/// <summary>
/// Piecewise linear regression
/// </summary>
/// <param name="regResults"></param>
/// <param name="NObs"></param>
/// <param name="Z"></param>
/// <param name="Beta"></param>
/// <param name="NVar"></param>
/// <param name="DepVarMean"></param>
/// <param name="B"></param>
/// <param name="StkSprdPLOut"></param>
/// <param name="CoefLabel"></param>
public void Reg(StreamWriter regResults, int NObs, double[,] Z,
double[] Beta, int NVar, double DepVarMean, double[] B,
StreamWriter StkSprdPLOut, string[] CoefLabel)
{
//
// Find X"X.
//
//Write(9,*) "NObs =", NObs
regResults.WriteLine("NObs = " + NObs);
regResults.WriteLine("X'X Matrix");
for (k = 1; k <= NVar; k++)
{
for (n = 1; n <= NObs; n++) Mean[k] = Mean[k] + Z[n, k];
for (l = 1; l <= NVar; l++)
{
XPrimeX[k, l] = 0;
for (m = 1; m <= NObs; m++)
{
XPrimeX[k, l] = XPrimeX[k, l] + (Z[m, k] * Z[m, l]);
}
if (l < 8) regResults.Write(string.Format("{0,10:#######.00}", XPrimeX[k, l]));
else regResults.WriteLine(string.Format("{0,10:#######.00}", XPrimeX[k, l]));
}
}
for (k = 1; k <= NVar; k++)
Mean[k] = Mean[k] / NObs;
//
for (n = 1; n <= NObs; n++)
DepVarMean = DepVarMean + B[n];
//
DepVarMean = DepVarMean / NObs;
//
// Invert X"X.
//
int Indic = -1; //Flag to invert X"X
Invert invert = new Invert();
double Deter = invert.Matrix(NVar, XPrimeX, Dum, 1e-19, Indic, NVar + 1);
regResults.WriteLine("X'X Inverse");
for (k = 1; k <= NVar; k++)
{
for (int l = 1; l <= NVar - 1; l++) // Use Write for 1st NVar-1 cols.
regResults.Write(string.Format("{0,10:####.00000}", XPrimeX[k, l]));
regResults.WriteLine(string.Format("{0,10:####.00000}", XPrimeX[k, NVar]));
}
//
// Get X"Y.
//
regResults.WriteLine("XPrimeY");
for (k = 1; k <= 8; k++)
{
XPrimeY[k] = 0;
for (l = 1; l <= NObs; l++)
{
XPrimeY[k] = XPrimeY[k] + (Z[l, k] * B[l]);
}
regResults.WriteLine(k + " "
+ string.Format("{0,10:########.00000}", XPrimeY[k]));
}
//
// Last step to compute Betas.
//
regResults.WriteLine("Betas");
for (k = 1; k <= NVar; k++)
{
for (l = 1; l <= NVar; l++)
{
Beta[k] = Beta[k] + (XPrimeX[l, k] * XPrimeY[l]);
}
regResults.WriteLine(k + " "
+ string.Format("{0,10:########.00000}", Beta[k]));
}
//
// Get SER, R2, & t-stats.
//
double SSR = 0;
double YY = 0;
double SumY = 0;
for (i = 1; i <= NObs; i++)
{
YHat[i] = 0;
for (j = 1; j <= NVar; j++) // For all betas.
YHat[i] = YHat[i] + Beta[j] * Z[i, j];
SSR = SSR + (B[i] - YHat[i]) * (B[i] - YHat[i]);
YY = YY + B[i] * B[i];
SumY = SumY + B[i]; // B is not a Beta; it is the dep. var.
}
//
double TotSS = YY - (SumY * SumY) / NObs;
double XSS = TotSS - SSR;
double RSqrd = XSS / TotSS;
//
double SER = Math.Sqrt(SSR / (NObs - NVar));
//
// Write table in new coef. file.
//
DateTime TimeNow = DateTime.Now; // To put run time on output file.
