<Previous version: PcGive 14>
PcGive 15: enhancements and solved problems
New and improved in PcGive 15
- Markov Switching: removed recursive and forecasts from estimation dlg.
- Growing database for forecasting: if the last observation is zero, extending
by zero: useful after saturation.
- Added graph of intercept adjustments (Constant excluded, but Trend included)
- Improved Autometrics for large models: better handling of search for contrasting terminals
and using some blocking in the lag presearch when the lag length is very large (beyond 12).
BigT10 data gives an example where root-search gets in the way if there is no lag presearch:
there are just too many at the root.
|Without lag presearch: ||time 13:39:54.59 ||Autometrics version 1.6|
|with:lag presearch ||time 7:39.07 ||Autometrics version 1.6|
|new without presearch: ||time 20.54 ||Autometrics version 2.0|
|new with presearch: ||time 1:13.65 ||Autometrics version 2.0|
- Include options in the Progress menu to "select all models" and "deselect all models".
- More compact output for T>k
- New algorithms for T>k; old one still available under Advanced settings.
Three aspects in the expansion stage were slowing the algorithm down in some cases:
Now estimates GPS data (T=1000,n=3) SIS in under two seconds rather than almost three minutes.
- Block size shrank as the selected model was growing. Now setting blocksize
as a fraction of the sample size (0.2T by default, selected model must be <0.6T
to consider up to 0.8T), so it stays constant.
- Continuation if the model was too small or large: this could create many extra steps for
little gain. Now limiting to one continuation and then selecting by p-vale of too many
- Stage A. Now looking for 1 terminal (bad blocks could mean search for further terminals
too slow, and perhaps pulling in rubbish). Stage B and onwards search for further terminals,
except in quick mode.
- Stage C now expands at 2*p_\alpha, then does reduction at 0.5*p\_alpha and running D at p_\alpha
(previously this was 2p_\alpha,p_\alpha,and 4p_\alpha for start of D.)
- System T>k: wrongly penalizing block size by dividing it by the no of eqns
(counting pars multiplied by no of eqns)
- Recursive estimation: recursive estimation now done when entering the graph functions
NB doing a full re-estimation, which is not strictly needed (prints the eqn again), but is easiest way.
- Dropped RALS
- Dropped single eqn IV/OLS choice in settings, because it wasn't really a choice.
- Changed saturation selection in dialog
- Added TIS to saturation selection (note construction of trends! None extend into the future - need a forced Trend for that - check)
- SEM t-probabilities, standard errors of recursive residuals, degrees of freedom
of recursive Chow tests now based on T-c instead of T-k, where c is the average number of coefficients in
an equation, whereas k is the total number of Z and U variables in the system
(not all need to appear in the model).
- Added recursive estimation for 1SLS,2SLS,3SLS.
- Added AR test for 1SLS,2SLS,3SLS.
- Added SEM ARCH test (performed on RF residuals)
- Changed SEM AR test for FIML: it is based now on the 3SLS likelihoods.
This avoids a numerical maximization, which is particularly useful when doing automatic model selection.
- Recursive hedgehog for SEM
- Autometrics to implement automatic model selection for SEM (FIML,3SLS, 2SLS, 1SLS, CFIML)
- Added line search to switching algorithm for restricted cointegration (as in paper)
Fixed in PcGive 15
- Fixed index error with level forecasts
- RESET test: check for number of observations (previously runtime error if too small).
Now requiring at least 5 df.
- Logit predictions: observations with state outside the choice set cause a crash.
- Batch code to map to I(0) for UKM1 writes Z=,DOUT,DOIL;
- PcGive Autometrics output says: outlier detection no
Changed to large residuals: no
- For X12arima to work, an X12arima licence was required, instead it should work with a PcGive licence
- Reordering for cointegration put the Y variables in the database order.
Interactively, this is always as specified, but may be different for the generated
Ox code that uses the actual data set. That can be a problem for the formulated
restrictions on the cointegrating space. Now always using specified order.
- Hedgehog function returns fully transformed variables (previously: still had to scale and take anti-log or anti-logit).
- Multivariate robust Hedgehog plots had variables scrambled.
- Hedgehog plots use a different color in the forecast period
- Hedgehog Levels forecasts beyond estimation sample: not integrated
- Levels forecasts with gap: created cGap extra forecasts
Also used wrong levels if cGap > 0.
- Recursive hedgehog would omit early part when there are dummies
- Fixed Ox issue with find, affecting forecasting
- Arfima package distributed with OxMetrics 7.0 has out of date oxo file (prerelease - not compatible with Ox 7).
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