'Giacomini and Rossi’s (2010) fluctuation test: %setpath="D:\GEER\Results\" 'where the files are located mode quiet '%indis1="ip ifol" '%indis2="ord ifoc" %state="v1" 'end (v1) or mid (v2) !wind=25 cd %setpath open errors_d_vlag2_{%state} '___________________________________ table(5,5) tab_zuweisung setline(tab_zuweisung,2) tab_zuweisung(1,1)="Vergleich" tab_zuweisung(1,2)="ind1" tab_zuweisung(1,3)="ind2" tab_zuweisung(1,4)="lag1" tab_zuweisung(1,5)="lag2" tab_zuweisung(3,2)="ord" tab_zuweisung(4,2)="ip" tab_zuweisung(5,2)="ip" tab_zuweisung(3,3)="ifoc" tab_zuweisung(4,3)="ifol" tab_zuweisung(5,3)="ifol" tab_zuweisung(3,4)=3 tab_zuweisung(4,4)=2 tab_zuweisung(5,4)=1 tab_zuweisung(3,5)=1 tab_zuweisung(4,5)=0 tab_zuweisung(5,5)=0 '___________________________________ for %evaly f l %svgr="" for !ixx=1 to 3 'different information states !mr11=@val(tab_zuweisung(2+!ixx,4)) !mr21=@val(tab_zuweisung(2+!ixx,5)) %ind1=tab_zuweisung(2+!ixx,2) %ind2=tab_zuweisung(2+!ixx,3) tab_zuweisung(2+!ixx,1)=!ixx for %dats real final %sta=e_h1_{%ind1}2_r{%dats}_mr{!mr11}_{%evaly}.@first %sto=e_h1_{%ind1}2_r{%dats}_mr{!mr11}_{%evaly}.@last smpl %sta %sto !obsi=@obssmpl scalar delta=!wind/!obsi smpl @all series rec_t1=NA series rec_t2=NA series rec_w1=NA series rec_w2=NA for !ix=0 to !obsi-!wind smpl {%sta}+!ix {%sta}+!wind-1+!ix equation help1.ls(n) e_h1_ar2_r{%dats}_mr{!mr11}_{%evaly}^2-e_h1_{%ind1}2_r{%dats}_mr{!mr11}_{%evaly}^2 c !v1_t=help1.@tstat(1) series hhelpar1=e_h1_ar2_r{%dats}_mr{!mr11}_{%evaly}^2 !hhelp=@sqrt(@sum(hhelpar1)) !war1=!hhelp/e_h1_ar2_r{%dats}_mr{!mr11}_{%evaly}.@obs series hhelp1=e_h1_{%ind1}2_r{%dats}_mr{!mr11}_{%evaly}^2 !hhelp=@sqrt(@sum(hhelp1)) !w1=!hhelp/e_h1_{%ind1}2_r{%dats}_mr{!mr11}_{%evaly}.@obs equation help2.ls(n) e_h1_ar2_r{%dats}_mr{!mr21}_{%evaly}^2-e_h1_{%ind2}2_r{%dats}_mr{!mr11}_{%evaly}^2 c !v2_t=help2.@tstat(1) series hhelpar2=e_h1_ar2_r{%dats}_mr{!mr21}_{%evaly}^2 !hhelp=@sqrt(@sum(hhelpar2)) !war2=!hhelp/e_h1_ar2_r{%dats}_mr{!mr11}_{%evaly}.@obs series hhelp2=e_h1_{%ind2}2_r{%dats}_mr{!mr11}_{%evaly}^2 !hhelp=@sqrt(@sum(hhelp2)) !w2=!hhelp/e_h1_{%ind2}2_r{%dats}_mr{!mr11}_{%evaly}.@obs smpl {%sta}+@floor(!wind/2)+!ix {%sta}+@floor(!wind/2)+!ix rec_t1=!v1_t rec_t2=!v2_t rec_w1=!w1/!war1 rec_w2=!w2/!war2 next smpl @all genr tcritp=2.33'626'for delta=0.4 series zero=0 series one=1 delete(noerr) gr_test gr_cc group gr_test rec_t1 rec_t2 tcritp zero group gr_cc rec_w1 rec_w2 one smpl {%sta}+@floor(!wind/2) {%sta}+@floor(!wind/2)+!obsi-!wind-1 freeze(graph_fluc_{%dats}_{%evaly}_i{!ixx}) gr_test.line freeze(graph_roll_{%dats}_{%evaly}_i{!ixx}) gr_cc.line if %dats="final" then