions while other parameter fixes are in force Note Parameters cannot be simultaneously fixed and subject to constraints Uncheck any fixes on constrained parameters before running the test WALD TEST OF SET RESTRICTIONS 9 This option does not open a dialog but simply computes the test of the constraints currently specified in Model Constraints and the Values dialogs The option allows new constraints to be tested on the current estimated model without re estimation If no constraints are specified it does nothing SPECIFIED DIAGNOSTIC TESTS 10 This command evaluates the optional tests that have been specified in the Options Tests and Diagnostics dialog These are computed automatically following an estimation or evaluation run but this method allows additional tests to be computed without generating the complete estimation outputs TEST FOR I 0 DEPENDENT VARIABLE 11 12 This option
243. ntation is recommended SCATTER_PLOT OPTIONS 12 13 Scatter plots styles allow the form colour and size of symbols to be chosen Scatter 1 is used for all data plots and for actual fitted plots Scatter 2 is used only for the post sample actual forecast scatter when the one step forecasting option is selected The RGB Scatter option colour codes the points in a scatter plot according to their position in the sample The initial points are coloured 165 James Davidson 2015 red those in the middle green and the end of the sample blue with a smooth interpolation from one colour to the next Try plotting the scatter of a variable against the trend dummy to see the effect Select a filled symbol square circle or triangle for best results If monochrome plots are selected the coding is a greyscale running from black to white Note This option is not available for actual fitted plots which include post sample actual forecast points 8 6 Options ML and Dynamics Press the button GARCH Settings to open a separate dialog for selecting various options relating to models of the conditional variance The dialog is also accessible from Model Conditional Variance Options ML PARAMETERIZATION l The residual variance and GARCH intercept are scale dependent parameters bounded below by zero In some models such as highly persistent FIGARCH models the GARCH intercept can be very small and estimation close to
244. nte Carlo experiments A flexible interactive Monte Carlo module is provided 7 MODELS A model is a complete set of specifications and values to estimate simulate or forecast an equation or system of equations Any number of these specifications can be stored and recalled during a session as well as saved permanently in the settings tsm file For example this option allows the user to run an exploratory regression on the fly while working on a complex multiple equation model without losing any settings and values Just use the Model Manager to store the current settings and values to a named model optionally including the data set Load the model to restore them again The generated series graphics and optionally data set associated with a model are stored in a file with tsd extension and blue TSM Windows icon Models are also used for running Monte Carlo experiments Select one model 8 James Davidson 2015 to generate the data using the simulation module and another or the same model for estimating allowing a very flexible approach to misspecification analysis 8 PROGRAMMING WITH TSM TSM can be called as a module in your own Ox program It is easy to write out the commands and options set by TSM dialogs as lines of Ox code Your program can call the main program functions such as Run_Estimation and Run Simulation and perform further operations on the output The special scripting language is fully detaile
245. nu each edited to point to a different Start In directory Give these shortcuts suitable names to distinguish them Another use for multiple instances is where TSM is running the user s Ox code The supplied Windows shortcut TSM4 with User Code provides an example See Appendix C for further details TROUBLESHOOTING 31 32 33 If the program appears to behave unpredictably this may be because a setting has been changed inadvertently For example gt The values of certain estimated parameters e g MA parameters GARCH parameters can depend on program settings If a parameter is fixed at zero in the Values dialog no value is reported for it in the output It might appear that the estimated specification is different from the chosen one Note that when variable s are fixed the relevant Values button is highlighted and menu item s checked as a reminder i Corruption of the settings file which is reloaded at start up unless renewed can occasionally occur If you cannot figure out what the problem is reset the program to defaults with File Settings New Alternatively close the program delete the settings tsm file and restart Another option is to write the current settings to a text file File Settings Save Text and inspect this output Note that only non default settings are listed The usage of variable names can be checked in the programming manual If the program attempts to execute an il
246. o store the estimated model automatically following a successful estimation run see Options General Use this option with care since the settings file could potentially become very large In addition to parameter values results and listings associated with a model are stored in a file with the name of the model and the suffix tsd These files are not intended to be read or manipulated outside TSM To save results to spreadsheet files use the commands under File Listings However note that the latter data cannot be read back into the program for purposes such as graphing or calculating tests 85 James Davidson 2015 10 11 If the Store Current Model command is given following a Monte Carlo experiment the replications or frequency tables whichever have been specified are stored in the tsd file under the given model title If the Store Data with Model box is checked a copy of the data set is saved in the tsd file This will be loaded automatically when the model is re loaded If this box is not checked you are prompted to save the current data file if it has been edited and the file with this name is reloaded with the model however there is no protection against it being altered in the interim in this case If Store Results with Model is checked the text of the last run estimation output is stored as a string When the model is re loaded the next tile Actions Evaluate at Current Values is chosen or
247. o the currently selected results folder under a descriptive name appended with the run ID number or optionally through the file dialog Available file formats are the same as for data as selected in Options Output and Retrieval When saving in MAT format the columns headings are listed in the results window There is an option to save all listings automatically following a run see Options Output and Retrieval By default the output to the Forecasts spreadsheet contains a selection of quantiles of the forecast distributions either from the bootstrap distribution in Monte Carlo forecasting case or otherwise Gaussian To simplify this output to contain only the point forecasts means or medians in the Monte Carlo forecasting case go to Options General Special Settings and select Export Point Forecasts Only from the pull down menu Double click the text field to toggle between settings True and False In the Recursive Forecasts spreadsheet the rows of the table match the rows of the Recursive Estimates table The entries in the first column correspond to the dates from which the forecasts are projected forward The j step ahead forecasts for j 1 2 then appear in successive columns This arrangement is in contrast to that of the Forecasts spreadsheet in which the row count corresponds to the number of steps ahead Here the first column shows the dates of the observations being forecast 2 5 File Ta
248. odels the dialog shows the parameters of these switching models In the Markov case the switching probabilities are constrained to be positive with their sum in 0 1 such that the implicitly defined Mth probabilities are nonnegative These are transformed to unconstrained values t_ ji for estimation using a logistic map See Models and Methods for the mapping formulae These values are displayed in the output with standard errors To show the t_ ji values in the dialog with upper and lower bounds transformed similarly when shown check the Display Logistic Transformations checkbox By selecting the Estimate Regime Differences option the Markov switching probabilities can for example be constrained not to depend on the current state Under this hypothesis the sample is simply a random mixture of regimes prevailing with the unconditional switch probabilities Note that the null values of the incremental probabilities of regimes 2 M are 1 M corresponding to t_ j2 t JM 0 If regime dependent coefficients are specified in Explained Switching use the Next Regime button to cycle through the regimes or the Regime choice widget on the toolbar to select a regime directly Note that specifying only the intercept and regime dummies in the explained switching model provides another way to estimate the simple Markov switching model in an alternative parameterization 120 James Davidson 2015 6 Actions 6
249. odes into the text field Parameters removed from the equation are not deleted automatically but are suspended Clear the name field manually to delete a parameter permanently from the model Increase the Maximum Parameters value and refresh the dialog to display additional fields TYPES OF FORMULAE Equation Residual The equation is entered explicitly in the format Formula where the formula corresponds to the explained part of the model and implicitly the dependent variable named in the heading appears on the left of the The residuals corresponding to the function f1 in equation 4 29 of Models and Methods are computed as the difference between the left and right hand sides of the equation Use this style whenever the model can be represented in the form required which is most cases Enter an expression which itself equates implicitly to the residuals of the model f1 in equation 4 29 In this case no sign should appear in the formula The purpose of this option is to allow models in which the dependent variable s enter s nonlinearly Since the model cannot be solved automatically no Actual Fitted plots forecasts or simulations are available in this case This option is also used for the formulation of equilibrium relations for ECM models Nonlinear Component This is a nonlinear function of regressors f2 augmenting or replacing the Type 2 regressor selection This componen
250. ommand causes the file usercode ox to be created if necessary then edited to contain the line include chosen file The chosen file must have extension ox If necessary the executable Ox file tsmod_run ox is also edited to include and define USER_CODE include usercode ox compiler directives Notes ie Only one code file at a time can be compiled Any other include statements are deleted from usercode ox Other lines are commented out id The currently stored usercode file name is used by default Open the file dialog at the prompt to select a different one is To remove the currently loaded code file from memory open the file dialog at the prompt and press Cancel The Restart Load Text Input command causes tsmod_run ox to be edited to include the directive define TEXT_INPUT and the statement 28 O James Davidson 2015 Text_Input include chosen file which include the contents of the chosen text file as lines in the Text_Input function After the restart these lines are deleted to restore tsmod_run ox to its previous state 10 The Restart Load Text Input command causes tsmod_run ox to be edited to include the directive define TEXT_INPUT and the statement Text_Input include chosen file which include the contents of the chosen text file as lines in the Text_Input function After the restart these lines are deleted to restore tsmod_run ox to its previous state 11 Normally th
251. on implemented through coded equations is to replace one or more data series by columns of standard normal random drawings before a simulation is run This facility allows simulation experiments under 129 James Davidson 2015 random regressor assumptions without formulating a multi equation model See Model Coded Equations and General Entering Formulae for details PANEL DATA 9 To simulate panel data a formatted panel data set must be loaded so that the program is in panel data mode Shocks can be generated either as bootstrapped residuals or as Gaussian pseudo random variates In the latter case the within and between variances are set in the Model Panel Data dialog Random effects are produced by setting the between variance to a positive value Note the within variance setting overrides the variance setting in Options Simulation and Resampling 10 In the residual bootstrap option individuals are drawn randomly with equal probability and then the dated observations are resampled from the residuals for the selected individual using the resampling scheme selected in Options Simulation and Resampling 11 The Data Transformation settings in Model Panel Data are ignored in simulations The actual data are simulated using the actual exogenous variables 12 Systems of panel equations can be simulated However if the Gaussian shocks option is adopted in this release all equations have the same variance
252. onal plots created by Actions Plot Criterion Grid and Graphics Show Data Graphic Bivariate Density If both is selected the resulting plot is the same as the surface plot with contours drawn on the floor p_1 p_2 plane of the three dimensional graph DISTRIBUTION PLOTS 21 These plots are available to for univariate and bivariate data distributions bootstrap and subsampling distributions and Monte Carlo distributions and also for Monte Carlo ex ante forecast distributions at specific dates Optionally either or both of the kernel density estimate and the histogram can be selected with both selected by default Also optionally available are the normal curve with matching mean and variance and for univariate distributions only the cumulative distribution function CDF plotted in a companion frame 8 5a Options Graphics Lines and Symbols Series can be plotted by lines connecting the data points default by symbols at the points or by both lines and symbols Plots can be selected as colour or monochrome where in the latter case full lines and patterns of dots and dashed lines can be selected These are general settings The choice of individual colours and styles for each line is selected in the line and symbol styles area Notes l If the Lines radio button is selected the Symbol choice widget and size selector are disabled 2 If Both is selected the inclusion of symbols can be overridden for individual l
