2017-11-15 12:36:12 +01:00
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function pooled_ols(ds, param_common, param_regex, overlapping_dates, save_structure_name)
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2017-11-17 11:01:03 +01:00
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% function pooled_ols(ds, param_common, param_regex, overlapping_dates, save_structure_name)
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2017-10-23 15:55:01 +02:00
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% Run Pooled OLS
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% Apply parameter values found to corresponding parameter values in the
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% other blocks of the model
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%
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% INPUTS
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2017-11-15 12:36:12 +01:00
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% ds [dseries] data to use in estimation
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% param_common [cellstr] List of values to insert into param_regex,
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% e.g. country codes {'FR', 'DE', 'IT'}
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% param_regex [cellstr] Where '*' should be replaced by the first
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% value in param_common
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% overlapping_dates [bool] if the dates across the equations should
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% overlap
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% save_structure_name [string] Name of structure in oo_ to save results in
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% (pooled_ols by default)
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2017-10-23 15:55:01 +02:00
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% dynare must be run with the option: json=parse
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% Copyright (C) 2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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global M_ oo_
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2017-10-27 12:20:16 +02:00
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% Check input arguments
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2017-11-02 12:34:11 +01:00
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assert(~isempty(ds) && isdseries(ds), 'The first argument must be a dseries');
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2017-11-15 12:36:12 +01:00
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2017-11-02 12:36:00 +01:00
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if isempty(param_common) && isempty(param_regex)
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disp('Performing OLS instead of Pooled OLS...')
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dyn_ols(ds);
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return;
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end
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2017-11-02 12:34:11 +01:00
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assert(~isempty(param_common) && iscellstr(param_common), 'The second argument must be a cellstr');
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assert(~isempty(param_regex) && iscellstr(param_regex), 'The third argument must be a cellstr');
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2017-10-27 12:20:16 +02:00
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2017-11-15 12:36:12 +01:00
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if nargin < 4
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overlapping_dates = false;
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else
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assert(islogical(overlapping_dates) && length(overlapping_dates) == 1, 'The fourth argument must be a bool');
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end
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if nargin < 5
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save_structure_name = 'pooled_ols';
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else
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assert(ischar(save_structure_name), 'The fifth argument must be a string');
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end
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%% Read JSON
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2017-11-02 14:15:58 +01:00
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jsonfile = [M_.fname '_original.json'];
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2017-10-23 15:55:01 +02:00
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if exist(jsonfile, 'file') ~= 2
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error('Could not find %s! Please use the json=parse option (See the Dynare invocation section in the reference manual).', jsonfile);
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end
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jsonmodel = loadjson(jsonfile);
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jsonmodel = jsonmodel.model;
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[lhs, rhs, lineno] = getEquationsByTags(jsonmodel);
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%% Replace parameter names in equations
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country_name = param_common{1};
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regexcountries = ['(' strjoin(param_common(2:end),'|') ')'];
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for i = 1:length(param_regex)
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splitp = strsplit(param_regex{i}, '*');
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assert(length(splitp) >= 2);
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rhs = regexprep(rhs, ...
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strjoin(splitp, regexcountries), ...
