結果の診断プログラム

#include <oxstd.h>
#include <oxprob.h>
#include <oxfloat.h>
#include <oxdraw.h>
//Calculate variance of time series 
fTsvar(const mX, const Bm){
// mX: T x m matrix (T: number of obs, m: number of series) 
decl cnobs,msp;
// Calculate Spectral density function using
// Bandwidth=Bm at 2 points (0, pi) and Parzen  Window
cnobs=rows(mX);msp=periodogram(mX,Bm,2,1)/cnobs;
// 1st row of msp is spectral density evaluated at 0
return M_2PI*(msp[0][])';
}
// Calculate p-value for Convergence (Geweke's Method)
// H0: Convergence, H1: No Convergence
fGeweke(const mX, const Bm){
// mX: T x m matrix (T: number of obs, m: number of series) 
decl T,n1,n2,sp1,sp2,var1,var2,mX1,mX2,x1bar,x2bar,z;
 T=rows(mX);n1=floor(0.1*T);n2=floor(0.5*T);
 mX1=mX[:n1-1][];mX2=mX[T-n2:][];
 x1bar=meanc(mX1)';x2bar=meanc(mX2)';
 var1=fTsvar(mX1,Bm);var2=fTsvar(mX2,Bm);
 z=(x1bar-x2bar)./(var1/n1+var2/n2).^(0.5);
return 2*tailn(fabs(z));
}
// *************************************************
// Main Part 
// *************************************************
main(){
decl file,cm,crepeat,dbm,mx;
decl x,x1,x2,z,pvalue,i,j,y1,y2;
decl mstat;
// rx: Number of Samples, bm:Bandowdth for Parzen Window
// ci: Quantiles for Credible Intervals
// dim_b: dimension of coeff. b
// n_acf: # of points for ACF plot

crepeat=20000;dbm=0.1*crepeat;cm=5;
// read beta 
 file = fopen("beta.txt");fscan(file,"%#m",crepeat,cm,&mx);fclose(file);
// 
// Summary Statistics
mstat=meanc(mx)'~(varc(mx).^0.5)'~quantilec(mx,<0.025,0.975>)'
      ~fGeweke(mx,dbm);
println( "%r",{"Const","PRIV","SCHOOL","LOGINC","PTCON"},
         "%c",{"Mean","Stdev","95%L","95%U","Geweke"},
         mstat);

decl n_acf=50;
//ACF
 DrawCorrelogram(0,mx[][0]',{"Const"},n_acf);
 DrawCorrelogram(1,mx[][1]',{"PRIV"},n_acf);
 DrawCorrelogram(2,mx[][2]',{"SCHOOL"},n_acf);
 DrawCorrelogram(3,mx[][3]',{"LOGINC"},n_acf);
 DrawCorrelogram(4,mx[][4]',{"PTCON"},n_acf);
 SaveDrawWindow("acf.ps");
 CloseDrawWindow();
//Path
 DrawTMatrix(0,mx[][0]',{"Const"},1,1,1);
 DrawTMatrix(1,mx[][1]',{"PRIV"},1,1,1);
 DrawTMatrix(2,mx[][2]',{"SCHOOL"},1,1,1);
 DrawTMatrix(3,mx[][3]',{"LOGINC"},1,1,1);
 DrawTMatrix(4,mx[][4]',{"PTCON"},1,1,1);
 SaveDrawWindow("path.ps");
 CloseDrawWindow();
//Posterior density
 DrawDensity(0,mx[][0]',{"Const"},1,0,0);
 DrawDensity(1,mx[][1]',{"PRIV"},1,0,0);
 DrawDensity(2,mx[][2]',{"SCHOOL"},1,0,0);
 DrawDensity(3,mx[][3]',{"LOGINC"},1,0,0);
 DrawDensity(4,mx[][4]',{"PTCON"},1,0,0);
 SaveDrawWindow("density.ps");
 CloseDrawWindow();

}