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Fix pac.estimate.iterate_ols. 

Was crashing if the auxiliary model contains a constant.

See https://forum.dynare.org/t/iterative-ols-for-pac-equation/21379.
unit-tests
Stéphane Adjemian (Charybdis) 2022-11-24 16:22:48 +01:00
parent da39af4a3f
commit 3aeb1ff7e3
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
1 changed files with 16 additions and 5 deletions
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21
matlab/+pac/+estimate/iterative_ols.m
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@ -120,21 +120,32 @@ end
% Build PAC expectation matrix expression.
dataForPACExpectation = dseries();
listofvariables = {};
isconstant = false;
for i=1:length(M_.pac.(pacmodl).h_param_indices)
match = regexp(rhs, sprintf('(?<var>((\\w*)|\\w*\\(-1\\)))\\*%s', M_.param_names{M_.pac.(pacmodl).h_param_indices(i)}), 'names');
if isempty(match)
match = regexp(rhs, sprintf('%s\\*(?<var>((\\w*\\(-1\\))|(\\w*)))', M_.param_names{M_.pac.(pacmodl).h_param_indices(i)}), 'names');
end
if isempty(strfind(match.var, '(-1)'))
listofvariables{i} = match.var;
dataForPACExpectation = [dataForPACExpectation, data{listofvariables{i}}];
if ~isempty(match)
if isempty(strfind(match.var, '(-1)'))
listofvariables{end+1} = match.var;
dataForPACExpectation = [dataForPACExpectation, data{listofvariables{i}}];
else
listofvariables{end+1} = match.var(1:end-4);
dataForPACExpectation = [dataForPACExpectation, data{match.var(1:end-4)}.lag(1)];
end
else
listofvariables{i} = match.var(1:end-4);
dataForPACExpectation = [dataForPACExpectation, data{match.var(1:end-4)}.lag(1)];
if strcmp(M_.param_names{M_.pac.(pacmodl).h_param_indices(i)}, sprintf('h_%s_constant', pacmodl))
isconstant = true;
end
end
end
dataPAC = dataForPACExpectation{listofvariables{:}}(range).data;
if isconstant
dataPAC = [ones(rows(dataPAC),1), dataPAC];
end
% Build data for non optimizing behaviour
if is_non_optimizing_agents