Download User's Manual

easily undo any changes they have made by reloading the defaults file.
18.
By default, settings files are saved with local path information to locate
data and listings files, which may make them unsuitable for transfer from
one installation to another. Use the "Export" option in File / Settings /
Save As... to omit this local information. The search path for all files
will then be set to the "Start-in" directory when the settings file is loaded.
For example, a class exercise with preset model specifications and data
could be distributed by bundling all the relevant files for distribution
(e.g. in a zip file) and arranging for them to be extracted to the Start-in
directory of each target TSM installation.
19.
To over-ride the default behaviour of setting the run ID number to zero in a
new settings file, add the line
RUN_ID = ***;
to your text file of settings, before reloading them as described in Appendix
E, where *** is your current ID value.
DOING SIMULATIONS
20.
A star feature of the program is the ability to stochastically simulate any
model that it can estimate, using either randomly resampled residuals or
computer-generated shocks. The simulation module is the basis for
nonlinear forecasting, bootstrap testing, and Monte Carlo experiments.
To gain insight into the properties of an estimator, it is always a helpful
exercise to apply it to artificial data from a known model.
21.
To create an artificial sample, do the following
1)
Clear the data (File / Data / Clear).
2)
Set a sample size. In Setup / Data Transformation and Editing,
choose Edit, scroll down to 'Re-Size Sample', enter a value, and
press 'Go'. A variable called Zeros with the specified number of
observations is automatically created.
3)
Open Options / Simulation and Resampling, and choose a shock
distribution, either Gaussian or Model. In the first case, also set
the shock variance. In the second case, a likelihood function
must be specified in Model / Dynamic Equation.
4)
Set the model specifications in the usual way, selecting Zeros as the
dependent variable. Pre-sample values are used to start a dynamic
simulation and, if desired, these can be inserted in Zeros in Setup /
Data Transformation and Editing.
5)
Enter parameter values in the relevant Values dialogs. (Don't forget
variance parameters in the case of 'Model' shocks.)
6)
Open the Model Manager and save your specifications under a
suitable name.
7)
Select Actions / Simulate Current Model, and add the artificial data
to the data set if desired.
8)
Alternatively, use your model to set up a Monte Carlo experiment.
Note how a different model can be used to estimate from the
simulated data, to permit misspecification analysis.
22.
Whilst the simulation code has been carefully checked, there are so many
139
© James Davidson 2008