74 #Exported Settings for TSM Version 4.31.13-05-10 at 9:04:08 on 13-05-2010 13 4.15.02-12-05 1 143 0 1 0 0 0 1 0 1 48 0 0 5 0 2 0 0 0 1 1 0 10 2 10 9 2 2 1 0 1 100 1 0 0 1 0 1 1000 0 0 0 0 4 0 8 1 0 0 0 0 0 640 480 50 0 0 0 0 0 0 0 0 0 600 1 0 1 0 0 0 0 0 0 1 0 0 0 0 0 0 0 0 0 1 1 1 0 0 0 1 12 0 3 0 1 7 0 0 8 0 1 0 1 0 1 0 0 0 13 1 0 0 0 0 1 0 0 1 0 0 0 0 1 0 0 1 600 1 600 0 0 1 1 1 0 0 1000 1 600 0 0 0 0 1 5 11 2 7 5 3 4 12 6 8 4 5 0 1 4 3 5 6 1 4 3 1 1 0 7 1 9 4 11 2 3 8 1 7 0 1 1 1 1 1 1 1 1 1 1 0 1 1 1 1 1 1 1 1 1 1 0 10 9 0 11 results.txt 0 12 selected.txt 0 0 0 9 notes.txt 0 1 0 1 1 1 16 ARMA(1,1)_.5,0,1 1 16 ARMA(1,1)_.5,0,1 2 18 Xvariable = Zeros 18 Xvariable = Zeros 0 0 0 3 15 ARMA(1,1)_0,0,1 16 ARMA(1,1)_.5,0,1 16 ARMA(1,1)_0,2,.5 0 0 5 1 175 0 0 0 1 0 0 0 0 1 1 99 0 0 0 1 3 1 0 0 -1 2 1 1 0 0 0 1 0 0 50 300 0 0 0 0 0 0 0 0 11 0 0 0 2 0 0 0 1 0 10 5 299 1 1 0 0 0 0 0 1 0 0 0 1 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 1 0 0 0 0 -1 0 1 1000 1 3 0 0 0 0 0 0 50 0 2 0 12 0 0 0 0 0 1 0 0 0 1 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23.2377731131 992.795090024 135.761564211 -1.744170072 992.914619026 76.926410271 1.87090550435 995.486583962 3 5 3.79621981126 6.6433846697 7.43426379705 8.06696709892 9.33237370268 0.671830838291 1.74676017956 2.14985868253 2.55295718551 3.15760493997 1.58891919894e-005 1.58891919894e-005 1.58891919894e-005 1.58891919894e-005 1.58891919894e-005 0 5 0 0 0 0 0 0 0 0 0 0 0 0 1 3 3 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 1 1 0 0 0 14 2 0 0 0 0 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 0 1 839 *********************************************************************** TSM4.25.13-03-08 Run 126 at 10:19:27 on 19-03-2008 Data file is C:\Documents\Time Series Analysis\TSM Exercises\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from robust formula. Monte Carlo Experiment with 1000 replications: Frequency Tables with 100 Bins Data generation model is 'ARMA(1,1)_.5,0,1' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.50000 MA1 0.00000 Variance 1.0000 Estimated model is 'ARMA(1,1)_.5,0,1' ... Run completed in 2:24.48 1 9 Xvariable 2 0 0 3 3 AR1 3 MA1 8 Variance 1 0 0 0 3 449 *********************************************************************** TSM4.31.10-05-10 Run 6 at 8:01:28 on 13-05-2010 Data file is c:\documents\tsmod4\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from information matrix formula. 48 Monte Carlo Experiment with 1000 replications. 373 Random Number Seed = 28888 Frequency Tables with 100 Bins. Data generation model is 'ARMA(1,1)_.5,0,1' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.50000 MA1 0.00000 Variance 1.0000 Estimated model is 'ARMA(1,1)_.5,0,1' ... 1000 replications completed in 2 min, 33 secs. 10 0 1 0 0 0 0 0 3 6 Actual 6 Fitted 9 Residuals 6 Series 1 3 123 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 15 MonteCarlo_Reps 4 1 6 0 1 0 0 0 0 2 9 Xvariable 5 Zeros 2 1 4 1 1 1 0 0 0 600 2 0.112443183478 0 0.645138599977 0 -1.84218048964 0 -0.25453986692 0 0.580518545083 0 0.502402815795 0 0.455202716294 0 -0.294045688093 0 0.0497006708759 0 0.52356048385 0 -0.635074329432 0 -0.507195726799 0 1.24002527474 0 -0.254808881148 0 -0.959888879495 0 -0.565142266776 0 -0.313072998461 0 1.93648643673 0 -1.34814662758 0 0.555686679795 0 2.80426805162 0 -1.71200127685 0 -0.933101484606 0 1.00465001252 0 -0.888056346125 0 1.32311066914 0 -1.47754909689 0 0.388758418657 0 0.00267618954369 0 -1.61387474423 0 0.882909949526 0 -0.438977037915 0 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1.59578559767e-005 0 5 0 0 0 0 0 0 0 0 0 0 0 0 1 3 3 0 0 0 0 0 0 0 0 0 0 0 0 1 0 0 1 1 0 0 0 14 2 0 0 0 0 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 0 1 837 *********************************************************************** TSM4.25.13-03-08 