253. one specification has to be created and stored This is the natural approach for an unrestricted VAR for example To have the equations different from each other e g with identifying restrictions imposed the method is to create an inclusive specification of which all the actual equations are special cases and then fix the surplus parameters at zero in the Values dialogs enter 0 in the value fields and check the Fixed checkboxes While editing values one can switch easily from one equation to another using the Next Equation button or the choice widget on the tool bar Parameters fixed at 0 are not reported in the output although those fixed at non zero values are listed as such Systems of coded nonlinear functions can be estimated in the same way While their specifications can differ each has the common set of named parameters assigned to it fix the surplus ones in Values Equation so that the search algorithm ignores them Simultaneous equation systems can be specified by including variables as both dependent variables and Type regressors When their presence in both sets is detected by the program the system is estimated by FIML It is the user s responsibility to ensure that identifying restrictions are imposed on the equations in this case In vector ARMA and GARCH models specified in the Dynamic Equation dialog the lags of all the variables are included by default in each equation For example a VAR 2 system of
254. ons generated series forecasts recursive estimates and criterion plots The latter series can be used to produce additional plots and test statistics without re running the estimation Stored models are also used to set up Monte Carlo experiments Load Model Loads the model whose title is highlighted in the list Store Current Model Opens a text field for the entry of a model title To complete the entry and store the model either press Return or click the OK button otherwise click Cancel Model Description Opens a text box where details of the highlighted model can be entered by the user for later reference Click the button again to close the box Move Up Move Down Use these buttons to arrange the order of the models in the list 84 James Davidson 2015 Sort Unsort Sorts the model list There is the choice of sorting by name and by the date of last modification most recent first The Move Up and Move Down buttons are disabled If the list is currently sorted the button restores the original ordering NOTE Sorting by date is only approximate for models created with TSM versions prior to 4 43 Delete Opens a confirmation box and removes the model whose title is currently highlighted in the list if the action is confirmed Clear All Opens a confirmation box and removes all models in the list if the action is confirmed STORING MODELS l By default the model title Run
255. onstants passed as parameters from UserStatistic Data Generation Return a generated data set as a function of existing data and constants passed as parameters from UserGenerate Test Only Choose this setting if the only coded function to be returned is a test statistic from UserTest based on the regular estimation outputs selected with the Test checkbox If this option is set the Coded Function checkbox is automatically deselected Notes l If the coded functions have been set up for selection by name as described in Appendix C they can be selected in the dialog using the Previous and Next buttons to navigate the list Preset names cannot be edited If no naming function has been defined a function can still be selected by typing its name into the field 1 The test statistic option from UserTest accessed by checking the Test checkbox is compatible with any estimated model This includes linear equations and the Ox Residuals and Log likelihood options but not Statistic or Data Generation 106 James Davidson 2015 ZA If a coded test is the only programmed option select Test Only and do NOT check the Coded Function checkbox in Model Dynamic Equation 3 If Coded Equilibrium Relations is selected in Model Equilibrium Relations and Equilibrium Relations is checked in Model Dynamic Equation the Coded Function checkbox in in Model Dynamic Equation is disabled Note that in this case the p
256. option and then enter the path to the Ox installation as a text string in Condor Executable Path For the case given the entry required would typically be c program files x86 oxmetrics7 ox Type without the quotes Condor will optionally return files after a run containing diagnostic information These include log files generated by Condor itself and also the standard output that would appear in the DOS console window if the job were running locally To switch on the writing of these files go to Options General Special Settings and set either or both of Condor Log Files and Condor Output Files to TRUE equivalently enter 1 in the text field To switch off the outputs set the relevant fields to FALSE equivalently enter 0 PARALLEL PROCESSING 34 35 A batch job consisting of a single experiment can be divided up into several runs in parallel according to the setting of Parallel Runs This feature allows a dual core or quad core processor to be exploited to speed up the run time of the experiment two fold or four fold The executable files in this case receive the generic names Batch_Run ID _Inst ox where ID stands for the run ID and denotes the instance number The instances can also be run on different machines One way to do this is to check Defer External Jobs in Options General and copy and run the Ox files by hand On a network with the Condor environment installed parallel processing on
257. or variable The indicator variable must have the name selectobs and is applied as follows Any non zero value observation included in sample Zero observation omitted from sample This variable can be created using the option Edit Set Sample Indicators in the Setup Data Transformation and Editing dialog Alternatively any existing data series can be designated as the indicator by simply renaming a copy of it as selectobs Note When selectobs exists in the data set a checkbox is displayed in this dialog to select deselect its use Otherwise the checkbox isd hidden gt The indicator is not named explicitly in variable lists To remove it use the Set Sample Indicators option as described and change all zeros to non zero values E Only one indicator named selectobs can exist in a data set at one time Maintain two or more by assigning them different names and use the Edit Rename function to activate and deactivate 3 2 Setup Data Sets By default the program holds one data set at a time Loading a new data set causes the currently held data set to be removed Selecting the option Load Multiple Data Sets in Options General requires a program restart to activate allows data sets to be retaned in memory and rapidly swapped When a new file is loaded the current data set is moved to a holding area in the background It is moved back to the foreground for 46 O James Davidson 2015 analys
258. or give the keyboard command Ctrl V If the data have been typed in a text file by variable with observations in columns spreadsheet format read the file into OxEdit and select a single column using the right mouse button 188 James Davidson 2015 15 The last paragraph describes a feature implemented only in the Windows version of TSM An alternative procedure is to load a text file directly In this case type the data as a matrix with observations in rows and variables in columns spreadsheet style either into a text editor or into the results window as described in 11 above The first line should contain two integers the number of observations lines to follow the first and the number of variables values on each line Separate entries on a line with a space and terminate each line with Enter Save the file with extension mat or txt Next select either File Data Open or File Data Merge as appropriate The new variable s are named Var by default where denotes the column number s Give new names using Rename and optionally enter descriptions using Description in the Setup Data Transformation and Editing dialog Before doing anything else save the data in text or a spreadsheet format MAINTAINING AND EXPORTING PROGRAM SETTINGS 16 17 18 19 20 To save a model specification including data file name estimator sample size parameter values test options etc open the Model Manager
259. or monochrome plots or recursive forecasts The default option bands is used in these cases MULTIPLE SERIES DISPLAY 16 17 There are three ways to plot several series at once gt Individual each plot in its own frame i Separate plots in the same frame default All series in the same plot The last option can also be selected in the Graphics Show Data Graphic dialog in which case the style of each line is selectable Note the option to plot the last selected series against the right hand axis in this case If a system is estimated the above three options are available for plotting the series associated with each equation actuals fitteds residuals etc If the Individual option is selected only the series for the equation selected in the Equation choice widget on the tool bar is plotted LEGENDS 18 Legends are used to label series when two or more appear in the same frame otherwise the series name appears as the plot title There are five options for placing the legend in the frame X No legend TL Top left corner default TR Top right corner BL Bottom left corner BR Bottom right corner Note that these are general settings It is not possible to place the legend differently in different plots in the same frame 163 James Davidson 2015 19 Check the Box checkbox to enclose the legend in a box By default no box is shown 3 D PLOTS 20 There are three options for the three dimensi
260. ore opening its namesake Ds Use the New Data command to allow a new data set to be created in the Setup Data Transformation and Editing dialog This command is available in the menu whether or not Load Multiple Data Sets is enabled de When the New Data and Remove All commands are given all menu items and toolbar buttons that operate on data are disabled 4 The Switch To and Remove popup menus include the name of the foreground data set in disabled grayed out mode Clicking this item has no effect Remove the foreground data set using the New Data command 5 Clearing a data set does not delete the disk file The data can be reloaded at any time 6 When the File Settings Export command is given all the currently stored data sets are saved in the specified settings tsm file Opening this file will cause the data sets contained in it to be re loaded They are written to individual files in the working directory using the currently selected data file format 47 James Davidson 2015 fh By default a maximum if 20 data sets can be stored at one time Change this default by editing the tsmgui4 h file see Appendix B 3 3 Setup Data Transformations and Editing In this dialog data series can be edited renamed deleted and created as dummies or by transformations of existing variables The data can be rearranged sorted reversed and written to new files Observations can be pasted from external sources v
261. original series This method of accounting for sample dependence can be combined with the simple or wild bootstraps and also used to supplement one of the blocking methods Optionally see the checkbox the Model method will always be used for one off simulations and Monte Carlo experiments This setting allows the specification of a Monte Carlo experiment where the bootstrap is used for tests without the need to set up different models for data generation and estimation The wild bootstrap variants are not available for Monte Carlo forecasts If these options are selected the regular bootstrap is substituted The setting Shock Variance is available for Gaussian shocks only If 0 is entered in the text field then the sample variance from the most recent estimation is substituted If this value is zero as if no estimation has been run in the current session then 1 is substituted The block bootstrap option is to allow valid bootstrap inference in mis specified models with autocorrelated errors provided the autocorrelation is not too persistent The chosen block length value entered in the text box is also shown as a power of the current sample size In the case of the stationary block bootstrap the mean block length is selected When ML Model is selected the parameters of the shock distribution are those shown in the Values Condition Variance and Values Distribution dialogs In this case the setting of Shock Variance is ig
262. ovariance matrix of the gradient is not computed when the standard covariance matrix formula is selected in Options Tests and Diagnostics 142 O James Davidson 2015 dl In ordinary least squares the Hessian is evaluated as the matrix of sums of squares and products of the regressors divided by the residual variance 12 The grid of criterion values following a call to Actions Plot Criterion Grid can be optionally printed to the results window provided this checkbox is checked first The results can also be displayed graphically and exported to a spreadsheet and these latter options can be effected after running the estimation OUTPUTTING SERIES 13 The following series can be either printed in the results window or exported to a file The actual data series Y_t id The fitted series Yhat t followed by the ex post 1 step forecasts if specified The residuals Y_t Yhat_t solving equation 1 for u_t at the estimated parameters followed by ex post 1 step forecast errors if specified If conditional heteroscedasticity options are selected also F The variance adjusted residuals followed by ex post 1 step adjusted forecast errors if specified gt The estimated conditional variances followed by ex post 1 step variance forecasts 1f specified If a smooth transition model specified also the transition weights If Markov switching regimes are specified also The filter probabilities The smoothed probabilities
263. ow contents also can be saved continuously to a separate text file see File Results Enable Background Saving This may be the preferred method of retaining a record of of work Enabling the option Delete Temporary Files on Exit will cause TSD model results and data files to be deleted automatically at the end of a session Uncheck this if you wish to keep your model results or check it to avoid excessive clutter in your results folder Data descriptions are saved as extensions to the series names following 173 James Davidson 2015 a delimiter character by default These extended names may not be compatible with other programs Set the option Omit Data Descriptions when exporting data for use in other packages 15 The Files Settings Export command saves a complete image of the current session including data for export to another installation If user supplied Ox code is loaded this can optionally be bundled in the export file Then loading the settings re creates the files needed to run the supplied code at the target installation 16 Ifthe Enable Error Recovery option is checked the default the program restarts automatically in the event of a crash Ox error Note that the Ox error message appears in the DOS console in this case LINEAR REGRESSION MODE 17 To simplify the user interface for teaching purposes the options for nonlinear estimation by numerical methods can be disabled and the toolbar button