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strjoin(splitp, country_name));
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end
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%% Find parameters and variable names in every equation & Setup estimation matrices
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2017-11-14 15:52:09 +01:00
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M_exo_names_trim = cellstr(M_.exo_names);
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M_endo_exo_names_trim = [cellstr(M_.endo_names); M_exo_names_trim];
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2017-11-17 11:11:44 +01:00
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M_param_names_trim = cellstr(M_.param_names);
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2017-11-02 14:15:58 +01:00
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regex = strjoin(M_endo_exo_names_trim(:,1), '|');
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mathops = '[\+\*\^\-\/]';
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2017-10-23 15:55:01 +02:00
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params = cell(length(rhs),1);
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vars = cell(length(rhs),1);
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pbeta = {};
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Y = [];
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X = [];
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2017-11-07 14:58:11 +01:00
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startidxs = zeros(length(lhs), 1);
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2017-11-15 12:36:12 +01:00
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startdates = cell(length(lhs), 1);
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enddates = cell(length(lhs), 1);
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2017-11-07 14:58:11 +01:00
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residnames = cell(length(lhs), 1);
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2017-10-23 15:55:01 +02:00
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for i = 1:length(lhs)
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rhs_ = strsplit(rhs{i}, {'+','-','*','/','^','log(','ln(','log10(','exp(','(',')','diff('});
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rhs_(cellfun(@(x) all(isstrprop(x, 'digit')), rhs_)) = [];
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2017-11-17 11:11:44 +01:00
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vnames = setdiff(rhs_, M_param_names_trim);
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2017-10-26 11:48:31 +02:00
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if ~isempty(regexp(rhs{i}, ...
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['(' strjoin(vnames, '\\(\\d+\\)|') '\\(\\d+\\))'], ...
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'once'))
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2017-10-26 11:57:39 +02:00
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error(['pooled_ols: you cannot have leads in equation on line ' ...
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2017-10-23 15:55:01 +02:00
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lineno{i} ': ' lhs{i} ' = ' rhs{i}]);
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end
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2017-10-27 11:55:44 +02:00
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% Find parameters and associated variables
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2017-11-17 11:11:44 +01:00
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pnames = intersect(rhs_, M_param_names_trim);
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2017-10-27 11:42:30 +02:00
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pidxs = zeros(length(pnames), 1);
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2017-10-27 11:55:44 +02:00
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vnames = cell(1, length(pnames));
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2017-12-05 17:44:23 +01:00
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splitstrings = cell(length(pnames), 1);
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2017-10-27 11:55:44 +02:00
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xjdata = dseries;
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2017-10-27 11:42:30 +02:00
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for j = 1:length(pnames)
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2017-11-02 14:15:58 +01:00
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createdvar = false;
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idx = find(strcmp(pbeta, pnames{j}));
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2017-10-27 11:42:30 +02:00
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if isempty(idx)
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2017-11-02 14:15:58 +01:00
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pbeta = [pbeta; pnames{j}];
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2017-10-27 11:42:30 +02:00
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pidxs(j) = length(pbeta);
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else
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pidxs(j) = idx;
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2017-10-23 15:55:01 +02:00
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end
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2017-11-02 14:15:58 +01:00
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pregex = [...
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mathops pnames{j} mathops ...
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'|^' pnames{j} mathops ...
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'|' mathops pnames{j} '$' ...
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];
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[startidx, endidx] = regexp(rhs{i}, pregex, 'start', 'end');
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assert(length(startidx) == 1);
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2017-12-07 16:49:11 +01:00
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if rhs{i}(startidx) == '*' && rhs{i}(endidx) == '*'
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vnames{j} = [getStrMoveLeft(rhs{i}(1:startidx-1)) '*' ...
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getStrMoveRight(rhs{i}(endidx+1:end))];
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elseif rhs{i}(startidx) == '*'
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2017-11-02 14:15:58 +01:00
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vnames{j} = getStrMoveLeft(rhs{i}(1:startidx-1));
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2017-12-05 17:44:23 +01:00
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splitstrings{j} = [vnames{j} '*' pnames{j}];
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2017-11-02 14:15:58 +01:00
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elseif rhs{i}(endidx) == '*'
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vnames{j} = getStrMoveRight(rhs{i}(endidx+1:end));
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2017-12-05 17:44:23 +01:00
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splitstrings{j} = [pnames{j} '*' vnames{j}];
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if rhs{i}(startidx) == '-'
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vnames{j} = ['-' vnames{j}];
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splitstrings{j} = ['-' splitstrings{j}];
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end
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2017-11-02 14:15:58 +01:00
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elseif rhs{i}(startidx) == '+' ...
