The file MATRIX2.MAC contains a number of subroutines that can
be loaded and run with the matrix command. These subroutines files
include production matrix commands and those of less interest. The
command
call load(subname);
load these routines so that they can be called by user programs.
The staging2.mac contains a number of routunes that are self
documented in the comments of the routine. These are loaded with the
command
call load(subname :staging)
More specialized routines are contained in wbsuppl.mac and are loaded
with
call load(subname :wbsuppl);
Routines listed in matrix2.mac include MATRIX command functions and
subroutines. While users can add commands to the matrix2.mac file, they
are warned that if new versions of b34s are loaded, the matrix2.mac file
will be updated which will result in any user routines being lost. As
an alternative a user routine mytest in file mylib.mac could be loaded
with the command
call load(mytest,'c:\mydir\mylib.mac');
It is recommended that comments on the use of a routine be placed at the
beginning of the file using the /$ or /; comment form.
The library staging2.mac contains potential production subroutines that
have not been moved to matrix2.mac. Help files are placed in these
routines and examples are also shown. Running examples are found in
staging.mac.
Routines in staging2.mac can be loaded with the command
call load(kk :staging);
where kk is the routine name.
Unless otherwise stated, test programs for the routines in matrix2.mac
and staging2.mac are contained in the files matrix.mac and staging.mac.
