dynare/matlab/ols/pooled_fgls.m

function pooled_fgls(ds, param_common, param_regex)
% function pooled_fgls(ds, param_common, param_regex)
% Run Pooled FGLS
% Apply parameter values found to corresponding parameter values in the
% other blocks of the model
%
% INPUTS
%   ds            [dseries]      data to use in estimation
%   param_common  [cellstr]      List of values to insert into param_regex,
%                                e.g. country codes {'FR', 'DE', 'IT'}
%   param_regex   [cellstr]      Where '*' should be replaced by the first
%                                value in param_common
%
% OUTPUTS
%   none
%
% SPECIAL REQUIREMENTS
%   dynare must be run with the option: json=parse

% Copyright (C) 2017 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.

global M_ oo_

pooled_ols(ds, param_common, param_regex, true, 'pooled_fgls');

neq = length(fieldnames(oo_.pooled_fgls.resid));
nobs = length(oo_.pooled_fgls.sample_range);
for i = 1:neq
    ui = oo_.pooled_fgls.resid.(oo_.pooled_fgls.residnames{i});
    for j = i:neq
        uj = oo_.pooled_fgls.resid.(oo_.pooled_fgls.residnames{j});
        M_.Sigma_e(i, j) = (ui'*uj)/nobs;
        M_.Sigma_e(j, i) = M_.Sigma_e(i, j);
    end
end

kLeye = kron(chol(inv(M_.Sigma_e)), eye(nobs));
[q, r] = qr(kLeye*oo_.pooled_fgls.X, 0);
oo_.pooled_fgls.beta = r\(q'*kLeye*oo_.pooled_fgls.Y);

param_names_trim = cellstr(M_.param_names);
regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
pbeta = oo_.pooled_fgls.pbeta;
assigned_idxs = false(size(pbeta));
for i = 1:length(param_regex)
    beta_idx = strcmp(pbeta, strrep(param_regex{i}, '*', oo_.pooled_fgls.country_name));
    assigned_idxs = assigned_idxs | beta_idx;
    value = oo_.pooled_fgls.beta(beta_idx);
    assert(~isempty(value));
    M_.params(~cellfun(@isempty, regexp(param_names_trim, ...
        strrep(param_regex{i}, '*', regexcountries)))) = value;
end
idxs = find(assigned_idxs == 0);
values = oo_.pooled_fgls.beta(idxs);
names = pbeta(idxs);
assert(length(values) == length(names));
for i = 1:length(idxs)
    M_.params(strcmp(param_names_trim, names{i})) = values(i);
end

oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'X');
oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'Y');
oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'varcovar');
oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'residnames');
oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'pbeta');
oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'country_name');

end