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|| rhs{i}(startidx) == '-' ...
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|| rhs{i}(endidx) == '+' ...
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|| rhs{i}(endidx) == '-'
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% intercept
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createdvar = true;
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if any(strcmp(M_endo_exo_names_trim, 'intercept'))
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[~, vnames{j}] = fileparts(tempname);
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vnames{j} = ['intercept_' vnames{j}];
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assert(~any(strcmp(M_endo_exo_names_trim, vnames{j})));
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else
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vnames{j} = 'intercept';
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end
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2017-12-05 17:44:23 +01:00
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splitstrings{j} = vnames{j};
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2017-10-23 15:55:01 +02:00
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else
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error('pooled_ols: Shouldn''t arrive here');
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end
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2017-11-02 14:15:58 +01:00
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if createdvar
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xjdatatmp = dseries(ones(ds.nobs, 1), ds.firstdate, vnames{j});
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else
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xjdatatmp = eval(regexprep(vnames{j}, regex, 'ds.$&'));
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xjdatatmp.rename_(vnames{j});
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end
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2017-10-23 15:55:01 +02:00
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xjdatatmp.rename_(num2str(j));
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xjdata = [xjdata xjdatatmp];
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end
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2017-11-07 14:58:11 +01:00
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2017-12-05 17:44:23 +01:00
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lhssub = getRhsToSubFromLhs(ds, rhs{i}, regex, [splitstrings; pnames]);
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2017-12-11 14:35:55 +01:00
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residnames{i} = setdiff(intersect(rhs_, M_exo_names_trim), ds.name);
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assert(~isempty(residnames{i}), ['No residuals in equation ' num2str(i)]);
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assert(length(residnames{i}) == 1, ['More than one residual in equation ' num2str(i)]);
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2017-11-07 14:58:11 +01:00
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2017-10-23 15:55:01 +02:00
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params{i} = pnames;
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vars{i} = [vnames{:}];
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2017-11-02 14:15:58 +01:00
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ydata = eval(regexprep(lhs{i}, regex, 'ds.$&'));
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2017-12-05 17:44:23 +01:00
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for j = 1:lhssub.vobs
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ydata = ydata - lhssub{j};
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end
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2017-10-23 15:55:01 +02:00
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2017-12-05 17:44:23 +01:00
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if isempty(xjdata)
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% AR(1) case
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fp = ydata.firstobservedperiod;
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lp = ydata.lastobservedperiod;
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startidxs(i) = length(Y) + 1;
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startdates{i} = fp;
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enddates{i} = lp;
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Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
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X(startidxs(i):startidxs(i)+lp-fp, :) = zeros(ydata(fp:lp).nobs, columns(X));
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else
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fp = max(ydata.firstobservedperiod, xjdata.firstobservedperiod);
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lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
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startidxs(i) = length(Y) + 1;
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startdates{i} = fp;
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enddates{i} = lp;
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Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
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X(startidxs(i):startidxs(i)+lp-fp, pidxs) = xjdata(fp:lp).data;
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end
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2017-10-23 15:55:01 +02:00
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end
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2017-11-15 12:36:12 +01:00
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if overlapping_dates
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maxfp = max([startdates{:}]);
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minlp = min([enddates{:}]);
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nobs = minlp - maxfp;
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newY = zeros(nobs*length(lhs), 1);
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newX = zeros(nobs*length(lhs), columns(X));
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newstartidxs = zeros(size(startidxs));
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newstartidxs(1) = 1;
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for i = 1:length(lhs)
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if i == length(lhs)
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yds = dseries(Y(startidxs(i):end), startdates{i});