Index of Routines in matrix2.mac and staging2.mac
Mac file name c:\b34slm\lib\matrix2.mac
# Name Heading
10 README
27 ACE_OLS Tests ACE Model using OLS
124 ACE_PLOT Plot ACE Response Curves
297 ACF_PLOT Plot ACF
341 ALTSE Copies lower triangle to upper and gets SE
364 AUTOCOV Autocovaiance
397 BJ_IDEN List / Plot ACF and PACF
501 B_G_TEST Breusch- Godfrey (1978) Test on Residuals
568 B_G_ALT Breusch- Godfrey (1978) Test using dropping
639 BLUS BLUS master
1020 BPF Baxter - King Symmetric MA Filter
1126 BPFM Baxter - King Symmetric MA Filter - Missing Data at
1229 BUILDLAG Builds NEWY and NEWX for VAR Modeling
1260 CATS Cointegration Analysis using Johansen Approach
1529 CCFTEST Tests Cross Correlations
1563 CFREQ Determine Frequency Distribution
1581 COINT2 Cointegreation of Two Series
1669 COINT2LM Cointegreation of Two Series - Gives L1 and Minimax
1782 COINT2M Moving Cointegration of Two Series - Simple Version
1836 COINT2M2 Moving Cointegration Two Series OLS, L1 Minimax
1924 COINT2ME Moving Cointegration of Two Series - Extended Versi
1998 COINT3 Cointegration of Three Series
2120 COINT3ME Moving Cointegration of Three Series
2213 COINT_SW Stock-Watson DOLS Cointegration analysis
2286 CONTRIB Advanced routine do MARS contrib analysis
3985 CPERIOD Normalized Cumulative Periodogram
4058 DATAVIEW Interactively View Data
4329 DATA_ACF Plot ACF and PACF of a series
4389 DATA2ACF Plot ACF and PACF of a series with file name
4446 DF_GLS Elliot-Rothenberg-Stock DF_GLS Test
4531 DIST_TAB Distribution Table
4575 DO_SPEC View Spectrum
4631 DO2SPEC View Spectrum with a file name
4684 DUD Derivative Free Nonlinear Estimation
4844 DUD2 Derivative Free Nonlinear Estimation
5011 FDIFINFO Fractional Differencing
5059 FILTER High Low Pass Filter using Real FFT
5108 FILTERC High Low Pass Filter using Complex FFT
5158 FORPLOT Forecast Plot
5314 GAMFORE Forecast a GAM Model
5417 GAMPLOT Display GAMFIT Results
5785 GARCH2P Two Pass GARCH Using ARMA Command
5821 GARCH2PF Two Pass GARCH Using ARMA Command with Forecasts
5871 GET_NAME Get Name of a Matrix Variable
5913 GTEST Tests ARCH / GARCH Models
6138 GWRITE Save Matrix Object in GAUSS Format using one file
6195 GWRITE2 Pass Large Datasets to GAUSS in 2 files
6268 HP_2 Hodrick - Prescott Moving Filtering
6356 HP_BP_1 Baxter - King & Hodrick - Prescott Filtering
6411 HP_BP_2 Baxter - King & Hodrick - Prescott Moving Filtering
6552 IRF Impulse Response Functions for VAR Model
6814 KPSS KPSS Stability Test
6894 KSWTEST K Period Stock Watson Test
7109 KSWBOOTS K periods Stock-Watson Bootstrap Critical Values
7451 KSWTESTM Moving Period Stock Watson Test
7754 LAGTEST 3-D Graph to display RSS for Various OLS Lags
7814 LAGTEST2 3-D Graph to display RSS for Various MARS Lags
7877 LMTEST Engle LM test for a Range of lags
7916 LS2 Two Stage Least Squares and GMM Estimation
8218 MARQ Estimation of a Nonlinear Model using Derivatives
8340 MARSPLOT Plot MARS Curves & Surfaces
8389 MCLEODLI McLeod-Li (1983) Linearity test (y,ip,maxacf)
8431 MINIMAX Minimax Estimation using MAXF2
8474 MISSPLOT Plots Data With Missing Values
8528 MOVEAVE Moving average of a vector
8557 MOVEBJ Moving Arima Forecast using AUTOBJ
8645 MOVECORR Moving Correlation of two vectors
8684 MOVEH82 Moving Hinich 82 test
8744 MOVEH96 Moving Hinich 96 test
8781 MOVEOLS Moving OLS with LAGS
8844 MOVEVAR Moving Variance
8874 MSMOOTH Moving calls to smooth for forecasting
8985 NLVARCOV NLLSQ Variance Covariance
9018 OLSPLOT Plot of Fitted and Actual Data & Res
9061 OLSQ_RES Testing restrictions in OLS Models
9167 PAD Pad a 1D Real*8 Series on both ends
9198 PERMUTE Reorder a Square Matrix
9247 POLYFIT Fit an nth Order Regression
9289 POLYVAL Evaluate an nth Order Polynominam Regression
9311 PPEXP_P Plot and save ppexp output
9502 PVALUE_1 Present value of $1 recieved at end of n years
9518 PVALUE_2 Present Value of an Annuity of $1
9541 PVALUE_3 Present value of $1 recieved throughout year
9564 QUANTREG Quantile Regression
9617 RESET69 Ramsey(1969) Regression Specification Test
9681 RESET77 RESET77 Nonlinearitry Test
9765 RMATLAB Runs Matlab commands
9779 RRPLOTS Plots Recursive Residual Data
