*
* Example 5.2 page 223
*
open data ch05_ibm_ads.dat
data(format=free,org=columns) 1 59775 a d s
open data ch05_ibm_adsx.dat
data(format=free,org=columns) 1 59775 vlag tlag bidask alag dlag slag
*
nonlin b0 b1 g0 g1 tu0 tu1 td0 td1
*
frml decomp = (pix=b0+b1*alag),(ppx=1.0/(1+exp(-pix))),$
              (dix=g0+g1*dlag),(pdx=1.0/(1+exp(-dix))),$
              (luix=tu0+tu1*slag),(lux=1.0/(1+exp(-luix))),$
              (ldix=td0+td1*slag),(ldx=1.0/(1+exp(-ldix))),$
              %if(a==0,log(1-ppx),$
                 %if(d==1,log(ppx)+log(pdx)  +log(lux)+(s-1)*log(1-lux),$
                          log(ppx)+log(1-pdx)+log(ldx)+(s-1)*log(1-ldx)))
*
maximize decomp
*
* Compute probabilities of price changes
*
disp "P(A=1|A was 0)=" #.### 1.0/(1+exp(-b0))
disp "P(A=1|A was 1)=" #.### 1.0/(1+exp(-b0-b1))
*
* Compute probabilities of direction of price change, given that a price change
* is occurring.
*
disp "P(D=1|A was 0)=" #.### 1.0/(1+exp(-g0))
disp "P(D=1|D was 1)=" #.### 1.0/(1+exp(-g0-g1))
disp "P(D=1|D was -1)=" #.### 1.0/(1+exp(-g0+g1))
*
* Compute probabilities of the size of price increases
*
compute pg=1.0/(1+exp(-tu0-tu1*1))
disp "Probability(S=1|S was 1,D is 1)" #.### pg
compute pg=1.0/(1+exp(-tu0-tu1*2))
disp "Probability(S=1|S was 2,D is 1)" #.### pg
compute pg=1.0/(1+exp(-tu0-tu1*3))