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xds = dseries(X(startidxs(i):end, :), startdates{i});
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else
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yds = dseries(Y(startidxs(i):startidxs(i+1)-1), startdates{i});
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xds = dseries(X(startidxs(i):startidxs(i+1)-1, :), startdates{i});
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end
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newY(newstartidxs(i):newstartidxs(i) + nobs, 1) = yds(maxfp:minlp).data;
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newX(newstartidxs(i):newstartidxs(i) + nobs, :) = xds(maxfp:minlp, :).data;
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if i ~= length(lhs)
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newstartidxs(i+1) = newstartidxs(i) + nobs + 1;
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end
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end
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Y = newY;
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X = newX;
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startidxs = newstartidxs;
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oo_.(save_structure_name).sample_range = maxfp:minlp;
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oo_.(save_structure_name).residnames = residnames;
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oo_.(save_structure_name).Y = Y;
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oo_.(save_structure_name).X = X;
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oo_.(save_structure_name).pbeta = pbeta;
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oo_.(save_structure_name).country_name = country_name;
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end
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2017-10-23 15:55:01 +02:00
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%% Estimation
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% Estimated Parameters
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[q, r] = qr(X, 0);
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2017-11-15 12:36:12 +01:00
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oo_.(save_structure_name).beta = r\(q'*Y);
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2017-10-23 15:55:01 +02:00
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2017-11-21 15:23:12 +01:00
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st = dbstack(1);
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if strcmp(st(1).name, 'pooled_fgls')
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return
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end
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2017-10-23 15:55:01 +02:00
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% Assign parameter values back to parameters using param_regex & param_common
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regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
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assigned_idxs = false(size(pbeta));
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for i = 1:length(param_regex)
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beta_idx = strcmp(pbeta, strrep(param_regex{i}, '*', country_name));
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assigned_idxs = assigned_idxs | beta_idx;
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2017-11-15 12:36:12 +01:00
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value = oo_.(save_structure_name).beta(beta_idx);
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2017-10-23 15:55:01 +02:00
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assert(~isempty(value));
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2017-11-17 11:11:44 +01:00
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M_.params(~cellfun(@isempty, regexp(M_param_names_trim, ...
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2017-10-23 15:55:01 +02:00
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strrep(param_regex{i}, '*', regexcountries)))) = value;
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end
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idxs = find(assigned_idxs == 0);
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2017-11-15 12:36:12 +01:00
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values = oo_.(save_structure_name).beta(idxs);
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2017-10-23 15:55:01 +02:00
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names = pbeta(idxs);
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assert(length(values) == length(names));
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for i = 1:length(idxs)
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2017-11-17 11:11:44 +01:00
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M_.params(strcmp(M_param_names_trim, names{i})) = values(i);
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2017-10-23 15:55:01 +02:00
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end
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2017-11-07 14:58:11 +01:00
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2017-11-15 12:36:12 +01:00
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residuals = Y - X * oo_.(save_structure_name).beta;
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2017-11-07 14:58:11 +01:00
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for i = 1:length(lhs)
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if i == length(lhs)
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2017-12-11 14:35:55 +01:00
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oo_.(save_structure_name).resid.(residnames{i}{:}) = residuals(startidxs(i):end);
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2017-11-07 14:58:11 +01:00
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|
|
else
|
2017-12-11 14:35:55 +01:00
|
|
|
oo_.(save_structure_name).resid.(residnames{i}{:}) = residuals(startidxs(i):startidxs(i+1)-1);
|
2017-11-07 14:58:11 +01:00
|
|
|
end
|
2017-12-11 14:35:55 +01:00
|
|
|
oo_.(save_structure_name).varcovar.(['eq' num2str(i)]) = oo_.(save_structure_name).resid.(residnames{i}{:})*oo_.(save_structure_name).resid.(residnames{i}{:})';
|
|
|
|
idx = find(strcmp(residnames{i}{:}, M_exo_names_trim));
|
|
|
|
M_.Sigma_e(idx, idx) = var(oo_.(save_structure_name).resid.(residnames{i}{:}));
|
2017-11-07 14:58:11 +01:00
|
|
|
end
|
2017-10-23 15:55:01 +02:00
|
|
|
end
|