264. para 27 below should appears in all the rows of an individual block Numbers need not be consecutive Block boundaries are detected by these entries changing id A dates column headed with the name YEAR or PERIOD This will typically contain the year of each observation hence the sequence is repeated within the individual blocks Also optionally id Ifa YEAR column exists with repeated entries a column headed PERIOD will contain the quarter month counts within each year gt A column headed GROUP can be used to label groups of individuals such that all individuals in a group get the same identifier Any numbers can be used as identifiers but the number 0 is always used to flag that the individuals in question are to be omitted from the analysis The guide column names can be written in upper or lower case When both YEAR and PERIOD columns appear in the file dates are counted in years and periods so the YEAR column should contain repeated entries For example suppose a panel contained observations for the five quarters 2001Q2 to 2002Q2 inclusive The first few rows of the file should then look like this IPANEL YEAR PERIOD data 1 2001 2 p 1 2001 3 1 2001 4 1 2002 1 1 2002 2 2 2001 2 9 2001 3 2 2001 4 2 2002 1 2 2002 2 3 2001 2 W nN James Davidson 2015 21 22 23 NOTE the dating system for panel data is distinct from the usual case because Ox cannot maintain pan
265. pecification and can also indicate best choice of covariance matrix formula When least squares estimation is specified the matrices computed are for the concentrated Gaussian log likelihood function In other words in Gaussian ML the test is performed with the variance parameters included in the parameter set In Least Squares including OLS and LGV the variance parameters are concentrated out so that the test has fewer degrees of freedom The test is not available for 2SLS and GMM estimation NOTE if the columns of the indicator matrix are linearly dependent the statistic cannot be computed In this case the indicators are replaced by their independent principal components reducing the test degrees of freedom The Nyblom Hansen model stability test is available as a whole model test degrees of freedom equal to the number of fitted parameters including residual variance and optionally as one degree of freedom tests for individual the parameters Check the Individual N H Tests checkbox for the latter option These are not printed by default since the output is potentially bulky The tests use the table given in Hansen 1990 and the p values are available in inequality form The Andrews 1993 LM test of structural change with unknown change point is available like the Nyblom Hansen test in whole model and single parameter variants The tests use Andrews table with 10 5 1 critical values hence the p values are available in
266. pen the choice box for saving either to the original file or as a new file EDIT COMMANDS Note commands marked with do not operate on individual variables Simply press Go to execute Any highlights in the variable list are ignored in these cases Rename After selecting a variable and pressing Go a text field appears for typing the 48 O James Davidson 2015 new name The dialog is frozen until OK or the Enter key is pressed to complete the entry If multiple variables are highlighted each is presented for renaming in turn Delete A confirmation box appears Press the All Selected button to delete all highlighted variables at once otherwise each is presented in turn for confirmation CAUTION This command cannot be undone Edit Description Allows optional description s of the selected variable s to be created or edited View these descriptions in Help Data Descriptions NOTE If the total length of the name description string including separator character does not exceed 64 characters the string is stored in the name field of the data spreadsheet file If this limit is exceeded in one or more cases only the truncated strings are saved with the data The complete strings are saved to a text file with matching name and extension names txt Save Selected Allows a subset of the variables to be saved in a new named file Highlight any number of variables in the list before giving the command This opens
267. ple lags 167 O James Davidson 2015 13 14 15 Checking Restrict Pre Sample Lags allows the number of presample lags to be set in the textbox provided Thus setting Lag Truncation to 0 means that all pre sample values are replaced by 0 This provides comparability with the situation when the first observation used for estimation is 1 The roots of dynamic systems autoregressive and moving average lag polynomials also the GARCH model counterparts of these are computed by default In very large models in particular large BEKK models the algorithm to compute the roots can become unduly time consuming These calculations can be optionally disabled by unchecking Compute Roots For details of the option Type I Fractional see 4 4 Model Dynamic Equation and Davidson and Hashimzade 2009 In systems of equations featuring fractional differencing and or a nonlinear ECM checking the checkbox Difference Spec n for System FI amp ECM Parameters causes the equations to be parameterized so that equation 1 is the reference case and the parameters in the other equations are measured as differences from this case This option makes it easy to test and or impose the restriction that the parameters are equal across equations Note This control is duplicated in the dialog Model Equilibrium Relations 8 6a Options ML and Dynamics GARCH options GARCH PARAMETERIZATION l As the default GARCH coefficients are repor
268. quation dialog If the IV 2SLS option is selected the radio buttons in this group are disabled GLS and ML estimators for random effects are only available for single equations in this release These options are disabled if the System of Equations checkbox is checked in Model Linear Equation The GLS and ML estimators employ the same transformation of the data but the parameter Tau is computed in the first case by a the ratio of within and between regression variances and in the second case by an iterative procedure using a univariate line search to optimize the concentrated Gaussian likelihood The text fields SigV and SigEta are provided to set up stochastic simulations with random effects SigV represents the within individuals variance and SigEta the between individuals variance The contents of these fields which can be edited by the user are utilized to create the disturbances when the Gaussian option is selected under Shock Distribution in Options Simulation and Resampling Note These values not used to initialize estimation However the results from the latest GLS or ML estimation are automatically written to these fields as well as to the printed output allowing an estimated model to be easily simulated The ML estimator uses a line search algorithm The convergence criterion and the maximum iterations are set in Options General Special Settings Note that these settings are shared by other program
269. r name fields then set values for these in the Values Equation dialog These values are not modified by TSM but are passed through directly to the user s function If this feature is utilised it provides a means for quick changes of specification without editing the code 9 To generate data placeholder variables must exist in the data set The contents of these columns is unimportant being replaced by the generated series when the simulation runs For example they can be created using the Extend Sample Make Zero and Rename commands in Setup Data Transformation and Editing Then select these variables as the Dependent Variable s in Model Dynamic Equation 4 7 Model Regime Switching This dialog allows the choice of 107 James Davidson 2015 Notes number of regimes type of switching simple Markov switching explained switching Hamilton s model or smooth transition ST which model components to switch specification of the explained switching probabilities or transition function where these options are selected Regime switching is not activated until at least one model component is selected for switching Except for the smooth transition model regime switching requires a time domain maximum likelihood estimator Options are greyed out until a valid selection is made The option Estimate Regime Differences selects the parameterization that allows individual significance tests of differences betwe
270. r tests by tabulating the statistics for a pseudo true model where the statistics are centred using the relevant components from the sample counterparts This method can be used for t ratios and Wald tests and also M and CM tests It is not so easily implemented for LM tests although diagnostic tests for 1 1 d residuals are valid by construction in the bootstrap context Other LM tests and other tests are given their conventional asymptotic p values Note that resampling p values are always indicated witha 24 Resampling p values are computed for the Jarque Bera test only for the bootstrap using Gaussian shocks Otherwise the hypothesis is true by construction so the bootstrap p values are uninformative 25 The cointegration tests ADF and Phillips Perron cannot be resampled since there is no way to set up a pseudo true version of the null hypothesis Note that in single equation regression models the regressors except lagged dependent variables are held fixed in repeated samples In cointegration models this is an unrealistic assumption even in large samples It is better to consider a multi equation model in which the unit root processes are generated endogenously Monte Carlo experiments can be used to evaluate inference procedures in this case 182 James Davidson 2015 11 Directories and Files DIRECTORIES Windows folders Start in Must be specified by the operating system when TSM4 starts This is usually set by the
271. rdingly Listings files and graphics will be saved thereafter to the same location However the settings file must always reside in the Start in directory so it can be found at launch 4 To guard against attempting to append text to an existing binary file results files must have extension txt This is appended to the chosen name if it is not present 5 Yet another way to save results is to use the Windows clipboard Just highlight the desired text in the results window Copy right click for the context menu and Paste into your favourite text editor 6 The Locate Results Folder command opens a text field containing the current path to the results folder This can be edited to change the folder Press the Browse button to navigate the directory tree and select a folder else type the path directly in the text field Notes Selecting a new results file automatically sets the results folder to the one containing the file SS Graphics are always saved in the current results folder e The Start in directory is used as the results folder by default but note that the current path is saved between sessions in settings tsm 2 4 File Listings Listings refer to outputs generated by the program in tabular or graphical form The commands Open Listings File x Save Listings File allow listings to be saved and reloaded in a format that can be displayed and or further processed by the program These files have exten
272. ree different Types with a different radio button assigned to each In some models typing is irrelevant in which case just choose Type 1 but it has a number of common uses In linear regressions it is used to allow lags to be treated differently Lags up to a specified order can be included automatically so that lagged values do not need to be created and stored individually in the database The number of lags is selected with the scroll bar for all variables of the given Type For example assign non lagged variables such as dummies to Type 1 and distributed lag regressors to Type 2 To allow easy inclusion of the lagged dependent variable the dependent variable in a regression can be assigned as a Type 2 regressor with lags specified The current value is omitted from the regressor set automatically This also works in system models such as VARs In the Dynamic Equation dialog typing regressors in combination with specifying autoregressive and moving average components has a special additional role allowing an equation to feature structural dynamics and or error dynamics See the relevant Help pages and the Models and Methods document for details on this 12 PARAMETER VALUES A special feature of TSM is the Values dialogs where values and conditions for model parameters can be set Among the uses of these dialogs are Setting starting values for numerical optimization gt Fixing parameters at chosen values during estim
273. rite the matrix with Print o Clear the box with Clear O Now copy the printed matrix to the Windows clipboard select the top left cell and press Paste to restore it 8 If no preset components selected saving the matrix increments the Run ID value Otherwise the Run ID is incremented only by running the maximum likelihood algorithm TASKS The pull down menu Select Task gives access to the following SsfPack functions which are called with the currently specified state space matrices dependent variable s and regressors as arguments The corresponding SsfPack function name and mode are indicated in the right hand column 78 O James Davidson 2015 Evaluate Likelihood f SsfLik Maximize Likelihood SsfLik Maximize Profile Likelihood SsfLikConc Likelihood Grid Plot f y SsfLik Prediction and Forecasting y f SsfMomentEst ST_PRED Conditional Means States Signal SsfCondDens ST_SMO Conditional Means Disturbances SsfCondDens DS_SMO State and Signal Smoothing SsfMomentEst ST_SMO Disturbance Smoothing SsfMomentEst DS_SMO Standardized Smoothed Disturbances f SsfMomentEst DS_SMO Simulation from State Space Model SsfRecursion Notes 9 Selecting the option Fit Variances in Logs is generally recommended for 10 11 12 efficient likelihood maximization and allows zero to be the natural default starting valu
274. rt TSM In the Select Estimator box choose Least Squares Select your dependent variable from the list Use the scroll bars to select the desired AR and MA orders p and q Select a Type 2 intercept this is identified even if you have a unit root You cannot have both types at once so deselect the Type 1 intercept first if necessary Press Go or the Running Man button If your run has been successful you should see Strong Convergence in the results window If you aren t sure what p and q to choose you can have the program try each pair in succession up to a chosen maximum Click Setup Multiple ARMA Models and select the maximum values you want to try Click the Running Man with this dialog open and see the estimates computed successively in the results window You can choose a preferred specification by comparing the Akaike Schwarz or Hannan Quinn selection criteria for each model To estimate an ARIMA p 1 q model check the Impose Unit Root box 9 HOW TO FORECAST WITH AN ARMA ARIMA MODEL Having selected your model choose Options Forecasting and use the scroll bar to select the number of post sample periods to forecast Note that you cannot forecast beyond the end of the data set if your model contains exogenous variables Select the options Ex ante Multi Step and Analytic Now open the Options Output and Retrieval dialog and in the panel Print in Results Window check the option Forecasts
