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sur: add noniterative option

time-shift
Houtan Bastani 2019-02-25 12:47:29 +01:00
parent 0af3068569
commit 4399972a2d
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1 changed files with 14 additions and 5 deletions
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19
matlab/ols/sur.m
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@ -1,5 +1,5 @@
function varargout = sur(ds, param_names, eqtags, model_name)
%function varargout = sur(ds, param_names, eqtags, model_name)
function varargout = sur(ds, param_names, eqtags, model_name, noniterative)
%function varargout = sur(ds, param_names, eqtags, model_name, noniterative)
% Seemingly Unrelated Regressions
%
% INPUTS
@ -9,6 +9,7 @@ function varargout = sur(ds, param_names, eqtags, model_name)
% estimate all equations
% model_name [string] name of model to be displayed with
% report
% noniterative [bool] if true use noniterative estimation method
%
% OUTPUTS
% none
@ -36,8 +37,16 @@ function varargout = sur(ds, param_names, eqtags, model_name)
global M_ oo_ options_
%% Check input argument
if nargin < 1 || nargin > 4
error('function takes between 1 and 4 arguments');
if nargin < 1 || nargin > 5
error('function takes between 1 and 5 arguments');
end
if nargin < 5
noniterative = false;
else
if ~islogical(noniterative)
error('the fifth argument, if passed, must be a boolean')
end
end
if nargin < 4
@ -140,7 +149,7 @@ for i = 1:maxit
kLeye = kron(inv(chol(vcv))', eye(oo_.sur.(model_name).dof));
[q, r] = qr(kLeye*X.data, 0);
oo_.sur.(model_name).beta = r\(q'*kLeye*Y.data);
if max(abs(beta0 - oo_.sur.(model_name).beta)) < tol
if noniterative || max(abs(beta0 - oo_.sur.(model_name).beta)) < tol
break
end
beta0 = oo_.sur.(model_name).beta;