Argument Definitions (+ indicates altered content)

DOUBLE PRECISION +FUN, +GRAD(*), +PAR(*) INTEGER IFLAG, +NPAR

Description

Compute the function fun = - L(par(1),...,par(npar)) in terms of minim L is the log-likelihood function concentrated on BETA and SIGW2. It o depends on: par(1) = 0.5*dlog((1+rho1)/(1-rho1)) <=> rho1 = dtanh(par(1)) par(2) = 0.5*dlog((1+rho2)/(1-rho2)) <=> rho2 = dtanh(par(2)) par(3) = dlog(pi1/(1-pi1)) <=> pi1 = dexp(par(3))/(1+dexp( par(4) = dlog(pi2/(1-pi2)) <=> pi2 = dexp(par(4))/(1+dexp( where par(1),...,par(4) are unconstrained parameters used in DFP mini routine which calls this routine: -infinity < par(1) < +infinity -infinity < par(2) < +infinity -infinity < par(3) < +infinity -infinity < par(4) < +infinity and rho1, rho2, pi1 and pi2 are constrained autocorrelation parameter in this routine: -1 < rho1 < +1 -1 < rho2 < +1 0 < pi1 < +1 0 < pi2 < +1. The next two groups of par(.) are associated with the DELTA-parameter the LAMBDA(Z)-parameters in the heteroskedasticity function f(Z). The last two groups of par(.) are associated with LAMBDA(Y)-parameter the LAMBDA(X)-parameters for the dependent (Y) and independent (X) va respectively in the regression equation. NOTE: RHO1 and RHO2 are always estimated, whereas the remaining parameter PI2 , DELTA's, LAMBDA(Z)'s, LAMBDA(Y) and the LAMBDA(X)'s can be fi estimated.

Source file:	fcn.f

I/O Operations:

Unit ID Unit No Access Form Operation * SEQ FMTD RW 1 SEQ FMTD ORW 1 C Operation codes A=rewind,B=backspace,C=close,E=endfile I=inquire,O=open,R=read,W=write

Intrinsic Functions Called

DOUBLE PRECISION DABS, DEXP, DLOG, DLOG10 DOUBLE PRECISION DMAX1, DSQRT, DTANH INTEGER IDINT GENERIC SQRT SUBROUTINE LOC

External Functions and Subroutines Called

DOUBLE PRECISION DERZL, TRACE, ZLAM SUBROUTINE ARRAY, CORREL, DIFFIR, EXPELAST SUBROUTINE GMPRD, GMSUB, GTPRD, LOC SUBROUTINE MATA, MCPY, MINV, MPRD SUBROUTINE PMATRIX, SHMINV, SINV, SMPELAST SUBROUTINE SMPY, STORMAT, VARDEC

Parameter Variables Used

INTEGER N (N = 600) INTEGER NXZ (NXZ = 100) INTEGER NX (NX = 30) INTEGER NLX (NLX = 10) INTEGER NZ (NZ = 10) INTEGER NLZ (NLZ = 10) INTEGER NXX (NXX = (NX*(NX+1))/2) INTEGER NORD (NORD = 2) INTEGER NP (NP = 2*NORD+NZ+NLZ+1+NLX) INTEGER NPALL (NPALL = NX+1+NP) INTEGER NCOP (NCOP = (NPALL*(NPALL+1))/2) INTEGER NPCON (NPCON = NPALL-NLZ-1-NLX) INTEGER NCOND (NCOND = (NPCON*(NPCON+1))/2)

Local Variables (+ indicates altered content)