Run 125 at 10:14:58 on 19-03-2008 Data file is C:\Documents\Time Series Analysis\TSM Exercises\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from robust formula. Monte Carlo Experiment with 1000 replications: Frequency Tables with 100 Bins Data generation model is 'ARMA(1,1)_0,0,1' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.00000 MA1 0.00000 Variance 1.0000 Estimated model is 'ARMA(1,1)_0,0,1' ... Run completed in 2:31.72 1 9 Xvariable 2 0 0 3 3 AR1 3 MA1 8 Variance 1 0 0 0 3 449 *********************************************************************** TSM4.31.10-05-10 Run 5 at 7:56:10 on 13-05-2010 Data file is c:\documents\tsmod4\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from information matrix formula. 48 Monte Carlo Experiment with 1000 replications. 456 Random Number Seed = 28570 Frequency Tables with 100 Bins. Data generation model is 'ARMA(1,1)_0,0,1' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.00000 MA1 0.00000 Variance 1.0000 Estimated model is 'ARMA(1,1)_0,0,1' ... 1000 replications completed in 2 min, 53 secs. Convergence failure in 1 replications. Results based on 999 successful replications. 10 0 1 0 0 0 0 0 3 6 Actual 6 Fitted 9 Residuals 6 Series 1 3 123 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 15 MonteCarlo_Reps 4 1 5 0 1 0 0 0 0 5 1 175 0 0 0 1 0 0 0 0 1 1 99 0 0 0 1 3 1 0 0 -1 2 1 1 0 0 0 1 0 0 50 300 0 0 0 0 0 0 0 0 11 0 0 0 2 0 0 0 1 0 10 5 299 1 1 0 0 0 0 0 1 0 0 0 1 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 1 0 0 0 0 -1 0 1 1000 1 3 0 0 0 0 0 0 50 0 2 0 12 0 0 0 0 0 1 0 0 0 1 1 0 0 101 -1 2 0 0 0 0 1 -1 0 1 0 0 0 0 -1 0 0 0 1 1 0 299 0 7 0 1 0 0 0 0 0 0 0 2 0 1 0 1 1 600 1 600 0 0 0 0 0 0 0 0 0 1 600 1 600 0 0 0 0 0 1 20 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 4 3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 6 1 1 1e-005 1 2 1 1 1 4 500 5 0.85 10 0 0 1 2 1 0.66 1 4 0.5 0.5 0 0 33 11 1 1 10 TSAEx6.xls 16 ARMA(11)_501.tsd 16 ARMA(1,1)_.5,0,1 0 0 0 0 329 START_SAMPLE = 101; END_SAMPLE = 300; AR_ORDER = 1; CORRELOGRAM_ORDER = 1; COVMAT_TYPE = 0; INPUT_FILE = "TSAEx6.xls"; IS_ARFIMA = 1; LISTING_FILE = "ARMA(11)_501.tsd"; MA_ORDER = 1; METHOD = GAUSS_ML; SERIES = {"Xvariable"}; RANDOM_PRESAMPLE = 1; AR_START_VALUES = {<0.5>}; VAR_START_VALUES = {<1>}; 0 0 0 0 0 0 0 0 0 0 0 0 1 9 Xvariable 0 0 0 0 1 9 Xvariable 1 9 Xvariable 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0.5 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 2 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 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|t|,Variance 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 0 1 839 *********************************************************************** TSM4.25.13-03-08 Run 126 at 10:19:27 on 19-03-2008 Data file is C:\Documents\Time Series Analysis\TSM Exercises\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from robust formula. Monte Carlo Experiment with 1000 replications: Frequency Tables with 100 Bins Data generation model is 'ARMA(1,1)_.5,0,1' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.50000 MA1 0.00000 Variance 1.0000 Estimated model is 'ARMA(1,1)_.5,0,1' ... Run completed in 2:24.48 1 9 Xvariable 2 0 0 3 3 AR1 3 MA1 8 Variance 1 0 0 0 3 449 *********************************************************************** TSM4.31.10-05-10 Run 6 at 8:01:28 on 13-05-2010 Data file is c:\documents\tsmod4\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from information matrix formula. 48 Monte Carlo Experiment with 1000 replications. 373 Random Number Seed = 28888 Frequency Tables with 100 Bins. Data generation model is 'ARMA(1,1)_.5,0,1' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.50000 MA1 0.00000 Variance 1.0000 Estimated model is 'ARMA(1,1)_.5,0,1' ... 