275. s as specified in Model Panel Data and zero covariances 6 12 Other Commands SET DEFAULT VALUES This command sets all free parameter values to defaults Fixed values and all fixes bounds and constraint settings are retained CLEAR VALUES This command has the same effect as pressing the Clear button in all the Values dialogs Parameter values are set to defaults and all fixes except defaults bounds and constraints are removed CLEAR RESULTS WINDOW If the results buffer becomes full and will accept no more text use this command to clear it Note that its contents can first be first saved to a file see File Results Save Selected Text SEARCH RESULTS WINDOW A text window opens Enter the target string and choose the search direction from the current cursor position with Search gt gt gt or lt lt lt Search as appropriate CLOSE ALL DIALOGS This command is given automatically before estimation operations are carried out Current window positions are stored 130 James Davidson 2015 RESTORE DIALOGS Reverses the action of Close All Dialogs Use it after an estimation run and also after starting the program to restore the previous window configuration This action can optionally be made automatic see Options General Options RESET DIALOG POSITIONS Resets the stored horizontal and vertical screen positions of all dialogs to 0 0 relative to the main window This command is useful in case dialo
276. s a regressor This feature is for compatibility with the Linear Regression option LINEAR REGRESSION 13 14 15 A linear equation can also be specified in the Model Linear Regression dialog and in that case will be estimated by the usual analytic formulae Models specified in this dialog are always estimated numerically This dialog and the Linear Regression dialog cannot both be open at once One is disabled whenever the other is open The variable selections Type 1 and 2 regressors are common to both An autoregression can be estimated either in this dialog numerically or as a linear regression by using the Lags feature see 5 above BILINEAR MODEL 16 Remember that if the bilinear order r is increased from 0 to 1 this adds p parameters to the model where p is the AR order However raising r further only adds one additional parameter at each step not p due to the imposed restrictions This is different behaviour from the commonly described unrestricted bilinear model NONLINEAR MOVING AVERAGE SPS 17 18 Selecting this feature replaces the error term Ut with the expression Ut Ut 1 alpha beta 1 exp gamma Ut 1 c1 Ut 1 c2 where alpha beta gamma cl and c2 are additional parameters Combine this option with an imposed unit root to get models which can switch stochastically between I 0 and I 1 Variants To implement a close approximation to the STOPBREAK 96 James Davidson
277. s are reset to defaults To remove a variable or lag from the model temporarily fix its parameter at zero This preserves other stored values As a reminder that one or more parameters are fixed the Values buttons in the corresponding dialogs are highlighted and check marks appear against the Values menu items PARAMETER BOUNDS 11 12 13 To constrain a parameter to lie in an interval enter the upper and lower bounds in Values but do not check the Fixed box The reported parameter is then a logistic transformation of an underlying unconstrained value The bounds are ignored unless the upper strictly exceeds the lower Cancel the setting by putting both bounds to 0 If the estimate is in the interior of the interval the standard error is approximated using the delta method However if the constraint binds in the sample the covariance matrix may be near singular and standard errors unavailable or unreliable It may be best to re estimate with the parameter fixed at its boundary value in this case It is not recommended to use this technique routinely to impose e g positivity and stability constraints on lag polynomials The search algorithm should usually work OK without this The method is implemented more as a last resort for difficult cases GRID PLOTS 14 If bounds are set and the Fixed box is also checked the bounds will be used as the limits of a Grid Plot Either one or two parameters can enter the gri
278. s at chosen values in the estimation setting bounds on parameters for estimation subject to inequality constraints setting a range for a grid evaluation of the estimation criterion in one or two dimensions selecting parameters for Wald significance tests setting up linear functions of parameters for Wald restrictions tests Unlike the other dialogs having fixed layout Values dialogs can be resized Grab the border and drag with the mouse BUTTONS l The Refresh button rewrites the values field to reflect changes to the model specification Pressing the Values button in the relevant Model dialog has the same effect Press the Clear button once to set all free values to defaults Fixed values are left unchanged Press the button a second time to clear all settings including parameter fixes Pressing the Refresh button resets the function of the Clear button In the Equation and Equilibrium Relation dialogs when more than one equation relation is specified gt and lt buttons are displayed on the button bar Use these buttons to cycle through the equations relations respectively forwards and backwards All dialogs except Markov Probabilities and Smooth Transition have Regime gt and lt buttons that appear when switching regimes are specified Note that if the parameters in question have not been selected to switch then Regime 1 shows the common values for all regimes The dialogs for Regime 2 and above
279. s dates 3 To use the sample indicators check the checkbox in Setup Set Sample This checkbox is hidden unless indicators exist Set Dates Allows the dates of observations to be set or changed This works exactly like the method for inserting date information into a data file prior to loading see File Data for details A new column of the data set is created with name 51 James Davidson 2015 ISTARTDATE and opened for editing Enter the initial year in the first row the initial sub period in the second row and the sub period frequency in the third row Enter 2 for half years 4 for quarters 12 for months etc Notes l The new column is deleted immediately after the new information is processed 2 The date information is saved with the data in GiveWin or other spreadsheet formats and also in dat files although not in matrix mat files 3 CAUTION This operation is not reversible If the observations are already dated the existing date information will be lost including individual daily dates 4 If the period is set to 0 the series is treated as undated Observations are numbered from 1 Set Date Labels Print A variable with the reserved name DateLabels is created if it does not exist and opened for editing Enter the required date labels for each row of the table Arbitrary numerical values are allowed This variable is not displayed in the variable list but appears in the Date colum
280. s hidden For this option uncheck Enable Optimization Estimators A restart is required to implement this selection DEFER EXTERNAL JOBS 18 Check this option to create batch jobs estimations or Monte Carlo jobs as executable Ox files for starting manually Use this option to run the job on a different Ox installation or to defer running it until a convenient time When this option is unchecked the default the job is started immediately the Run command is given LOAD MULTIPLE DATA SETS 19 By default multiple data sets can be loaded simultaneously Data are reloaded at start up and are not removed from memory except by executing one of the Clear commands under Setup Datasets This feature can optionally be disabled so as to limit the amount of memory used by an instance of TSM or just to simplify the operation of the program A restart is required to implement this selection ASSIGNABLE TOOLBAR BUTTONS 20 Up to 6 toolbar buttons showing the Dialog icon and a number can be assigned to run any command and open any dialog that does not itself have a dedicated button To assign a button first run the menu item you wish to assign Use the pull down menu to select a button for assignment and then click Assign to last Dialog Opened The new button appears on the toolbar To remove the assignment click Clear Note o To assign an Options dialog to a toolbar button first deselect Automatically Close Options Dialogs u
281. s highlighted as a reminder The Clear button sets all specifications in the dialog to the defaults The Go button where provided is an alternative way to launch an estimation equivalent to selecting the Run button on the toolbar or the Actions Run Estimation menu item Where provided the Sample button opens the Setup Set Sample dialog 81 James Davidson 2015 5 Where provided the Options button opens the last opened estimation options dialog from the Options menu By default this is the Tests and Diagnostics dialog Notes 1 Pressing the Options button repeatedly cycles through all the accessible options dialogs 2 Only relevant options are accessible from this button depending on whether it is located in the Linear Regression or Dynamic Equation dialog All options dialogs are accessible in the usual way through the menu or the gt gt gt and lt lt lt bars ACTIVATING SPECIAL FEATURES The special model features specified in these dialogs conditional variance supplied function regime switching equilibrium relations parameter constraints can be turned on and off in two ways si Checking unchecking the appropriate checkbox in the main Dynamic Equation dialog Checking unchecking the Active checkbox in the relevant dialog These pairs of switches are connected so always show the same status Notes 6 The activation status of a model feature is shown by check marks against t
282. s listings are loaded with the imported model receiving the name of the file containing it Use the command Open Listings File to load the listings but without creating a new model The Save Listings File command does nonetheless include the current model specifications in the file Reading the file with the Import Model command would allow these to be retrieved if desired A tsd file contains all the listings currently held in the program at the moment it is saved When the file is loaded all such items get replaced in memory Be sure to save anything you want to keep before loading a file The file with default name settings tsd is special containing the data and results associated with the current model specification This It is paired with settings tsm and if the feature is enabled see 8 8 Options General preserves the current working environment between sessions It is saved automatically and read automatically at start up there is no reason to open it with this command Files with the generic names Batch Run Inst tsd are created when parallel processing is used to run Monte Carlo experiments These files have a special format and can only be read using the command File Data Tabulations MC Batch Results An error message is printed if an attempt is made to open these files with Open Listing File 40 James Davidson 2015 SPREADSHEETS 6 10 Spreadsheet files are saved by default t
283. s required If the specifications are stored as a named model in Model Manager before running the new process the associated values and listings can also be imported A tsd data file is created with the usual outputs Import the data by RE loading the model in Model Manager Also the estimates can be loaded for further processing by the command Restart Load Text Input The name and path of the file to load is given in the results window If the option Delete Temporary Files on Exit is checked the temporary code and listing files created by this option are deleted at closedown Results files are not removed and must be deleted by hand as required RUNNING A CONDOR JOB 15 On a network equipped with the Condor HTC system estimations can also be run on otherwise idle machines attached to the network 171 James Davidson 2015 and the results returned to the TSM work station as if run as local external processes See Appendix H for more details on the use of Condor 8 8 Options General Options INTERFACE SETTINGS 1 Dialogs are closed when an estimation run is started Checking the option Restore Dialogs Automatically causes them to re open in the same positions at the end of the run Dialog positions are stored in settings tsm so the last configuration in the previous session will also be restored at start up If this option is not selected dialogs can be restored manually using the Actions Restore
284. s series can be optionally over written by the simulation or the latter can be appended to the data set under a new name In the latter case the conditional variance series is also appended if this is generated in e g a GARCH or Markov switching model 4 To bypass the discard save prompts assign this command to one of the two user selectable toolbar buttons see Options General When the button is pressed most recent choices are applied automatically Use the menu command to change them 5 To simulate without a data set loaded first use the Extend Sample option in Setup Data Transformations and Editing to specify the sample size required Then create a placeholder variable using Make Zeros 6 If estimation is by least squares or GMM the residual variance is not in the parameter set and is estimated extraneously from the residuals If simulation follows estimation the current estimate is used To specify a model for simulation without prior estimation select one of the conditional maximum likelihood time domain estimators This will allow all the model parameters including the error variance to be entered in the Values dialogs 7 It is possible to simulate equations in which the generated random shock enters nonlinearly using the Coded Equation option See Model Coded Equations and General Entering Formulae for details Such equations cannot be estimated in this form but must be coded separately 8 A related opti
285. selected all the others are plotted against the left hand axis as usual 15 The C Bands checkbox enables the option of drawing 2SE confidence bands around a series based on a companion series of standard errors Either one or two series can have confidence bands These must be assigned to positions 1 and 3 and the companion series must be assigned to positions 2 and 4 respectively Positions 5 to 8 can be assigned to additional series in the usual way Note If the designated standard error series contain negative values an error message is shown 16 Ifthe line type for Line 8 is chosen as Band Fill the selected variable is used to divide the sample into regimes If the selected variable is 134 James Davidson 2015 positive the regime is On and if the selected variable is zero or negative the regime is Off The observations of the On regime are indicated by light gray shading in the plot Typically the indicator variable would be a zero one dummy NOTE Only Line 8 can be given the Band Fill style LISTING 17 The List button invokes the data spreadsheet that is also accessible from Setup Data Transformation and Editing although here editing functions are suspended It simply allows a view of the values of the plotted points The sample listed matches the plotted sample 7 2 Graphics Equation Graphics The following items can be plotted following an estimation run x LK LK XX ACE CS Notes