graph_fluc_{%dats}_{%evaly}_i{!ixx}.addtext(t,font=14) "Final" graph_roll_{%dats}_{%evaly}_i{!ixx}.addtext(t,font=14) "Final" endif if %dats="real" then graph_fluc_{%dats}_{%evaly}_i{!ixx}.addtext(t,font=14) "Real-time" graph_roll_{%dats}_{%evaly}_i{!ixx}.addtext(t,font=14) "Real-time" endif graph_fluc_{%dats}_{%evaly}_i{!ixx}.options linepat -color graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(1) linecolor(@rgb(0,0,0)) linewidth(1.5) symbol(STAR) graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(2) linepattern(SOLID) linecolor(@rgb(206,206,206)) linewidth(1.5) symbol(FILLEDSQUARE) graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(3) linecolor(@rgb(255,0,0)) linewidth(1.5) graph_roll_{%dats}_{%evaly}_i{!ixx}.options linepat -color graph_roll_{%dats}_{%evaly}_i{!ixx}.setelem(1) linecolor(@rgb(0,0,0)) linewidth(1.5) symbol(STAR) graph_roll_{%dats}_{%evaly}_i{!ixx}.setelem(2) linepattern(SOLID) linecolor(@rgb(206,206,206)) linewidth(1.5) symbol(FILLEDSQUARE) if %ind1="ord" then graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(1) legend("New orders") graph_roll_{%dats}_{%evaly}_i{!ixx}.setelem(1) legend("New orders") endif if %ind1="ip" then graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(1) legend("IP") graph_roll_{%dats}_{%evaly}_i{!ixx}.setelem(1) legend("IP") endif if %ind2="ifoc" then graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(2) legend("ifo climate") graph_roll_{%dats}_{%evaly}_i{!ixx}.setelem(2) legend("ifo climate") endif if %ind2="ifol" then graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(2) legend("ifo situation") graph_roll_{%dats}_{%evaly}_i{!ixx}.setelem(2) legend("ifo situation") endif graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(3) legend("Critical value") graph_fluc_{%dats}_{%evaly}_i{!ixx}.setelem(4) legend() graph_fluc_{%dats}_{%evaly}_i{!ixx}.axis(l) range(-2,3) graph_fluc_{%dats}_{%evaly}_i{!ixx}.legend position(2.5,2.2) graph_roll_{%dats}_{%evaly}_i{!ixx}.setelem(3) legend() next graph_fluc_final_{%evaly}_i{!ixx}.legend -display graph_roll_final_{%evaly}_i{!ixx}.legend -display delete(noerr) gra_fluc_merg_{%evaly}_i{!ixx} gra_roll_merg_{%evaly}_i{!ixx} graph gra_fluc_merg_{%evaly}_i{!ixx}.merge graph_fluc_real_{%evaly}_i{!ixx} graph_fluc_final_{%evaly}_i{!ixx} graph gra_roll_merg_{%evaly}_i{!ixx}.merge graph_roll_real_{%evaly}_i{!ixx} graph_roll_final_{%evaly}_i{!ixx} gra_fluc_merg_{%evaly}_i{!ixx}.align(2,1,0) gra_roll_merg_{%evaly}_i{!ixx}.align(2,1,0) gra_roll_merg_{%evaly}_i{!ixx}.axis(l) range(0.3,1.4) gra_fluc_merg_{%evaly}_i{!ixx}.save(t=eps, -c) {%setpath}\gra_fluc_merg_{%evaly}_i{!ixx} gra_roll_merg_{%evaly}_i{!ixx}.save(t=eps, -c) {%setpath}\gra_roll_merg_{%evaly}_i{!ixx} next 'data next 'l or f