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附上完整程序檔：(gss裡面是Gauss檔、rts裡為RATS檔)
g7_ddisk_v6.zip
(5.23 MB)
以下具題提出疑問：
第一個：在下面貼出來的這子程序"rwkfilt.prc"的錯誤代碼是
Line 33 in C:\Users\shyngc1987\Documents\paper_resources\code_stock and watson, 2003\g7\gss\rwkfilt.prc
Syntax error G0008 : 'endp'
根據小妹查到的錯誤代碼指示G0008要馬少了符號要馬寫錯了，但都不像阿、endp不是一個很普通的關閉的指令嗎?
@ rwkfilt.prc, 4/6/96, mww
This is the kalman Filter for the model:
y(t) = b(t) + e(t) (Scalar)
b(t) = b(t-1) + a(t) (Scalar)
where var(e)=r and var(a)=q;
Input: y(t)
b1 = b(t-1/t-1)
p1 = p(t-1/t-1)
r
q
output: b1 = b(t/t)
p1 = p(t/t)
n = y(t)-y(t/t-1)
h = var(n)
@
proc(6) = rwkfilt(y,b1,p1,r,q);
local b2, p2, k, h, n;
b2=b1;
p2=p1+q;
n=y-b2;
h=p2+r;
k=p2/h;
b1=b2+k*n;
p1=p2-k*p2;
retp(b1,p1,b2,p2,n,h);
endp;
第二個：
在這poist.prc子程序裡的錯誤代碼是
Line 1 in C:\Users\shyngc1987\Documents\paper_resources\code_stock and watson, 2003\g7\gss\poist.prc
Nested procedure definition G0155
查了一下錯誤代碼說是第一行的定義pro的地方出錯了，看了手冊還是看不出這一行只是定義到底哪裡出錯了= =" 唯一能懷疑的大概只有proc(*) 中間這個*到底是甚麼意思、該令為多少，懇請高手替小妹解答!!
proc(1) = poist(y,tau,imean,itst);
/* -- poist.prc, mww, 5/29/96 (revised)
Calculate POI test statistic for stochastic trend model:
H0: SD(a) = 0
vs.
HA: SD(a) = tau
y(t) = b(t) + e(t)
b(t-1) = b(t-1) + a(t)
the value of b(0) is an unknown nuissance parameter
the SD of e(t) is 1
imean = 0 => Construct Exact GLS Estimate
= 1 Construct Asymptotic Approximation
itst = 0 => Construct Exact POI Statistic (given estimate of mean)
= 1 Construct Asymptotic Approximation
*/
local e0, ss0, vague, b1, p1, r, q, t, balt, n, h, nt, ht, e1, ss1;
local b2,p2, b1t, b2t, p1t, p2t, b3, p3, g;
local theta, s, hs, ee, yf, poitst;
theta=1-tau; @ Approximate MA(1) Coefficient for FD of y @
g=tau*rows(y); @ Local to unity parameter @
@ -- Residuals under the null -- @
e0=y-meanc(y);
ss0=e0'e0;
@ -- Estimate of b(0) under alternative -- @
if imean .== 0;
vague=1.0E+8; @ -- Vague Prior -- @
b1=0;
p1=vague;
r=1;
q=tau.^2;
b1t=zeros(rows(y),1);
b2t=zeros(rows(y),1);
p1t=zeros(rows(y),1);
p2t=zeros(rows(y),1);
t=1; do while t <= rows(y);
b1t[t]=b1; p1t[t]=p1;
{b1,p1,b2,p2,n,h}=rwkfilt(y[t],b1,p1,r,q);
b2t[t]=b2; p2t[t]=p2;
t=t+1; endo;
b3=b1; p3=p1;
t=rows(y); do while t >= 1;
b2=b2t[t];
p2=p2t[t];
b1=b1t[t];
p1=p1t[t];
{b3,p3}=rwksmth(b1,b2,b3,p1,p2,p3);
t=t-1; endo;
balt=b3;
endif;
if imean .== 1;
s=seqa(1,1,rows(y))/rows(y);
hs=exp(-g*s) + exp(-g*(2*ones(rows(y),1)-s));
hs=hs*g/(rows(y)*(1-exp(-2*g)));
balt=hs'y;
endif;
if itst .== 0;
r=1;
q=tau.^2;
@ -- Find Filtered Residuals under alternative -- @
nt=zeros(rows(y),1);
ht=zeros(rows(y),1);
b1=balt;
p1=0;
t=1; do while t <= rows(y);
{b1,p1,b2,p2,n,h}=rwkfilt(y[t],b1,p1,r,q);
nt[t]=n;
ht[t]=h;
t=t+1; endo;
e1=nt./sqrt(ht);
endif;
if itst .== 1;
y=y-balt;
ee=0;
yf=recserar(y,ee,theta);
yf=0|yf[1:rows(y)-1];
yf=g*yf/rows(y);
e1=y-yf;
e1=e1*sqrt(1-tau); @ This improves small sample approximation @
endif;
ss1=e1'e1;
poitst=rows(y)*(1-(ss1/ss0));
retp(poitst);
endp;
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