0211 RRPLOTS2 Plots Recursive Coefficients
0420 RTEST Tests Residuals of TS Models
0636 RTEST2 Tests Residuals of TS Models - No Res and y Plots
0824 SC_TEST Serial Correlation Tests
0988 SUBSET Subset an array under mask control
1040 SPECFORE Forecasting Using Spectral Methods
1132 SWARTEST Stock-Watson AR Test
1398 SWBOOTS Stock-Watson Bootstrap Critical Values
1800 SWBOOTSM Moving Stock Watson Statistics for last series
2369 TESTFUN Test Function
2378 TESTPGM Test Program
2385 TESTSUB Test Subroutine
2393 UROOT_T Battery of DF, PP, ERS and KPSS test
2545 VAREST VAR Modeling
file c:\b34slm\lib\staging2.mac
# Name Heading
10 README
29 ACE_OLS Tests ACE Model using OLS
126 ACE_PLOT Plot ACE Response Curves
299 BOOST BOOST, BOOST2, BOOST3 & BOOST4 code
706 BOOTOLS Bootstrap OLS Model
835 BOOTPLOT Plots an ordered series
859 BOOTL1 Bootstrap L1 Model
976 BOOTMM Bootstrap MM Model
1094 CATNAME Add string to a names vector
1154 CENTER Center a series or 2 D object mean=0 variance=1
1199 CENTER2 Standardizes a Series mean=0 Unit length
1244 CGETR16 Reads Real*16 Data into Matrix
1262 CGETVPA Reads VPA data into Matrix
1284 COR Correlation of a matrix.
1317 COV Calculated Covariance of a matrix
1338 COV2 Idempotent Matrix method get Variance-Cov
1378 COND Condition of a Matrix
1435 DDOT dot product of vectors with an offset
1474 DF_PP Dickey Fuller & Phillips Perron Tests
1609 DFVALUES Estimate of DF/PP Critical Values
1664 DISPMARS Displays Mars Model
2237 F_MARSLG Adjusts yhat and forecasts from MARSPLINE
2266 G4TEST Pena-Slate JASA March (2006) Joint OLS Test
2830 GARCHF Forecast ARCH / GARCH Series
3077 GARCH2PA Automatic GARCH Two Pass Modeling
3150 GENGARCH Simulate GARCH and ARCH Models
3220 GETCHAR Unpack a string into Character Array
3287 GETDATA Simple Real*8 data Read routine
3319 GETDATA2 Simple Real*16 data Read routine
3344 GETR16 Unpack a string into Real*16 Array
3410 GETVPA Unpack a string into VPA Array
3476 GETR8 Unpack a string into Real*8 Array
3543 GLESJER Glesjer (1969) Heteroscedasticity Test
3851 GLM_INFO Calculates out-of-sample best GLM model
3897 GLMSOLVE Effect of Elastic Net Parameter on RSS & RSQ
3971 GLS Cochrane & Orcutt GLS Estimation of AR(k) Model
4155 GLSDATA Transform x to x* given GLS rho vector
4184 GLS_ML GLS_ML Maximum Likelihood estimation of AR(1) Model
4340 GLS_2P Two Pass Generalized Least Squares for Order K
4541 GPH Geweke & Porter-Hudak (1983) Fractional Diff. Test
4619 G_QUANDT Goldfeld-Quandt Heteroscedasticity Test
4736 HETTEST1 Theil Heteroskedasticity Test on Sorted Data
4899 HET_TEST Heteroscedasticity Testing
5147 IACF Inverse ACF
5183 IACFN Inverse Autocorrelation
5227 LASSO LASSO Shrinkage Approach
5294 LASSO2 Generalized LASSO Shrinkage Approach
5369 LTS Least Trimmed Squares
5447 LTS_REC Recursive Least Trimmed Squares - Program
5539 LTS_REC2 Recursive Least Trimmed Squares - Subroutine
5612 MARS_P Display a Mars Probit Model
5669 MARSDIAG Row Sums of Marspline Model
5747 MARSVPLT Plots MARSSPLINE Vectors
5798 MARSINFO Estimate of MARSPLINE Model GCV Info
5835 MCOVF Function for Covariance. See built in mcov( )
5981 NORM NORM(X,i) of a matrix or vector
6038 NTOKIN Counts number of tokins in a string
6097 NW_SE Newey West SE Correction Calculation
6202 OLS_CON Constrained OLS Model
6233 POISSON Estimation of a Poisson Model
6254 POISS_SE Specialized SE's for Poisson Models
6294 P_L_EST Probit & Logit Estimation
6453 PANEL_LIB Panel Subroutine Library
6861 QR_SMALL Break Appart QR Factorization
6903 RIDGE Ridge Regression
6955 RNW_SE Run Newey West SE Correction for OLS Model
7089 SVD_OLS OLS Using SVD Approach
7134 SVD2_OLS OLS Using SVD Approach and LAPACK
7179 TESTACC Test Accuracy using Residual Orthognality
7288 TLOGIT Tests Logit/Probit Model
7912 TRIM Remove obs from front of a series
7943 TS_TESTS Residual Specification tests
8223 TSALIGN Align Time Series Data
8267 UPMATRIX Unpack a matrix
8336 UNDIF Undifference a series
8368 WALD Wald Test of restrictions
Descussion of routines that are NOT part of the production
routare distributed with B34S. All other routines are discussed
as part of the Matrix Command help files.