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    1      This directory contains test code for the functions of the 'tseries'
    2      segment of the CCM math library. Each test code file has a sample
    3      of the correct output appended to it. Input data files named in
    4      the test code header, are in the 'data' sub-directory.
    5 
    6      The 'data' subdirectory contains time-series model definition files.
    7      The format of these definition files is specfied below.
    8 
    9      The 'generators' subdirectory contains the source code of programs
   10      that will generate the sequence of a specfied time series.
   11 
   12 
   13      Note: If your machine is big-endian or it employs a floating point
   14            format different from the IEEE 64 bit standard for doubles
   15            you must regenerate some of the test data files in the 'data'
   16            subdirectory. See the 'generators' sub-directory README file
   17            for directions on this.
   18 
   19 
   20      ----------------------------------------
   21      Format of time series model data files
   22      ----------------------------------------
   23  Time series model definition files
   24 -------------------------------------------------------------------------
   25  A. Ordinary ARMA model definition
   26 
   27     nar  nma           (# autoregressive  # moving average)
   28     p1   lag1
   29     -    -           ( parameter - lag list
   30     -    -              AR then MA , # = nar + nma = np )
   31     pN   lagN
   32 
   33     random_seed
   34 
   35  B. FACTOR model definition
   36 
   37     nfc nar nma ndif   (# factors # autoregressive # moving average
   38                         #difference order ) 
   39     p1    lag1
   40     -     -            ( parameter - lag list
   41     -     -              factor , AR , MA ;  # = nfc + nar +nma = np )
   42     pN    lagN
   43 
   44     random_seed
   45 
   46 --------------------------------------------------------------------------
   47 
   48      In the 'data' subdirectory files with a name beginning with 'tsf'
   49      refer to factor models, while files with a name 'ts' refer to
   50      ordinary ARIMA models. The sufix describes the type of file, with
   51 
   52           .dat  files contain a model definition
   53                 ( used as input to generate a series)
   54           .d    files contain a model specification
   55                 ( definition sans parameter values
   56                   used as input to estimate a time series fit)
   57           .b    files contain the binary data of a time series
   58                 ( generated by 'garma' (ARIMA) modesl or by
   59                   'gfarma' (factor models) )
   60           .er   files contain the resuidal output from a
   61                 model estimation attempt (this is optional
   62                 output from the estimation programs and can
   63                 be used as input to the residual analysis
   64                 program tresid.c)
   65 
   66      Note: It is instructive to run test estimations in which the
   67            model specification (.d file) does not match the
   68            definition file used to create the series!
   69 
   70      The following list specifies the command line parameters and
   71      prompt responses required to run the standard tests, whose
   72      output is appended to the test source code. A prompt may
   73      specify several parameters.
   74  
   75 
   76      tdrfmod    20  data/tfs2.dat
   77      tdrmod     20  data/ts1.dat
   78      tevfmod    30  data/tfs0.dat
   79      tevmod     30  data/ts2.dat
   80      tfmest     data/tfs0.d  data/tfs0.b
   81                 prompt response sequence: s s s f q n
   82      tfsread    data/tfs0.b
   83      tmest      data/ts0.d  data/ts0.b
   84                 prompt response sequence: s s s f f q n
   85      tparma     data/ts2.dat
   86      tresid     data/ts0.er
   87                 prompt responses: 20 -4 4 16 : n
   88      tsany      data/ts0.b
   89                 prompt response: 0 2 20
   90      tsarma     20  data/ts2.dat
   91      tsdiff     2  data/ts6.b
   92      tsread     data/ts0.b
   93      txmean     data/ts6.b