StkSprdPLOut.WriteLine("Coefficients for weekly stock equation estimated on " + TimeNow);
StkSprdPLOut.WriteLine();
StkSprdPLOut.WriteLine(" Est Coef t-Stat Variable Mean");
StkSprdPLOut.WriteLine("--------- ------ ----------------- -------");
for (j = 1; j <= NVar; j++)
{
if (XPrimeX[j, j] <= 0)
{
string msg = XPrimeX[j, j] + " Inv(X'X) element " + " " + j + " is negative.";
Warning.Message(msg, "Terminate", 1);
}
StkSprdPLOut.WriteLine(string.Format("{0,9:###.00000}", Beta[j])
+ string.Format("{0,7:###.000}", Beta[j] / (SER * Math.Sqrt(XPrimeX[j, j])))
+ CoefLabel[j] + string.Format("{0,8:###.0000}", Mean[j]));
//430 Format(f9.5,f7.2,1x,a17,f8.4)
}
//
// Write summary stats below table.
//
StkSprdPLOut.WriteLine("--------- ------ ----------------- -------");
StkSprdPLOut.WriteLine(" R-Squared = " + RSqrd);
StkSprdPLOut.WriteLine(" SER = " + SER);
StkSprdPLOut.WriteLine(" Number of obs = " + NObs);
StkSprdPLOut.WriteLine(" Dep. Var. Mean = " + DepVarMean);
//
return;
}
/// <summary>
/// Piecewise linear regression
/// </summary>
/// <param name="regResults"></param>
/// <param name="NObs"></param>
/// <param name="Z"></param>
/// <param name="Beta"></param>
/// <param name="NVar1"></param>
/// <param name="DepVarMean"></param>
/// <param name="B"></param>
/// <param name="StkSprdPLOut"></param>
/// <param name="CoefLabel"></param>
public void Reg(StreamWriter regResults, int NObs, double[,] Z,
double[] Beta, int NVar, double DepVarMean, double[] B,
StreamWriter StkSprdPLOut, string[] CoefLabel)
{
NVar1 = NVar - 1; // See note above.
//
// Find X'X.
//
regResults.WriteLine("NObs = " + NObs);
regResults.WriteLine("X'X Matrix");
for (k = 1; k <= NVar1; k++)
{
for (n = 1; n <= NObs; n++)
Mean[k] = Mean[k] + Z[n, k]; // Accumulate for means.
for (l = 1; l <= NVar1; l++)
{
XPrimeX[k, l] = 0;
for (m = 1; m <= NObs; m++)
XPrimeX[k, l] = XPrimeX[k, l] + (Z[m, k] * Z[m, l]);
if (l < NVar1)
{
// Switch print masks depending on magnitude of number.
//
if (XPrimeX[k, l] >= 10000000 || XPrimeX[k, l] <= -1000000)
regResults.Write(string.Format("{0,10:#########0}", XPrimeX[k, l]));
else
regResults.Write(string.Format("{0,10:######0.00}", XPrimeX[k, l]));
}
else
if (XPrimeX[k, l] >= 10000000 || XPrimeX[k, l] <= -1000000)
regResults.WriteLine(string.Format("{0,10:#########0}", XPrimeX[k, l]));
else
regResults.WriteLine(string.Format("{0,10:######0.00}", XPrimeX[k, l]));
} // End for l
} // End for k
for (k = 1; k <= NVar1; k++)
Mean[k] = Mean[k] / NObs; // Compute means.
//
for (n = 1; n <= NObs; n++)
{
DepVarMean = DepVarMean + B[n];
//Console.WriteLine(n + " " + B[n] + " " + DepVarMean); // 12-2-14
}
//
DepVarMean = DepVarMean / NObs;
//
// Invert X'X.
//
int Indic = -1; //Flag to invert X'X
Invert invert = new Invert();
double Deter = invert.Matrix(NVar1, XPrimeX, Dum, 1e-19, Indic, NVar1 + 1);
//
// If Dum[0] is 1, Invert encountered a fatal error. Close output files & exit.