286. sesresseesseserssressessessees 166 ML PARAMETERIZATION mait Kirie EAE E EE RE EE E Ei 166 DISCRETE DATA OPTIONS cnx keke E ss 166 DYNAMIC MODEL SETTINGS comite ri akin eS 167 8 6a Options ML and Dynamics GARCH options cooooccnccconccconcconcnonncconncnnno 168 GARCH PARAMETERIZATION ioooocooccccononoonnnnanonconononnnnoonncnnnnn nono conc non no non ccoo nn rnnn nro nonnnancons 168 OPTIMIZATION SETTINGS lt A ia 169 8 7 Options Optimization and RUN oooooccnocnnocaconncconoconanonnnconccconoconnnonncconccnnno 169 OPTIMIZATION SETTINGS BROYDEN FLETCHER c0oooocccoccconcnonnncnnnnonnnoconanonnnaconnnonns 169 GOLDFARB SHANNO BFGS ALGORITHM ccecccecccsseesseeseceseeeeeeeeceeeneenaeenseenseenaes 169 SIMULA TED ANNEALING cicle 170 5 O James Davidson 2015 OPTIMAND CONVENTION uasai seastvcesteey tetevessestduseedscowtescetiesioreestcosent dots ana 170 NUMBER OF GRID POINTS ccccccsccestessscveseccssnsvssessensesestecensasenesessssvsesessaevececdensavessecessase 170 SUPPRESSING THE OUTPUT viniste cc 171 RUNNING AN EXTERNAL PROCESS 00 ceecceseecsseceeneeeeceseeecaeeeeacecaeeeeneecsaeeneneeees 171 RUNNING A CONDOR JOB rerin eiiiai o cti nidad no Visibilidad ae 171 8 8 Options General Options add EA At 172 VNE D d aL EA DAS DA RALEN EA N E A E E hesstigebae 172 OPERATIONA D SETTING S reiteran erea earan a E dla tia aan 173 LINEAR REGRESSION MODE W ce cceeccccsseceeccecseceeececeeeeenceceneeseaaeceaeeseaaeceeeeseaaec
287. settings Store these first if they will be needed subsequently See 8 above press the Evaluate button to re display the estimation output if this has been saved with the model This saves time if re evaluating the results would be time consuming as when output of bootstrap inference is selected The data file specified in the model will be reloaded automatically provided it has not been deleted or moved It can have been edited or had series added 86 James Davidson 2015 to it but any variables that appear in the model must of course be present in the file otherwise an error occurs It is the user s responsibility to ensure this and the safest way is to check the Store Data with Model box so that a dedicated copy of the data is saved DEFAULTS 15 When program settings are cleared and restored to defaults a model called Defaults is created automatically It is recommended to set up your preferred options for routine operations and use Defaults to store these settings They can then be easily restored by loading this model MODEL DESCRIPTIONS 16 When the descriptions box is open other dialog functions are disabled However the description displayed can be changed by selecting a different model from the list Use the PgUp and PgDn keys to scan rapidly through the list 17 Ifthe Automatic Descriptions checkbox is checked non default model settings are written to the descriptions box automatically when the mo
288. simulates the model currently stored and computes Breitung s 2002 statistic for the partial sums The reported Kolmogorov Smirnov statistic compares the bootstrap distribution of this statistic with the same statistic computed for the corresponding 1 i d shocks Its object is to check whether the model dynamics are compatible with sample averages adequately approximating their asymptotic distributions in the selected sample size The I 0 test is for single equation models only and is properly intended for use with univariate time series models If the equation contains exogenous variables these are held conditionally fixed in the simulations If they are nonstationary this will in general yield a case of the alternative hypothesis 127 James Davidson 2015 13 Choose a number of replications large enough to validate the asymptotic tables from Smirnov 1948 say 500 Set the number of replications in Options Simulation and Resampling after checking the Inference by Resampling checkbox to activate the replications scrollbar NOTE This checkbox does not activate the test itself It can be unchecked again after the setting is made 6 9 Actions Compute Forecasts amp IRs These commands generate and display either ex ante forecasts or impulse responses after a model has been estimated Specify the outputs required in Options Forecasts Notes 1 If outputs are specified prior to giving the Run Estimation or Evaluate at
289. sing one of the commands on the Actions menu a dialog button or a tool bar button Both the Running Man and the Calculator buttons on the tool bar launch closed form non iterative estimations such as OLS and IV and associated tests and forecasts For nonlinear estimation if enabled the Running Man button launches the optimization algorithm while the Calculator button just performs post estimation computations forecasts or tests using the currently stored parameter values either obtained on the latest run or entered by the user NOTE forecasts and tests are not computed by merely specifying them in the T7 James Davidson 2015 Options dialog Use the menu items in the Actions menu for this purpose The Calculate button performs all the currently specified calculations and generates the complete estimation output for the current parameter values Each run has a unique ID number to identify the outputs associated with it such as graphics files spreadsheet files and settings files 4 SAVING PROGRAM SETTINGS TSM has a large number of optional settings that most users will want to change only occasionally By default the program automatically saves all current settings in a special file called by default settings tsm The current data set listings and charts are stored by default in settings tsd When the program is restarted the working environment with all selected options is then exactly as it was in
290. sion tsd Listings can also be exported in spreadsheet format for processing by other software The command Export Spreadsheet gives access to a submenu containing the following items 39 James Davidson 2015 Series actuals and fitted values residuals conditional variances regime probabilities Correlograms also Q Statistics for the residuals and squared residuals corresponding to each lag MA coefficients equivalently impulse and or step impulse responses Forecasts including standard errors and or confidence bounds where available Recursive Estimates coefficients and standard errors summary statistics and test statistics Recursive forecasts Criterion plots Monte Carlo replications or optionally relative frequencies Notes LISTING FILES 1 tsd files are created automatically when a model is stored with Model Save Current Model or with the Model Manager and receive the name assigned to the model Such files are likewise loaded by the command Model Load a Model Files created in this way can also be read using the Open Listings File command but in this case there is no change to model specifications Saved files can be named in any way desired These commands are intended to be useful mainly for storing and retrieving the results of Monte Carlo experiments The command File Settings Import Import Model also reads tsd files but in this case model specifications as well a
291. so that AR errors are valid representation of the dynamics 8 In multiple equation models the full set of test variables is added to each equation of the model 9 LM tests are computed by creating an extended model with test variables added to it In some situations the resulting model is unidentified with a singular covariance matrix In such cases the statistic cannot be computed and is assigned the value NaN standing for Not a Number CONDITIONAL MOMENT CM TESTS Eight conditional moment tests are pre set The hypotheses under test are the following a Autocorrelation correlation between current and lagged normalized residuals Neglected ARCH correlation between current and lagged squared residuals a Nonlinear Functional Form correlation between the normalized residuals and 148 O James Davidson 2015 Notes 10 11 12 14 integer powers of the fitted values Heteroscedasticity correlation between the squared normalized residuals and the squared fitted values White s heteroscedasticity test correlation between squared normalized residuals and the squares and cross products of explanatory variables Test for AR common factors correlation between the normalized residuals and lags of the Type 1 explanatory variables see para 3 above Information Matrix Test expected value of the difference between the information matrix and outer product of the score Bierens Specification Test correlation betwee
292. stimation automatically Select the Pad with Zeros radio button to replace with zeros instead so that the rows are retained for estimation 2 Note that when leads or lags are created the excess observations are not discarded The end start of the complete data matrix is extended with extra rows the missing observations being filled with either NaNs or zeros depending on option selected If a sub sample is selected using the Sample button the excluded observations are set to NaN in the new series NaN is returned in the case of illegal values e g negative arguments of log and 1 2 x lt 0 and x gt C in log odds 53 James Davidson 2015 5 The Power transformation returns the power of the absolute value for non integer exponents The square root transformation is an alternative way to take the power of 1 2 but behaves differently assigning NaN to negative observations 6 The symbols and are used in the new variable names to denote multiplication and division in variable names The more logical choices and cannot be used in file names de Moving Average creates the MA of series coordinates from lag 0 to lag 3 1 To create a centred moving average set j to an odd value and apply the j 1 2 point Lead transformation 8 The five alternative kernel smoothers compute weighted moving averages of the series using the indicated weight functions and chosen bandwidth H Except for the Gaussian c
293. stribution is skewed 24 The model is re estimated with simulated data in each replication For models estimated through the Dynamic Equation dialog this means numerical optimization of estimation criteria A simpler search procedure using only BFGS is implemented in this case Numerically precise convergence is not required to reproduce the sampling distribution adequately and replication times can be reduced by limiting the maximum number of BFGS iterations This can be set here independently of the main optimization settings TYPE I FRACTIONAL PROCESSES 25 A fractional ARFIMA model has long memory and can depend significantly on remote pre sample influences If these processes are simulated by setting presample shocks to zero the type II model this changes the distribution of estimators and test statistics even in large samples The type I model can in principle be simulated by selecting the random presample option and setting a long presample period However the number of lags required for a good approximation may be excessive The option Generate Fractional Series as Type I set by default simulates the effect of presample lags by adding a single vector or matrix of Gaussian random variables with the correct covariance 160 James Davidson 2015 structure Selecting this option ensures that e g bootstrap distributions match the type I case Notes 1 With this option the fractional process must be stationary 1
294. symmetry checkbox selects the Threshold GARCH GJR model In the other cases the signed terms of the APARCH or EGARCH are included suppressed depending on the setting of this checkbox 6 The dependent variable s in the equation s can be chosen as GARCH regressors of Type 2 provided the lag length is set to 1 or greater In this case the zero order lag is suppressed and the lagged dependent variable s act as GARCH regressors This is similar to the option in the mean model Dependent variables are NOT permitted as regressors of Types 1 or 3 These options are cancelled automatically 99 James Davidson 2015 If the Abs checkbox is checked the output shows the variable names enclosed in It is recommended to check this option when lagged dependent variables are selected especially when running simulations The Garch M panel allows either the conditional variance or conditional standard deviation to be added to the regressors selected in Equation Choose the regressor Type and Mode using the radio buttons NOTE To simulate GARCH M the regressor Type must be 2 MULTIVARIATE GARCH 9 10 11 12 13 If the equation system option is selected the default is to have fixed correlations between the variance adjusted residuals An alternative is the DCC model in which the elements of the correlation matrix are generated by a common GARCH 1 1 type model The interpretation of the coefficients depends on the
295. t available to date See the citations in Models and Methods for further details 145 James Davidson 2015 HAC KERNEL FORMULAE AND BANDWIDTH The kernel formula selected here is used when the HAC covariance matrix is selected It also determines the choice for Phillips Perron KPSS and RS tests and Fully Modified Least Squares estimation It does not effect the kernels used in density plotting and nonparametric regression which are Ox defaults and cannot be changed by the user There are three options for selecting the HAC bandwidth 7 Manual selection using the scroll bar li The automatic plug in method due to Andrews 1991 The automatic plug in method of Newey and West 1994 The plug in bandwidths are set as the minimum of the value returned by the formula and sample size 2 Larger bandwidths can be set manually Check the Prewhitening checkbox to prewhiten the data by a VAR 1 regression prior to computing the HAC covariance matrix V V then is recoloured as DVD where D 1 A 1 and A is the VAR coefficient matrix NOTE Use prewhitening with caution It may inappropriate e g in construction of test statistics for 1 0 by overcompensating under the alternative MODEL SELECTION CRITERIA A model selection criterion is needed for three automated model selection features 7 Automatic regressor selection see the Actions menu and Setup Automatic Model Selection Lag selection in the augmented Dickey Full
