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pooled_fgls: fix and update

time-shift
Houtan Bastani 2019-01-14 16:42:57 +01:00
parent e4dc7c403e
commit 3247b1aa02
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2 changed files with 29 additions and 28 deletions
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21
matlab/ols/pooled_fgls.m
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@ -17,7 +17,7 @@ function pooled_fgls(ds, param_common, param_regex, eqtags)
% SPECIAL REQUIREMENTS
% dynare must be run with the option: json=parse
% Copyright (C) 2017-2018 Dynare Team
% Copyright (C) 2017-2019 Dynare Team
%
% This file is part of Dynare.
%
@ -36,19 +36,20 @@ function pooled_fgls(ds, param_common, param_regex, eqtags)
global M_ oo_
%% Check input arguments
if nargin < 4
eqtags ={};
pooled_ols(ds, param_common, param_regex, true);
else
param_regex = pooled_ols(ds, param_common, param_regex, true, eqtags);
eqtags = {};
end
oo_.sur.dof = length(oo_.pooled_fgls.sample_range);
resid = oo_.pooled_fgls.Y - oo_.pooled_fgls.X * oo_.pooled_fgls.beta;
resid = reshape(resid, oo_.sur.dof, length(oo_.pooled_fgls.residnames));
M_.Sigma_e = resid'*resid/oo_.sur.dof;
pooled_ols(ds, param_common, param_regex, true, eqtags);
kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.sur.dof));
oo_.pooled_fgls.dof = size(oo_.pooled_fgls.X,1)/length(oo_.pooled_fgls.residnames);
resid = oo_.pooled_fgls.Y - oo_.pooled_fgls.X * oo_.pooled_fgls.beta;
resid = reshape(resid, oo_.pooled_fgls.dof, length(oo_.pooled_fgls.residnames));
M_.Sigma_e = resid'*resid/oo_.pooled_fgls.dof;
kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.pooled_fgls.dof));
[q, r] = qr(kLeye*oo_.pooled_fgls.X, 0);
oo_.pooled_fgls.beta = r\(q'*kLeye*oo_.pooled_fgls.Y);

36
matlab/ols/pooled_ols.m
View File

@ -1,4 +1,4 @@
function varargout = pooled_ols(ds, param_common, param_regex, overlapping_dates, eqtags)
function pooled_ols(ds, param_common, param_regex, overlapping_dates, eqtags)
% function pooled_ols(ds, param_common, param_regex, overlapping_dates, eqtags)
% Run Pooled OLS
% Apply parameter values found to corresponding parameter values in the
@ -75,14 +75,6 @@ country_name = param_common{1};
regexcountries = ['(' strjoin(param_common(2:end),'|') ')'];
ast = replace_parameters(ast, country_name, regexcountries, param_regex);
%% Handle FGLS
st = dbstack(1);
save_structure_name = 'pooled_ols';
if strcmp(st(1).name, 'pooled_fgls')
varargout{1} = param_regex;
save_structure_name = 'pooled_fgls';
end
%% Find parameters and variable names in every equation & Setup estimation matrices
[Y, ~, X, ~, ~, residnames] = common_parsing(ds, ast, jsonmodel, overlapping_dates);
clear ast jsonmodel;
@ -97,8 +89,15 @@ for i = 2:length(Y)
end
[Y, X] = put_in_sur_form(Y, X);
%% Handle FGLS
st = dbstack(1);
if strcmp(st(1).name, 'pooled_fgls')
save_structure_name = 'pooled_fgls';
else
save_structure_name = 'pooled_ols';
end
%% Save
oo_.(save_structure_name).sample_range = fp:fp+sum(nobs);
oo_.(save_structure_name).residnames = residnames;
oo_.(save_structure_name).Y = Y.data;
oo_.(save_structure_name).X = X.data;
@ -113,6 +112,7 @@ oo_.(save_structure_name).beta = r\(q'*Y.data);
if strcmp(st(1).name, 'pooled_fgls')
return
end
clear save_structure_name;
% Assign parameter values back to parameters using param_regex & param_common
regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
@ -120,7 +120,7 @@ assigned_idxs = false(size(X.name));
for i = 1:length(param_regex)
beta_idx = strcmp(X.name, strrep(param_regex{i}, '*', country_name));
assigned_idxs = assigned_idxs | beta_idx;
value = oo_.(save_structure_name).beta(beta_idx);
value = oo_.pooled_ols.beta(beta_idx);
if isempty(eqtags)
assert(~isempty(value));
end
@ -130,25 +130,25 @@ for i = 1:length(param_regex)
end
end
idxs = find(assigned_idxs == 0);
values = oo_.(save_structure_name).beta(idxs);
values = oo_.pooled_ols.beta(idxs);
names = X.name(idxs);
assert(length(values) == length(names));
for i = 1:length(idxs)
M_.params(strcmp(M_.param_names, names{i})) = values(i);
end
residuals = Y.data - X.data * oo_.(save_structure_name).beta;
residuals = Y.data - X.data * oo_.pooled_ols.beta;
for i = 1:neqs
if i == 1
oo_.(save_structure_name).resid.(residnames{i}) = residuals(1:nobs(1));
oo_.pooled_ols.resid.(residnames{i}) = residuals(1:nobs(1));
elseif i == neqs
oo_.(save_structure_name).resid.(residnames{i}) = residuals(sum(nobs(1:i-1))+1:end);
oo_.pooled_ols.resid.(residnames{i}) = residuals(sum(nobs(1:i-1))+1:end);
else
oo_.(save_structure_name).resid.(residnames{i}) = residuals(sum(nobs(1:i-1))+1:sum(nobs(1:i)));
oo_.pooled_ols.resid.(residnames{i}) = residuals(sum(nobs(1:i-1))+1:sum(nobs(1:i)));
end
oo_.(save_structure_name).varcovar.(['eq' num2str(i)]) = oo_.(save_structure_name).resid.(residnames{i})*oo_.(save_structure_name).resid.(residnames{i})';
oo_.pooled_ols.varcovar.(['eq' num2str(i)]) = oo_.pooled_ols.resid.(residnames{i})*oo_.pooled_ols.resid.(residnames{i})';
idx = find(strcmp(residnames{i}, M_.exo_names));
M_.Sigma_e(idx, idx) = var(oo_.(save_structure_name).resid.(residnames{i}));
M_.Sigma_e(idx, idx) = var(oo_.pooled_ols.resid.(residnames{i}));
end
end