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SUR: add option to estimate certain parameters

time-shift
Houtan Bastani 2018-01-24 15:22:30 +01:00
parent 21fe74d8e3
commit 683c89de43
2 changed files with 38 additions and 25 deletions
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41
matlab/ols/sur.m
View File

@ -1,9 +1,10 @@
function varargout = sur(ds, eqtags)
% function varargout = sur(ds, eqtags)
function varargout = sur(ds, param_names, eqtags)
%function varargout = sur(ds, param_names, eqtags)
% Seemingly Unrelated Regressions
%
% INPUTS
% ds [dseries] data to use in estimation
% param_names [cellstr] list of parameters to estimate
% eqtags [cellstr] names of equation tags to estimate. If empty,
% estimate all equations
%
@ -33,8 +34,13 @@ function varargout = sur(ds, eqtags)
global M_ oo_ options_
%% Check input argument
assert(nargin == 1 || nargin == 2, 'You must provide one or two arguments');
assert(nargin >= 1 && nargin <= 3, 'You must provide one, two, or three arguments');
assert(~isempty(ds) && isdseries(ds), 'The first argument must be a dseries');
if nargin >= 2
assert(iscellstr(param_names), 'The 2nd argument must be a cellstr');
else
param_names = {};
end
%% Read JSON
jsonfile = [M_.fname '_original.json'];
@ -44,12 +50,12 @@ end
jsonmodel = loadjson(jsonfile);
jsonmodel = jsonmodel.model;
if nargin == 2
if nargin == 3
jsonmodel = getEquationsByTags(jsonmodel, 'name', eqtags);
end
%% Find parameters and variable names in equations and setup estimation matrices
[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, pidxs, surconstrainedparams] = ...
[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, opidxs, surconstrainedparams] = ...
pooled_sur_common(ds, jsonmodel);
if nargin == 1 && size(X, 2) ~= M_.param_nbr
@ -79,11 +85,32 @@ for i = 1:length(jsonmodel)
end
end
if ~isempty(param_names)
pnamesall = M_.param_names(opidxs);
nparams = length(param_names);
pidxs = zeros(nparams, 1);
for i = 1:nparams
idxs = find(strcmp(param_names{i}, pnamesall));
if isempty(idxs)
if ~isempty(eqtags)
error(['Could not find ' param_names{i} ...
' in the provided equations specified by ' strjoin(eqtags, ',')]);
end
error('Unspecified error. Please report');
end
pidxs(i) = idxs;
end
vars = [vars{:}];
vars = {vars(pidxs)};
newY = newY - newX(:, setdiff(1:size(newX, 2), pidxs)) * M_.params(setdiff(opidxs, opidxs(pidxs), 'stable'));
newX = newX(:, pidxs);
end
%% Return to surgibbs if called from there
st = dbstack(1);
if strcmp(st(1).name, 'surgibbs')
varargout{1} = length(maxfp:minlp); %dof
varargout{2} = pidxs;
varargout{2} = opidxs(pidxs);
varargout{3} = newX;
varargout{4} = newY;
varargout{5} = length(jsonmodel);
@ -106,7 +133,7 @@ kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.sur.dof));
[q, r] = qr(kLeye*X, 0);
oo_.sur.beta = r\(q'*kLeye*Y);
M_.params(pidxs, 1) = oo_.sur.beta;
M_.params(opidxs(pidxs)) = oo_.sur.beta;
% Yhat
oo_.sur.Yhat = X * oo_.sur.beta;

22
matlab/surgibbs.m
View File

@ -70,29 +70,15 @@ end
%% Estimation
if nargin == 8
[nobs, pidxs, X, Y, m] = sur(ds, eqtags);
[nobs, pidxs, X, Y, m] = sur(ds, param_names, eqtags);
else
[nobs, pidxs, X, Y, m] = sur(ds);
[nobs, pidxs, X, Y, m] = sur(ds, param_names);
end
pnamesall = M_.param_names(pidxs);
nparams = length(param_names);
pidxs = zeros(nparams, 1);
for i = 1:nparams
idxs = find(strcmp(param_names{i}, pnamesall));
if isempty(idxs)
if ~isempty(eqtags)
error(['Could not find ' param_names{i} ...
' in the provided equations specified by ' strjoin(eqtags, ',')]);
end
error('Unspecified error. Please report');
end
pidxs(i) = idxs;
end
X = X(:, pidxs);
beta = beta0;
A = inv(A);
thinidx = 1;
drawidx = 1;
nparams = length(param_names);
oo_.surgibbs.betadraws = zeros(floor((ndraws-discarddraws)/thin), nparams);
for i = 1:ndraws
% Draw Omega, given X, Y, Beta
@ -119,7 +105,7 @@ end
% save parameter values
oo_.surgibbs.beta = (sum(oo_.surgibbs.betadraws)/rows(oo_.surgibbs.betadraws))';
M_.params(pidxs, 1) = oo_.surgibbs.beta;
M_.params(pidxs) = oo_.surgibbs.beta;
%% Print Output
dyn_table('Gibbs Sampling on SUR', {}, {}, param_names, ...