296. t in directory when the settings file is loaded In addition the currently loaded data sets and model outputs tsd files are bundled in the exported file and unbundled to the Start in directory when the file is subsequently loaded For example a class exercise with preset model specifications and data can be distributed to students in a single exported tsm file To over ride the default behaviour of setting the run ID number to zero in a new settings file go to Options General Special Settings and enter the desired number under Initialize Run ID This number will be instated at 189 James Davidson 2015 the next estimation run Alternatively add the line RUN_ID to a text file of settings before loading them as described in Appendix E DOING SIMULATIONS 21 22 23 A star feature of the program is the ability to stochastically simulate any model that it can estimate using either randomly resampled residuals or computer generated shocks The simulation module is the basis for nonlinear forecasting bootstrap testing and Monte Carlo experiments To gain insight into the properties of an estimator it is always a helpful exercise to apply it to artificial data from a known model To create an artificial sample do the following 1 Clear the data File Data Clear 2 Set a sample size In Setup Data Transformation and Editing choose Edit scroll down to Re Size Sample enter a value and press
297. t plays a different role in the model from the f1 specification when there are autoregressive or fractionally integrated components Otherwise fl equation and f2 are effectively equivalent However since the dependent variable s are not specified here do not include the in this case Nonlinear ECM In error correction models equations can contain nonlinear functions f3 Z of the lagged equilibrium relation Z Three popular forms are pre programmed For other cases enter the function s f4 in implicit form using the reserved variable name Z to denote the equilibrium relation or in case of two or more relations the names Z 1 Z 2 Lags can be included as Z j for j gt 0 Note that the lag j is relative to the minimum lag specified in the Model Equilibrium Relations dialog Presample lags are replaced by 0 Nonlinear MA With this option the model disturbance term Ut is replaced by the moving average formulation Ut Et f4 Et j j gt 0 Enter the formula for the function f4 using the reserved variable 102 James Davidson 2015 Notes names E j to represent the disturbances lagged j periods E here corresponds to v in equation 4 29 of Models and Methods As in Residual the formula should be in implicit form do not include In multi equation models use the variable names E 1 j E 2 j to represent the disturbances for each equation Presample lags are replaced by 0 Note
298. ta set is initially empty when this command is given give the command File Data Clear to clear the current set the new data set receives the associated file name newdata with the currently selected file type Set Sample Start Either trims the number of observations specified from the start of the sample or creates new rows set to NaN if the number specified is negative In the latter case the option allows the data set to be extended manually with new initial observations CAUTION this operation is not reversible Delete Selected Rows This command deletes complete rows from the data matrix for which the the selected variable equals the constant entered in the box The constant value can be NaN to delete all rows where the selected variable is missing E g to extract the observations for a particular quarter from a quarterly data set create seasonal dummies and delete the cases where the dummy for the chosen quarter is 0 CAUTION this operation is not reversible Be careful to save the reduced data set under a new name Make Zeros Make Intercept Make Trend These commands create dummy variables Intercept has values 1 Trend has values 1 2 3 T for a sample of T observations Notes l To create an event dummy first create Zeros then edit it observation by observation in List Edit Compare Za Use the built in intercept and trend dummies for estimation wherever possible Make Normal 0 1 Make Stu
299. tage This exactly replicates the procedure for a single run and is recommended for most purposes High quality plots are available with this option provided the total number of replications in all instances is at least 1000 If the option Save Frequency Table is set only permitted with at least 1000 replications per instance the frequency tables returned by each instance are simply averaged This method is appropriate where each instance involves a large number of replications and the minor distortion induced by averaging can be tolerated Note bin widths for sorting are chosen dynamically and may differ slightly across instances To ensure the parallel experiments are statistically independent of each other each is supplied with a different seed for the random number generator If the current seed is S the seed sent to each instance is calculated as floor M U 0 1 where U 0 1 is a uniform random number generated successively for each instance using S and M 2147483647 is the largest positive integer available in Ox In the case where the seed is user supplied see Options Simulation and Resampling this scheme ensures reproducibility of the complete parallelized run By default S is generated from the system clock as the number of seconds since midnight WARP SPEED BOOTSTRAP 38 39 When this option is turned on bootstrap tests are computed by doing just one bootstrap replication in each Monte Carlo replication T
300. tations are also used for the BEKK multivariate GARCH model Be careful to interpret the latter parameters correctly For models specified in the Model Dynamic Equation dialog the Type of a regressor appears as a prefix in square brackets for example 1 Var1 denotes that Varl is a regressor of Type 1 This prefix is omitted if only Type 1 regressors are specified and also in equations specified in the Model Linear Regression dialog Note in the latter case the Type only controls the number of lags generated not the interpretation of the coefficients A GARCH regressor is indicated similarly with an additional G prefix For example G1 Var1 denotes that Varl is a GARCH regressor of Type 1 The GARCH or EGARCH or APARCH intercept of Type 2 kappa is indicated with the prefix 2 However no indicator is used for the GARCH EGARCH APARCH intercept of Type 1 omega To indicate the regime in an explained regime switching model the regressor has an additional Rg prefix For example Rgl1 Varl denotes that Varl is a regressor explaining the probability of switching to Regime 1 In smooth transition models the parameters of the single and double transition factors are indicated with the prefix Sm For example Sm1 Intercept denotes the location parameter of the first transition factor The bilinear model is described in the output as Bilinear AR F IMA p r d q where r refers to the selected b
301. teal Saat 107 MARKOV SWITCHING cosas EEES 108 EXPLATNED S WAECHIIN Get EE E E ET 108 SMOOTH TRANSITION tit iii inicie 109 4 8 Model Equilibrium Relations ooooonnoccnnccconccconccooncconoconn nono nonnnoconocanoconn noo 109 4 9 Model Parameter Constraints iaa 112 REGRESSOR SIGNIFICANCE TEST cecceeccecssessceceeeceeneeceeeeeaeeceaeeseaeeceaeeeeaeecsaeeseneeee 112 CODED RESTRICTIONS ciu ai See et te eee bai ae ee 113 4 10 Model Select Instruments ni SE 114 3 James Davidson 2015 5 0 Values General A A Maes ae 116 BUTTONS enoei AE EE EOE E EEEE A n 116 VALUES FIELDS riirii ois in EEEE AEREO EREE E O 117 FIXED PARAMETERS eire ienie oset EE EEE ETONE EO 117 PARAMETER BOUNDS imuna e e a a a a e aaa eaa 117 CRDP OT S ed e ena e O 117 WALD TESTS AND LINEAR RESTRICTIONS ccc cescceeseeceseceececeeeceeneeceeeeeaeecsaeeeeneeees 118 A SA A IA 118 5 2 Values Equilibrium Relations a is 119 5 3 Values Distrib tion senis anona a aa aE 119 5 4 Values Switching Regimes is a 120 O ACHDA a E hI ate hee 121 6 1 Actions Run Estimation dt 121 BATCH JOBS ia E ida ia ii 121 6 2 Actions Evaluate at Current Values ooooonnnccinocionccconoconnnonnnconccnonocananonnnon 121 6 3 Actions Estimate Multiple ARMA Models ooooonnoccnocccocccoocnconncconocancconnnon 122 6 4 Actions Automatic Regressor Selection ooooncononcnnoncnoocnnocnconncconccnnncnnnono 122 6 5 Actions Recursive Rolling Estimation oooconincci
302. ted 8 Make a selection with a horizontal scrollbar by dragging the slider or by clicking the arrow buttons at each end for step by step selection Some scrollbars e g for numbers of Monte Carlo replications are incremented in jumps 10s 100s depending on the range of the selection 1 5 Entering Formulae Algebraic formulae can be submitted to the program in seven different contexts A Data transformation B Nonlinear parameter constraints C Nonlinear equations for estimation or simulation including equilibrium relations nonlinear MA terms and nonlinear ECMs D Random shock generation for simulations E Automatic on the fly data transformations F Calculator evaluates numerical formulae G Matrix calculator Formulae are typed into a text box which is opened by the following commands Case A Setup Data Transformation and Editing Formula Setup Make Data Formula Case B Model Constraints Enter Code select Coded Restrictions Case C Model Coded Function Case D Options Simulation and Resampling Enter Formula Select Formula Case E The formula is entered in the variable s description field preceded by FN case sensitive Case F Setup Calculator Case G Setup Matrix Calculator Matrix Calculator TYPING FORMULAE The general syntax in cases A B C Equation and G is of the form name formula Case A name is a new variable name Case B name is an existing parame
303. ted in ARMA in squares form in which delta L and beta L in equations 6 1 and 6 2 are the AR and MA components In this case the coefficients are named GARCH ARI GARCH MAI etc etc Optionally they can be reported in standard form corresponding to the representation of Bollerslev 1986 In this case the coefficients named GARCH Alphal etc are the coefficients of beta L delta L and GARCH Betal etc denote the coefficients of beta L Note ia Roots of the GARCH AR polynomial are not reported when this option is checked gt The EGARCH model does not strictly have an ARMA in squares representation The default corresponds the stated form of equation 6 2 The Bollerslev form is the one more commonly reported dl It is the user s responsibility to match starting values to the convention selected The GARCH intercept can also be computed in two different ways By default it is omega in equations 6 1 and 6 2 By unchecking the box Specify Type 1 GARCH Intercept kappa omega beta 1 will be 168 James Davidson 2015 computed instead see equations 6 4 ff of Models and Methods OPTIMIZATION SETTINGS The following options should not normally need changing but the defaults may not suit all cases Experimentation is recommended if in doubt 3 The GARCH M likelihood is computed by Gauss Seidel iteration of equations 4 1 and 6 1 or 4 1 and 6 2 for EGARCH A fixed number
304. ter name Case C Equation is required name is optional and if given must match 21 James Davidson 2015 the selected dependent variable s in Dynamic Equation dialog Case G name is a new matrix name This is optional if omitted a text field opens for entry of a name The general syntax in cases C Residuals D E and F is of the form formula A formula can be constructed from the following components depending on the formula type as indicated ABCDEFG Real numeric constants containing digits 0 9 optionally including a decimal point and optionally preceded by a minus sign ABCDEFG The operators add subtract multiply divide raise to a power ABCDEFG Parentheses enclosing sub formulae ABCDEFG The functions log exp cos sin tan atn abs sqrt int sgn pos neg fIr ips ing izo and imi where the parentheses can contain a variable parameter constant or sub formula ABCDEFG The names Pi pi PI and pl are reserved and are replaced by the constant 3 14159 to machine accuracy ACDE Variables by name or number see Notes 1 4 optionally followed by an integer lag negative value or lead positive value enclosed in braces BCD Parameters by name or number see Notes 1 5 F Algebraic variables by name G Matrices by name The operators transpose Kronecker product Hadamard pro
305. th The lengths L can be selected in two ways Automatically by optimizing a model selection criterion over the interval 0 lt L lt n 1 3 The selection criterion is is set in Options Test and Diagnostics It is the Schwarz IC by default il Manually using the lag selection scrollbar To enable this option set the model selection criterion to None in Options Test and Diagnostics FMLS and SSW LS cannot both be selected at once Uncheck to latter to select the former 90 O James Davidson 2015 4 3 Model Panel Data This dialog is not accessible unless a panel data set is loaded It sets the available options for panel data estimation in conjunction with settings in the Model Linear Equation Model Select Instruments and Setup Set Sample dialogs Notes 1 Choose the first and last date for estimation or simulation of panel models in the Setup Select Sample dialog In the case of an unbalanced panel the first date used for a particular individual is the later of this setting and the first available date while the last date used is the earlier of this setting and the last available date 2 The options in this dialog cannot be combined arbitrarily When an option is disabled or greyed out this means that it is not compatible with the other current selections DATA TRANSFORMATIONS See for example Arellano 2003 for details of the transformations available here Also note 3
306. th of the Cointegration Test checkboxes to compute the residual Phillips Perron and or augmented Dickey Fuller statistics o Check Fully Modified Least Squares to compute the Phillips Hansen 1990 FMLS efficient estimator o Check SSW Efficient Least Squares to compute the least squares estimator augmented by leads lags of regressor differences as proposed by Saikkonen 1991 and Stock and Watson 1993 SSW LS If a panel data set is loaded the dialog is automatically formatted in panel mode with the Panel Data button enabled This button opens the Model Panel Data dialog which can also be accessed from the menus For Instrumental Variables estimation V 2SLS 3SLS use the Instruments button to open the selection dialog The Diagnostic Tests button opens the diagnostic test selection dialog or closes it if it is open This dialog can also be accessed from Options Tests and Diagnostics The show hide status is remembered when this dialog is closed and re opened The Sample button opens the Set Sample dialog or closed it if it is open Use this to select the observations to be used for estimation The setting is the same as if opened from Setup Set Sample Pressing the Simulate button 88 James Davidson 2015 Notes allows the All Available Observations button to show the available sample of exogenous variables for a simulation of the dependent variable The show hide status is remembered
