The Fair-Parke Program |
The Fair-Parke (FP) program is a DOS-based, command-line program. It
allows one
to estimate and analyze dynamic, nonlinear, simultaneous equations
models. The models can
be rational expectations models, and they can have autoregressive errors
of any order. The
estimation techniques include OLS, 2SLS, 3SLS, FIML, LAD, 2SLAD, and some
versions of
Hansen's method of moments estimator.
The Parke algorithm is used for 3SLS and FIML estimation.
Stochastic simulation
and bootstrapping are two of the
key options
available to analyze models. There are also a number of single equation
testing options. For stochastic simulation the draws can be either from
estimated distributions or from estimated residuals.
The options for analyzing models include 1) running forecasts, within sample and outside sample, 2) calculating root mean squared errors and mean absolute errors, 3) calculating multipliers, 4) solving optimal control problems, 5) estimating standard errors of forecasts by means of stochastic simulation, 6) estimating standard errors of multipliers by means of stochastic simulation, and 7) estimating the degree of misspecification of a model by means of successive reestimation and stochastic simulation. Also, general nonlinear functions of coefficients can be maximized using the program, which means that maximum likelihood estimates of the coefficients of any model can be obtained after one has written out the likelihood function. One can move automatically from estimation to solution without any additional work. Rational expectations models are solved using the extended path method of Fair and Taylor. These models can be estimated using Hansen's method or FIML. For forecasting purposes, the stochastic-simulation option of the FP program can be used to generate interval forecasts, which provide much more information to a business planner or policy maker than simple point forecasts. Also, the interval forecasts are rigorously computed from the model's stochastic properties; they are not just some model builder's opinion. The FP program can be downloaded in either FORTRAN code to be compiled on the user's machine or in an executable form for PCs. The FORTRAN code is not machine specific, and this allows the program to be compiled on a variety of systems. The FP User's Guide can also be downloaded. The FP User's Guide is available in pdf format: fp.pdf. The executable file, FP.EXE, is in the zipped file: fp.zip. The FORTRAN code is in the zipped file: fpcod.zip. When you unzip this file, you get FP.FOR, which is FORTRAN 77 code that can be compiled. You need not download this file if you are going to use FP.EXE above. The test files are in the zipped file: fpeg.zip. Appendix C of the FP User's Guide explains how to run the examples. You should also read the Preface of the User's Guide carefully before starting to use the program. The FP program requires some work to learn, but once you have made the investment, you can do many advanced things quickly. The best way to learn the program is to work through the examples, including those in the User's Guide. The main references for the program are Fair (1984), Fair (1994), and Fair (2004). Each technique in the FP program is discussed in at least one of these three books. |
The US Model in the FP Program: January 30, 2014 |
The US model is available in Fair-Parke format. You can thus use all
the
procedures in the program on the model. It is also easy to change the
model within the
program (including adding more equations or extending the forecast
horizon), estimate, and
then solve the new version. Both EViews and FP provide these options,
although the FP
program has many more advanced features and some find is easier to use
for large models
once you have made the investment in learning it.
The US model datasets for the FP program are in the zipped file fmfp.zip. The US model datasets are updated quarterly. To run the US model in the FP program, first unzip fmfp.zip. This yields the files FMINPUT.DAT, FMDATA.DAT, FMAGE.DAT, FMEXOG.DAT, and FM.OUT. Then type FP > OUT and hit the enter key. Then wait a couple of seconds and type INPUT FILE=FMINPUT.DAT; and hit the enter key. (Don't forget the semicolon.) This will run all the commands in FMINPUT.DAT and store the output in file OUT. When the job is done, compare OUT to FM.OUT. The output in these two files should be the same aside from rounding error. The commands in FMINPUT.DAT set up, estimate, and solve the US model. You should study the comments in FMINPUT.DAT to make sure you understand what the program is doing. You are then ready for your own analysis using the model. |