CHARACTER*30 MATFILE(2) CHARACTER*8 +MATNAME(2) CHARACTER*10 +NAMX(NX), +NAMXZ(NXZ), +NAMY CHARACTER*10 +NAMZ(NZ) CHARACTER*2 +NTYPELX CHARACTER*3 +STATUS CHARACTER*14 TABFILE CHARACTER*30 YXZFILE CHARACTER*80 YXZFMT DOUBLE PRECISION BETA(NX), BINV1(N,N), BINV2(N,N) DOUBLE PRECISION +C, +CONDCOV(NCOND), +CONLIK DOUBLE PRECISION +CORYX(NX,2), +CORYZ(NZ,2) DOUBLE PRECISION +COV(NCOP), +CSTPI, +DDZL, +DELTA(NZ) DOUBLE PRECISION +DERLT(NPALL), DERSTAR(N,N) DOUBLE PRECISION +DERV(N), DERW(N), DETP DOUBLE PRECISION DIFFRST(N,N), DWMAT(N,NP) DOUBLE PRECISION +EPSINV, +EXPAR, EXPDERX(NX) DOUBLE PRECISION EXPDERZ(NZ), EXPELAX(NX) DOUBLE PRECISION EXPELAZ(NZ), EXPY(N), EYMEAN DOUBLE PRECISION +FLIK, +FLIKB0, GRADBETA(NX) DOUBLE PRECISION +GRADDELTA(NZ), +GRADLAMX(NLX) DOUBLE PRECISION +GRADLAMY, +GRADLAMZ(NLZ) DOUBLE PRECISION +GRADPI(NORD), +GRADRHO(NORD) DOUBLE PRECISION +GRSIGW2, OLDINV(N,N), +ONESIGW2 DOUBLE PRECISION +P(N,N), +PI(NORD), PINV(N,N), PLIM DOUBLE PRECISION +PX(N,NX), PY(N), +PYMEAN, +PZ(N,NZ+1) DOUBLE PRECISION +R1(N,N), +R2(N,N), R2E, +R2EBAR DOUBLE PRECISION +R2L, +R2LBAR, +RHO(NORD), +RMAXLAM DOUBLE PRECISION +ROWSUM, RSTAR1(N,N), RSTAR2(N,N) DOUBLE PRECISION +SCALX(NX), +SCALY, +SCALZ(NZ), +SIGW2 DOUBLE PRECISION +SIGW2B0, SMPDERX(NX), SMPDERZ(NZ) DOUBLE PRECISION SMPELAX(NX), SMPELAZ(NZ) DOUBLE PRECISION +SQRTFZ(N), +STDCOND, +STDERR, +STU1COND DOUBLE PRECISION +STUCOND, +STUD1, +STUDENT, +SUM DOUBLE PRECISION +SUMDDZL, +SUMLNFZ, +SUMLNY, +SUMZBOX DOUBLE PRECISION +TRACEPI(NORD), +TRACERHO(NORD) DOUBLE PRECISION +U(N), V(N), +VLX(NLX), +VLY DOUBLE PRECISION +VLZ(NLZ), +VMAX, W(N), WDERW DOUBLE PRECISION WP(N), +WS, +X(N,NX), XBETA(N) DOUBLE PRECISION +XBFZ(N,NX), +XBOX(N,NX) DOUBLE PRECISION +XMAX(NX), +XMEAN(NX), +XMIN(NX), XPPX(NXX) DOUBLE PRECISION XPPY(NX), +XTCONST(N), +XTMEAN(NX) DOUBLE PRECISION +XZ(NXZ), +Y(N), +YBFZ(N), +YBOX(N) DOUBLE PRECISION +YMAX, +YMEAN, +YMIN, +Z(N,NZ) DOUBLE PRECISION +ZBOX(N,NZ), +ZMAX(NZ), +ZMEAN(NZ) DOUBLE PRECISION +ZMIN(NZ), +ZTMEAN(NZ+1) INTEGER +I, IER, +IK, +ILAMX INTEGER +IR, +J, +JPAR, +K INTEGER KM, +KPAR, LW(N), +M INTEGER MW(N), +NB, +NB1, +NBB INTEGER NC, NCOR, +NESTDELTA, +NESTLAMX INTEGER +NESTLAMZ, NEXPY, +NFIXDELTA, +NFIXLAMX INTEGER +NFIXLAMZ, +NGROUP, NLAMX, NLAMY INTEGER NLAMZ, NOBS, NORDER, +NP1 INTEGER +NP2, +NPP1, NRES, NSCALE INTEGER NTDEL(NZ), NTLX(NLX), +NTLY, NTLZ(NLZ) INTEGER NTPI(NORD), +NULLX(NX), +NULLY INTEGER +NULLZ(NZ), NUMLX(NX), +NUMLXY, NUMLZ(NZ) INTEGER NUMX(NX), +NUMXEQZ(NZ), NUMZ(NZ) INTEGER NVARIANT, NVAX, NVAXZ, NVAZ INTEGER +NVAZY, NZZ

Referenced Equivalenced Variables (+ indicates altered content)

EQUIV DOUBLE PRECISION DIFFRST() Local Var DOUBLE PRECISION OLDINV() Local Var

Namelists (+ indicates altered content)

AUTOCOR CHARACTER*30 MATFILE(2) AUTOCOR DOUBLE PRECISION +PI(NORD), +RHO(NORD) AUTOCOR INTEGER NTPI(NORD) HETERO DOUBLE PRECISION +DELTA(NZ) HETERO DOUBLE PRECISION +VLZ(NLZ) HETERO INTEGER NTDEL(NZ) HETERO INTEGER NTLZ(NLZ) HETERO INTEGER NUMLZ(NZ) HETERO INTEGER NUMZ(NZ) MODEL INTEGER NCOR, NEXPY MODEL INTEGER NLAMX, NLAMY MODEL INTEGER NLAMZ, NOBS MODEL INTEGER NORDER, NRES MODEL INTEGER NSCALE, NVARIANT MODEL INTEGER NVAX, NVAXZ MODEL INTEGER NVAZ XBOXCOX DOUBLE PRECISION +VLX(NLX) XBOXCOX INTEGER NTLX(NLX) XBOXCOX INTEGER NUMLX(NX) XBOXCOX INTEGER NUMX(NX) YBOXCOX DOUBLE PRECISION +VLY YBOXCOX INTEGER +NTLY, +NUMLXY YXZDATA CHARACTER*30 YXZFILE YXZDATA CHARACTER*80 YXZFMT

Referenced Common Block Variables (+ indicates altered content)

%BLANK INTEGER NOPRINT