307. the above mnemonics indicates the corresponding series of standard deviations where these are computed Note that SsfPack returns variance series TSM takes the square roots for reporting purposes so that they may be used directly in the construction of confidence interval plots To do this use the Multi Series Plot C Bands 79 O James Davidson 2015 13 14 15 16 17 18 option in Graphics Show Data Graphic See Help page 7 1 under Multi series Plotting The standardized disturbances are ratios of disturbances to the corresponding standard errors as reported by SsfPack to allow tests for outliers and breaks The Conditional Means and Smoothing tasks actually return the same series although computed by different methods functions SsfCondDens and SsfMomentEst respectively the former being evidently the more numerically efficient although the latter function computes the variance series as well as the mean series In spite of this the mean series are given different identifiers with Mn and Smo prefixes respectively so that the outputs from these two functions can be distinguished If the Extended Output checkbox is left unchecked only the series relating to measurement equations are written Check this option to get the full reporting of series for both state and measurement equations The Forecasts scroll bar setting determines the number of post sample forecasts to be generated under the
308. the extra observation at each step it is computed afresh the current estimates provide starting values for each new step See the Setup Recursive Rolling Estimation dialog for details of setting up the run The sequence of results for each sample period can be exported to a file according to the setting in Options Output and Retrieval Options or viewed as graphics The items available are the parameter estimates with 2 standard error bands plus optionally regression statistics including criterion values residual moments autocorrelation tests stability ex post forecast tests and also any tests of parameter restrictions that have been set up Notes 1 The sequential model selection criteria are not recorded These would differ from the estimation criterion by the same fixed amount in each run so the latter contains all the relevant information 2 If N step ahead ex ante forecasting is specified see Options Forecasting and Simulation the Nth forecast step and standard error or percentiles for Monte Carlo forecasting are reported in the output By default N is fixed so that the actual date forecast moves forward with the sample There is an option to keep the terminal forecast date fixed so that N contracts as the end of the sample advances See Setup Recursive Rolling Estimation for details 3 This command is launched by the Run button on the toolbar if the Setup Recursive Rolling Estimation dialog is open
309. the last session even if the original data files have been moved or deleted in the meantime Named settings files with tsm and tsd extensions and red TSM and blue TSD Windows icons can be saved and re loaded manually at any time 5 ORGANIZING YOUR WORK The File Settings Export command saves a complete image of the current session including options model specifications data generated series tables and graphics Exported tsm files do not contain local path information and are fully portable between installations When they are opened the data file and temporary storage tsd files are recreated This provides an ideal way to share work with collaborators move between home office installations and distribute classroom exercises Double clicking on a tsm file icon in Windows Explorer starts the program and loads the file contents automatically 6 SIMULATION Part of the TSM philosophy is that any model that can be estimated by the program can also be simulated using randomly generated disturbances or bootstrapped randomly resampled residuals The former can be Gaussian or generated from the distribution specified by the selected likelihood function This feature can be used for one off simulations whose output is graphed Comparing the simulation of the fitted model with the original data can be a useful informal diagnostic tool However the main application for the simulation module is to running bootstrap tests and Mo
310. the upper tail is tabulated so be sure the parameters are signed appropriately The t statistics can optionally be centred on the parameter values specified by the EM see para 11 above Otherwise they are centred on 0 When this option is selected with the EM and DGM values matching as when the same model takes both roles the distributions of the test statistics can 66 James Davidson 2015 18 19 20 21 22 23 be studied under the true null hypotheses Note this option is available only when the bias and RMSE are available When the distribution of test statistics follows the distribution specified for the null hypothesis the p values should be uniformly distributed so that their c d f is the 45 degree line of the unit square The Kolmogorov Smirnov statistic the maximum absolute difference between the p value EDF and the uniform distribution can optionally be calculated This provides an alternative to the quantiles to assess how closely the distributions match Nominal critical values for the K S distribution assuming 80 bins are 1 22 10 1 35 5 1 63 1 Note this option is only available if the frequency table is enabled see para 20 below If GMM is simulated there are two options available the one step estimator and the efficient GMM estimator using the first round estimates to compute the weight matrix Check the iterated GMM checkbox to select the latter option Further iter
311. then recompute the model using either Actions Run Estimation or Actions Evaluate at Current Values to avoid re estimating To view a plot of the recursive rolling estimations either double click a parameter statistic in the list or select it and press Go The rolling parameter estimates are displayed with 2 standard error bands the usual regression standard errors with covariance matrix formula selected in Options Tests and Diagnostics The Fill symbol option is used for probability and variance plots That is the region between the plotted line and the time axis is shaded light gray If for any reason a different plot style is required for these series use the Retrieve Series command to add them to the data set then plot using the options in Graphics Show Data Graphic Select the type of plot desired for confidence and standard error bands in forecasts and recursive rolling estimation none bands or bars in Options Graphics Options 7 3 Graphics Monte Carlo Graphics The frequency distributions generated by Monte Carlo experiments can be displayed as kernel densities and histograms Cumulative frequencies can also be displayed as an option x Select plots for display by clicking on the list or pressing Select All Unselect an item by clicking again Remove all selections with Clear Plot selected items by pressing Plot Double clicking a list item displays the plot but does not leave the 136 J
312. timate the selected model to get these outputs 4 This option cannot be used in conjunction with regime switching nor with multiple equation models da The model optimizing each of the selection criteria Schwarz Hannan Quinn and Akaike is reported following the run 6 4 Actions Automatic Regressor Selection Given a baseline model containing N regressors of one or more Types including current and lagged values of some variables typically this option estimates all the 2 N possible models formed by taking subsets of the full regressor set It then reports the case which optimizes the chosen selection criterion which can be either the Akaike AIC the Schwarz SIC or the Hannan Quinn HQC Notes 1 Optional settings are selected in Setup Automatic Model Selection regressor Types which also features an alternate launch button and Options Tests and Diagnostics selection criterion 2 The program excludes regressors from the baseline specification by turning their Fixed flags on and setting the coefficient values to 0 In other words the baseline specification is not actually changed during the run To use the selected model for further work it must be specified manually in the usual way If the baseline specification includes regression parameters that are already Fixed this setting is retained and the variable in question is excluded from the search 3 The procedure optimizes exhaustively over the model sp
313. time The default setting of 100 gives sizes estimated to the nearest percentage point Check the Save EDFs checkbox to save tabulations of the empirical distribution of test statistics If the t statistics are centred on the true parameter values or otherwise if the null hypothesis of interest is set to be true in the simulation these distributions can be used to provide critical values and hence to estimate true test powers by simulating cases of the alternative These tables can also be used to generate p values for tests in 67 James Davidson 2015 24 observed data EDFs are saved as spreadsheet or matrix files of the type specified by Options Output and Retrieval Export Listings to Files of Type The assigned file names are of the form EDF Run run i d extension These files can be renamed merged and or edited either in TSM or a spreadsheet program see below See Appendix G for details of the EDF file format Note The prefix EDF _ is recommended for file names since such files can be loaded easily by drag and drop OUTPUTS 25 26 27 The results of the experiment including tables and plots data are automatically stored with the DGM at the end of the run Reloading this model allows the tables using the Results command and graphics to be re displayed at any time When performing a sequence of experiments save the DGM under a new name before modifying or re using it so as to preserve these r
314. tion VARIABLE SELECTION 8 The three regressor Types correspond to the vectors denoted x_1t x_2t and x_3t in equation 4 1 of Models and Methods Therefore the estimated coefficient of a particular regressor can be different depending its Type when 95 James Davidson 2015 10 11 12 AR and or MA components are specified Type 1 and 2 intercepts must be interpreted similarly When one or more variables are selected in any category the corresponding radio button is highlighted lighter grey To see the actual variable s selected highlighted in the variable list click on the radio button in question Only one variable can be selected as dependent unless the Systems of Equations box is checked Multiple selection is allowed in the regressor categories The Lags setting allows different orders of lag for the regressors of each Type For example include variables for lagging in the Type 2 category and non lagged variables such as dummies in the Type 1 category Individual lags can be suppressed by fixing the coefficients at zero in the Values dialog If neither lags nor ARMA components are selected and there are no current endogenous variables the regressor Types are all treated equivalently If the dependent variable is selected as a regressor of Type 2 and Lags gt 0 only the lagged values are included This provides an alternative way from setting AR Order gt 0 of including the lagged dependent variable a
315. tion calendar dates take precedence over date labels and date labels take precedence over Ox format year period dates PERIODIC DATES 8 These use the Ox dating format and is the easiest form of dating to set up The date information can be added in TSM using the Set Dates command under Setup Data Transformation and Editing Edit A column is created with the reserved name STARTDATE and having entries in the first three row positions as follows l The year of the first observation 2 The period quarter month week weekday day of the first observation 3 The frequency one of 2 half years 4 quarters 12 months 52 weeks 34 James Davidson 2015 10 260 weekdays 365 days The rest of the column can contain anything or be blank This item is removed after being read so it will not appear in the variable list If the data file is then saved in TSM it will contain the date information in Ox format the first column of the file will contain the dates in the format year period This column will be used to create date information next time the file is loaded If files are merged the date information of the first loaded file is used unless the merged file contains a STARTDATE column in which case this information is used to date the combined observations Ox date information in the merged file is ignored The periods must have equal length e g no missing holidays or leap years in daily data
316. tion following this one is to give the command File Settings Export the run counter is set to that value in the exported settings but the current counter is left unchanged By default the counter is set to 0 in an exported file Other special settings may be explained in their context At any time some settings may relate to experimental program features and hence undocumented The following are settings not documented elsewhere Show CS Test Settings If set to TRUE settings for the suite of consistent specification tests including the Bierens test are shown here and also in the Options Tests and Diagnostics Diagnostic Tests dialog By default these items are hidden to simplify the interface Automatic Data Transformation Enable the option to let data series be transformed for inclusion in a model See 4 0 for details Annual Difference Forecasts Forecasts are reported as the percentage change from the observed data in the previous year 4 quarters or 12 months back In this case a maximum of 4 quarters or 12 month forecasts can be computed Plot with GnuPlot 4 2 restart If the full Gnuplot package version 4 6 3 or later is installed it will be used to create graphics in place of the compact bundled version Gnuplot 4 2 6 Setting this option to TRUE forces TSM to use the bundled version even if later versions are present This option must be set before showing a graphic or else a restart is needed for
317. to a spreadsheet Select File Listings Export Spreadsheet Criterion Grid after running the option Plotted on a graph Select Graphics Criterion Plot after running the option Notes k Other parameters can be either fixed or free for this operation If a pair of grid bounds for a fixed parameter are both set to zero the parameter is treated as fixed in the usual way 2 A choice of contour plot and surface plot is available for the two dimensional case Select the option required in Options Graphics 3 Default output to the results window includes the grid location of the criterion maximum and locations of the largest values of the test statistics including absolute t ratios diagnostic tests and any specified 124 James Davidson 2015 tests Remember that the criterion is optimized Grid Points 2 times in the case of a two dimensional grid Choice of the number of points may need to depend on considerations of computing time This option can be used to implement tests where parameters are unidentified under the null hypothesis The usual procedure is to base a test on the supremum of the statistic over eligible values of the unidentified parameter s 6 7 Actions Multi Stage GUM This command allows the computation of efficient GMM estimates where the weights matrix is estimated to allow for heteroscedastic or autocorrelated errors This is a two or multi stage procedure performed by issuing this command