1000 replications completed in 2 min, 33 secs. 10 0 1 0 0 0 0 0 3 6 Actual 6 Fitted 9 Residuals 6 Series 1 3 123 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 15 MonteCarlo_Reps 4 1 6 0 1 0 0 0 0 5 1 175 0 0 0 1 0 0 0 0 1 1 99 0 0 0 1 3 1 0 0 -1 2 1 1 0 0 0 1 0 0 50 300 0 0 0 0 0 0 0 0 11 0 0 0 2 0 0 0 1 0 10 5 299 1 1 0 0 0 0 0 1 0 0 0 1 0 0 0 0 0 0 0 0 0 0 1 0 0 0 0 1 0 0 0 0 -1 0 1 1000 1 3 0 0 0 0 0 0 50 0 2 0 12 0 0 0 0 0 1 0 0 0 1 1 0 0 101 -1 2 0 0 0 0 1 -1 0 1 0 0 0 0 -1 0 0 0 1 1 0 299 0 7 0 1 0 0 0 0 0 0 0 2 0 1 0 1 1 600 1 600 0 0 0 0 0 0 0 0 0 1 600 1 600 0 0 0 0 0 1 20 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 4 3 0 0 0 0 0 0 0 0 0 0 0 0 0 0 6 1 1 1e-005 1 2 1 1 1 4 500 5 0.85 10 0 0 1 2 1 0.66 1 4 0.5 0.5 0 0 33 11 1 1 10 TSAEx6.xls 16 ARMA(11)_025.tsd 16 ARMA(1,1)_0,2,.5 0 0 0 0 329 START_SAMPLE = 101; END_SAMPLE = 300; AR_ORDER = 1; CORRELOGRAM_ORDER = 1; COVMAT_TYPE = 0; INPUT_FILE = "TSAEx6.xls"; IS_ARFIMA = 1; LISTING_FILE = "ARMA(11)_025.tsd"; MA_ORDER = 1; METHOD = GAUSS_ML; SERIES = {"Xvariable"}; RANDOM_PRESAMPLE = 1; MA_START_VALUES = {<2>}; VAR_START_VALUES = {<0.5>}; 0 0 0 0 0 0 0 0 0 0 0 0 1 9 Xvariable 0 0 0 0 1 9 Xvariable 1 9 Xvariable 0 0 0 0 0 0 0 0 0 0 0 0 0 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 2 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 0 1 1 1 1 0 1 1 1 0 1 1 1 0.5 1 1 1 0 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8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 0 1 839 *********************************************************************** TSM4.25.13-03-08 Run 127 at 10:24:57 on 19-03-2008 Data file is C:\Documents\Time Series Analysis\TSM Exercises\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from robust formula. Monte Carlo Experiment with 1000 replications: Frequency Tables with 100 Bins Data generation model is 'ARMA(1,1)_0,2,.5' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.00000 MA1 2.0000 Variance 0.50000 Estimated model is 'ARMA(1,1)_0,2,.5' ... Run completed in 2:24.37 1 9 Xvariable 2 0 0 3 3 AR1 3 MA1 8 Variance 1 0 0 0 3 449 *********************************************************************** TSM4.31.10-05-10 Run 1 at 7:43:57 on 13-05-2010 Data file is c:\documents\tsmod4\TSAEx6.xls Dependent Variable is Xvariable 200 observations (101-300) used for estimation with 100 pre-sample observations. Estimation Method: Conditional ML (Time Domain) Gaussian Likelihood ARIMA(1,0,1) MA form is 1 - a_1 L -...- a_q L^q. Covariance matrix from information matrix formula. 48 Monte Carlo Experiment with 1000 replications. 373 Random Number Seed = 27837 Frequency Tables with 100 Bins. Data generation model is 'ARMA(1,1)_0,2,.5' (disturbances from model) Presample data generated randomly. Data Generation Model Parameters: AR1 0.00000 MA1 2.0000 Variance 0.50000 Estimated model is 'ARMA(1,1)_0,2,.5' ... 1000 replications completed in 2 min, 37 secs. 10 0 1 0 0 0 0 0 3 6 Actual 6 Fitted 9 Residuals 6 Series 1 3 123 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 1 0 0 0 0 0 6 3 AR1 3 MA1 8 Variance 7 |t|,AR1 7 |t|,MA1 12 |t|,Variance 15 MonteCarlo_Reps 4 1 1 0 1 0 0 0 0 2 9 Xvariable 5 Zeros 2 1 4 1 1 1 0 0 0 600 2 0.112443183478 0 0.645138599977 0 -1.84218048964 0 -0.25453986692 0 0.580518545083 0 0.502402815795 0 0.455202716294 0 -0.294045688093 0 0.0497006708759 0 0.52356048385 0 -0.635074329432 0 -0.507195726799 0 1.24002527474 0 -0.254808881148 0 -0.959888879495 0 -0.565142266776 0 -0.313072998461 0 1.93648643673 0 -1.34814662758 0 0.555686679795 0 2.80426805162 0 -1.71200127685 0 -0.933101484606 0 1.00465001252 0 -0.888056346125 0 1.32311066914 0 -1.47754909689 0 0.388758418657 0 0.00267618954369 0 -1.61387474423 0 0.882909949526 0 -0.438977037915 0 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