These are the data, Ox and Gauss programs used in the review 
  Time Series Modelling using TSMod 3.24
published in the International Journal of Forecasting, Volume 20, Number
3, by Charles S. Bos.

The files in the directory arfima6 are related to Table 2 and Figure 2.
In the data-file 
  data/sa0.mat
US core price index, 1957:1--1995:12, are provided. With
  loadsa0.ox
the file can be read, some dummies are created, into an GiveWin data
files data/sa0.in7 and data/sa0.bn7. These files can
easily be read into TSMod.

Table 2 of the article is created with
  oxl estsa0.ox
for the column of Ox results, and
  oxl -g estrdat.src
to obtain the Gauss results. Figure 2 is created from within TSMod.

Directories filip and ecker contain the files for the reference data
sets, with data itself in subdirectory data/. 

File 
  filip/loadfil.ox
loads the filip data set, and prepares it for use in TSMod. It also
computes the regression, though Ox reports (through the return value -2 of
'olsc') that the regression is not stable. 

For the Ecker reference data set, the data set is prepared as 
  ecker/data/ecker.in7
To calculate the model in TSMod,
1) Load the code with command File / Restart / Load User Code, and
select your file in file dialog.   (This only works in Windows, though -
In Linux you must start the code manually, using 
  oxl -s5000,5000 TSMod_Ecker426.ox. See Appendix C, pp 23-24.)
2) Load the ecker data file. 
3) Open Dynamic Model dialog.
4) Select your dependent variable (for correct outputs, plots etc.)
5) Press left square "Coded Function" button to open the coded function
dialog.
6) In coded function dialog click "Residuals" radio button under
"Supplied Ox Functions". 
7) Type names for your parameters in the fields, e.g. a1, a2 and a3. 
Close this dialog. 
8) Back in "Dynamic Equation" dialog, check the "Coded Function"
checkbox.
9) Prepare starting values, from the "Values" box. Set eg a1= 1.5, a2= 5,
a3= 450.
10) From the "Options" box, choose standard covariance matrix formula.
11) Click "Go".

Note that TSMod is still slowly evolving; present programs have been
updated to run with version 4.26 of TSMod, and been confirmed to run
with Ox 4.10 and 5.1.

Charles S. Bos
cbos@feweb.vu.nl
30 May 2008


    