318. ue enclosed in square brackets appended to the test name The suffix is omitted if the parameter has a default value such as 1 in the case of t ratios OPTIONS 9 The parameter moments reported are the mean standard deviation skewness and kurtosis of the Monte Carlo distribution of parameter estimates 65 James Davidson 2015 10 11 12 13 14 15 16 17 Optionally moments can be computed for the estimated standard errors of the estimates using whatever formula is specified in the EM standard robust or HAC The mean of this distribution may for example be compared with the SD of the Monte Carlo distribution of the estimate To calculate parameter biases and RMSEs the assumed true parameter values must be set as part of the EM These may match those of the DGM but note that the two models need not even be comparable Set these values for unconstrained parameters using the Values dialogs in the usual way Note this option is not available for semiparametric long memory estimation which does not make use of the Values dialog The bias and RMSE can be hand computed from the information reported in this case Any optional tests that are specified in the estimation model will be included in the tabulations The routinely computed diagnostic tests Jarque Bera test and Q tests can be optionally included in the tabulations By default they are omitted The upper tail quantiles of the distributions o
319. ulse responses are exported Compute the step responses manually by cumulation if required 8 4 Options Simulation and Resampling SIMULATION OPTIONS l There are nine ways to generate artificial shocks to drive the one off simulations Monte Carlo experiments and bootstrap tests See Models and Methods for details and formulae x Model uses the distribution specified by the likelihood function if a maximum likelihood estimator is specified If the estimator specified is not ML then Gaussian shocks are used with variance equal to the residual variance from the last estimation Gaussian uses normal random numbers with zero mean and the variance specified in the text field provided Stable uses random numbers from a centred infinite variance stable distribution with the three parameters specified in the text fields Alpha lt 2 is the stability parameter where 2 is the Gaussian case and corresponds to the largest existing absolute moment Beta controls skewness and Scale has a role analogous to the SD Formula generates shocks with a user defined formula depending on one or more sets of uniform and or normal random numbers and optionally on variables from the data set and parameter values defined in the model In a multi equation model the same formula is used with different shocks and parameters if specified specific to the equation Enter the formula in the dialog box provided see section 1 5 Ent
320. un 5 3 Values Distribution This dialog shows parameters defining the distribution that are not associated with any one equation in a multi equation model These are hi the Student t parameters degrees of freedom and skewness E parameter of the GED distribution j parameter of the negative binomial distributions degrees of freedom for the chi squared probit model 5 The intercept of the excess zero probability function in a zero inflated Poisson or ordered probit logit model Regressors are of Type 3 hi error correlations i Parameters of the DCC multivariate GARCH model Notes 1 In regime switching models use the gt and lt buttons to cycle through the regimes or the Regimes choice widget on the tool bar with Refresh to select a regime directly 2 Covariance parameters of the BEKK multivariate GARCH model while not associated with any one equation are nonetheless displayed in the Values Conditional Variance dialog See Help page 5 2 for correct interpretation of these parameters 119 James Davidson 2015 5 4 Values Switching Regimes This dialog displays parameters specified in the Model Regime Switching dialog Notes In the Markov switching case including Hamilton s model these are the transition probabilities p_ ji PG i forming a M M 1 matrix These are the probabilities of switching from regime i to regime j In the Explained Switching and Smooth Transition m
321. ure provides a valid time series implementation of the F test of the Regression reported routinely by many packages It tests all exogenous regressors but automatically excludes the trend seasonal dummies and lagged dependent variables from the test set Thus the null hypothesis can be a valid univariate representation of the dependent variable In the Linear Regression dialog check Wald Test of Constraints Use the button beside the checkbox to open the Constraints dialog and check the box Test Joint Significance of Regressors The test is computed by running the regression or by choosing Actions Compute Test Statistics Wald Test of Set Restrictions 7 HOW TO TEST FOR A UNIT ROOT X XX XX Open the Setup Compute Summary Statistics dialog Check the Report I 1 Tests checkbox Choose the variable you want to test and press Go The Augmented Dickey Fuller test and Phillips Perron statistics are among the results reported The order of lags in the ADF test is chosen automatically to optimize the Schwarz model selection criterion over the range up to M O T 1 3 The bandwidth settings for the Phillips Perron test can be changed in Options General 8 HOW TO ESTIMATE AN ARMA p q MODEL x Click the Space Shuttle button on the tool bar to open the Dynamic 13 James Davidson 2015 XX XX Equation dialog If this is not shown open Options General check Enable Optimization Estimators and resta
322. value Use the critical value to perform a 1 tailed test with the corresponding significance level The distributions Normal and Student t allow calculation of p values for 2 tailed tests These correspond to the p values reported with the estimation output Use the signed distributions Normal and Student t to calculate p values for 1 tailed tests Just cut and paste the test statistic into the Look Up Tail Probability dialog Change its sign for tests of the lower tail Select EDF from File then press Select to choose a test statistic from the currently open EDF file the file dialog opens automatically if no EDF file is currently open To open a different EDF file use the command File Data Load EDF The density plot is the same in either dialog The shaded region is the area corresponding to the tail probability and equivalently the area to the right of the critical value 3 14 Calculator This utility substitutes for a hand calculator The menu item opens a text 71 James Davidson 2015 box Enter a numerical expression and press lt lt lt Go gt gt gt or the Return key The expression and its value are printed in the Results window For example to calculate the area of a circle with radius 5 type the formula Pi 5 2 and the output has the form Calculator Pi 5 2 78 539816339745 See 1 5 User Interface Entering Formulae for details of the syntax and available functions In this mode
323. variables as instruments set the second scrollbar to the number of lags to be included o If this scrollbar setting is zero no lagged endogenous variables are used as instruments 114 James Davidson 2015 o If this scrollbar setting is positive the number of lags of a variable included as instruments is the greater of this setting and the number of lags specified to appear in the equation according to the lag setting of the variable s Type The Initial Lag setting applies both to additional instruments and if positive to lagged endogenous instruments The number of lags is not affected by this setting so the longest lag is increased commensurately The normalized left hand side variable or variables in a system cannot be selected in this dialog since they are necessarily endogenous Its their lags are included automatically if the second scrollbar is set to a positive value In panel data models the intercept is suppressed under certain data transformations such as individual mean deviations and first differences When these options are selected the instruments are subjected to the same transformation The intercept is not available as an instruments in these cases and the checkbox is disabled 115 James Davidson 2015 5 Values 5 0 Values General The Values dialogs are used to operate on model parameters They allow x x X setting starting values for the search algorithm fixing parameter
324. ven or else it has no effect Either an estimation run has previously been performed or a previously stored model has been loaded using the Model Manager Ze When the Retrieve command is given the checks in the Options Output and Retrieval dialog are removed so that the same items are not saved twice 128 O James Davidson 2015 3 Items can be retrieved automatically following a run by checking them in the Options dialog before launching the run Choose from the Once and Always options in this case The former removes the checks after saving 6 11 Actions Simulate Current Model This selection generates and displays a stochastic simulation of the current model The user is prompted to choose to discard the series after viewing or write to the data set and in the latter case to either add the series as new variable s or over write the existing dependent variable s Notes 1 To select the mechanism generating the artificial shocks see Options Simulation and Resampling Options The choices are Gaussian model according to likelihood function adopted and a bootstrap of the current model residuals 2 Create model for simulation in one of three ways estimate a model retrieve a stored model or type parameter values direct into the Values dialogs 3 A dependent variable or variables for the simulated model must exist in the data set and provides fixed pre sample values when these are specified in a dynamic model Thi
325. vidson 2015 12 of the equations as Type 1 regressors to allow a simultaneous system Three Stage Least Squares can be selected as an option in the Model Linear Regression dialog In the Dynamic Equation dialog the presence of such variables automatically causes the FIML estimator to be computed provided suitable identifying restrictions have been imposed on the equations See Section 4 4 for further details Equilibrium relations can be embedded in systems of equations to create an error correction model or cointegrating VAR The Model Equilibrium Relations dialog allows the selection only of a set of variables to be included in all the relations The Values dialog is used to impose restrictions which must include a normalizing restriction fixed at 1 typically on one variable AUTOMATIC DATA TRANSFORMATION 13 14 15 16 Variables in a model may be subject to transformations Logarithms are the most popular case but absolute values squares logistics and others may also have applications While one way to do this is to create and store the new series in the database a convenient alternative is to perform the specified transformation on the fly after setting up the equation s in terms of the original variables To implement this option go to Options General Special Settings and select Automatic Data Transformations from the pull down menu Double click on the text field to toggle the option on and o
326. when this dialog is closed and re opened The Options button opens the most recently opened estimation options dialog from the Options menu By default this is the Tests and Diagnostics dialog Click the horizontal lt lt lt lt and gt gt gt gt bars in these dialogs to switch between them The Values button opens the equation Values dialog or refreshes it if it is already open To compute the estimates press the lt lt lt Go gt gt gt button This duplicates the Evaluate button on the toolbar and the Actions Run Estimation menu item The Clear button clears all settings in this dialog For models specified in this dialog the estimates are computed by the usual analytic formulae Equations specified in the Model Dynamic Equation dialog are estimated by numerical optimization whether or not their form is linear When this dialog is opened the Dynamic Equation Conditional Variance Supplied Function and Regime Switching dialogs are all closed automatically These features are all disabled greyed out until it is closed again All estimators except Least Squares and IV are also unavailable See Model Select Instruments for details of the instrument selection procedure VARIABLE AND LAG SPECIFICATION 4 When one or more variables are selected in any category the corresponding radio button is highlighted lighter grey To see the actual variable s highlighted in the variable list and the
327. wo or more density plots in the same graph for comparison select the Options Graphics from the menu and then One Graph in Multiple Series Display The MoveUp Dn buttons allow control over the colours or line types used to display each plot also the order in which legends appear Note Histograms are not displayed for two or more densities in the same graph even if this option is selected The saved plots can be exported to a spreadsheet file for subsequent reloading and or merging with those stored in a different settings file Pressing the Save Plot Data button opens the file dialog for saving Notes Reload plots with the command File Data Load Tabulations Density Plot File File names with the prefix DNS_ are recommended Such files can be loaded quickly using drag and drop The spreadsheet format is as follows Row 1 Plot names Row 2 Kernel bandwidth index integer 0 32 Row 3 Initial bin ordinate Row 4 Increment bin width Rows 5 Histogram values 138 James Davidson 2015 8 Options 8 0 Options General Information and Defaults By default only one Options dialog is open at a time Opening a second dialog causes the first to close This behaviour is optional see General Options The lt lt lt and gt gt gt buttons at the top of each window allow easy navigation between the options dialogs Pressing them opens the next previous options dialog so that current program settings
328. x Save Listings Automatically to have all the series associated with an estimation run saved to a file of the selected type If this box is not checked specific outputs from the latest run can be saved individually as required by selecting the menu items under File Listings 4 To distinguish sample and ex post forecast periods in the output file an extra column is printed with an indicator variable 0 sample 1 forecast 141 James Davidson 2015 5 Check the boxes in Print to Results Window to have the items appear on the screen Large screen listings are best avoided since the results window buffer may fill up rapidly EXPORTING GRAPHICS 6 Graphics can be saved to file in both bitmap and vector graphics formats PNG and GIF are standard bitmap formats providing an exact image of the displayed window in the dimensions specified see 8 5 Options Graphics EPS Encapsulated PostScript and EMF Enhanced MetaFile are vector graphics formats Vector graphics can be edited in drawing packages such as Corel Draw PNG GIF EPS and EMF files can all be loaded directly into Word and TeX documents They can also be viewed and converted into other formats such as JPEG using freeware packages such as the recommended IrfanView FIG is another vector graphics format FIG files can be viewed and edited in the WinFig Windows and XFig Unix shareware packages If the checkbox Export Graphs Automatically is checked

User`s Manual - Time Series Modelling (TSM)

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