//
if (Dum[0] == 1)
{
regResults.Close();
StkSprdPLOut.Close();
Warning.Message("Fatal error in Invert. Closing output files.", "Terminate", 1);
}
regResults.WriteLine("X'X Inverse");
for (k = 1; k <= NVar1; k++)
{
for (int l = 1; l <= NVar1 - 1; l++) // Use Write for 1st NVar1-1 cols.
regResults.Write(string.Format("{0,10:####.00000}", XPrimeX[k, l]));
regResults.WriteLine(string.Format("{0,10:####.00000}", XPrimeX[k, NVar1]));
}
//
// Get X'Y.
//
regResults.WriteLine("XPrimeY");
for (k = 1; k <= NVar1; k++)
{
XPrimeY[k] = 0;
for (l = 1; l <= NObs; l++)
{
XPrimeY[k] = XPrimeY[k] + (Z[l, k] * B[l]);
}
regResults.WriteLine(string.Format("{0,10:#########0}", k)
+ string.Format("{0,10:######.000}", XPrimeY[k]));
}
//
// Last step to compute Betas.
//
regResults.WriteLine("Betas");
for (k = 1; k <= NVar1; k++)
{
for (l = 1; l <= NVar1; l++)
{
Beta[k] = Beta[k] + (XPrimeX[l, k] * XPrimeY[l]);
}
regResults.WriteLine(string.Format("{0,10:#########0}", k)
+ string.Format("{0,10:#####.0000}", Beta[k]));
}
//
// Get SER, R2, & t-stats.
//
double SSR = 0;
double YY = 0;
double SumY = 0;
for (i = 1; i <= NObs; i++)
{
YHat[i] = 0;
for (j = 1; j <= NVar1; j++) // For all betas.
YHat[i] = YHat[i] + Beta[j] * Z[i, j];
SSR = SSR + (B[i] - YHat[i]) * (B[i] - YHat[i]);
YY = YY + B[i] * B[i];
SumY = SumY + B[i]; // B is not a Beta; it is the dep. var.
}
//
double TotSS = YY - (SumY * SumY) / NObs;
double XSS = TotSS - SSR;
double RSqrd = XSS / TotSS;
//
double SER = Math.Sqrt(SSR / (NObs - NVar1));
//
// Write table in new coef. file.
//
DateTime TimeNow = DateTime.Now; // To put run time on output file.
StkSprdPLOut.WriteLine("Coefficients for weekly stock equation estimated on " + TimeNow);
StkSprdPLOut.WriteLine();
StkSprdPLOut.WriteLine(" Est Coef t-Stat Variable Mean");
StkSprdPLOut.WriteLine(" --------- ------ -------------- -------");
for (j = 1; j <= NVar1; j++)
{
if (XPrimeX[j, j] <= 0)
{
string msg = XPrimeX[j, j] + " Inv(X'X) element " + " " + j + " is <= 0.";
regResults.Close();
Warning.Message(msg, "Terminate", 1);
}
double tStat = Beta[j] / (SER * Math.Sqrt(XPrimeX[j, j]));
StkSprdPLOut.WriteLine(" " + string.Format("{0,9:##0.00000}", Beta[j])
+ string.Format("{0,7:##0.000}", tStat) + " "
+ CoefLabel[j] + "\t" + string.Format("{0,8:##0.0000}", Mean[j]));
}
//
// To remind us that MAHDD is not in the reg., but still available, give it a zero
// coef & show it on the last line.
//
StkSprdPLOut.WriteLine(" " + string.Format("{0,9:##0.00000}", 0)
+ string.Format("{0,7:##0.000}", 0) + " "
+ CoefLabel[j] + "\t" + string.Format("{0,8:##0.0000}", 0));
//
// Write summary stats below table.
//
StkSprdPLOut.WriteLine(" --------- ------ --------------- -------");
StkSprdPLOut.WriteLine(string.Format("{0,7:#0.0000}", RSqrd) + " = R-Squared");
StkSprdPLOut.WriteLine(string.Format("{0,7:#0.0000}", SER) + " = SER");
StkSprdPLOut.WriteLine(string.Format("{0,7:######0}", NObs) + " = Number of obs");
StkSprdPLOut.WriteLine(string.Format("{0,7:###0.00}", DepVarMean) + " = Dep. Var. Mean");
StkSprdPLOut.WriteLine();
}