sur: add model_name option
Houtan Bastani
parent
35cabed989
commit
6d447f195a
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@ -1,5 +1,5 @@
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function varargout = sur(ds, param_names, eqtags)
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%function varargout = sur(ds, param_names, eqtags)
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function varargout = sur(ds, param_names, eqtags, model_name)
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%function varargout = sur(ds, param_names, eqtags, model_name)
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% Seemingly Unrelated Regressions
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%
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% INPUTS
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@ -7,6 +7,8 @@ function varargout = sur(ds, param_names, eqtags)
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% param_names [cellstr] list of parameters to estimate
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% eqtags [cellstr] names of equation tags to estimate. If empty,
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% estimate all equations
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% model_name [string] name of model to be displayed with
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% report
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%
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% OUTPUTS
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% none
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@ -34,8 +36,16 @@ function varargout = sur(ds, param_names, eqtags)
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global M_ oo_ options_
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%% Check input argument
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if nargin < 1 || nargin > 3
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error('function takes between 1 and 3 arguments');
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if nargin < 1 || nargin > 4
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error('function takes between 1 and 4 arguments');
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end
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if nargin < 4
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if ~isfield(oo_, 'sur')
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model_name = 'sur_model_number_1';
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else
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model_name = ['sur_model_number_' num2str(length(fieldnames(oo_.sur)) + 1)];
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end
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end
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if nargin < 3
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@ -114,63 +124,64 @@ for i = 1:length(constrained)
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end
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%% Estimation
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oo_.sur.dof = nobs;
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oo_.sur.(model_name).dof = nobs;
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% Estimated Parameters
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[q, r] = qr(X.data, 0);
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xpxi = (r'*r)\eye(size(X.data, 2));
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resid = Y.data - X.data * (r\(q'*Y.data));
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resid = reshape(resid, oo_.sur.dof, neqs);
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resid = reshape(resid, oo_.sur.(model_name).dof, neqs);
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M_.Sigma_e = resid'*resid/oo_.sur.dof;
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kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.sur.dof));
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M_.Sigma_e = resid'*resid/oo_.sur.(model_name).dof;
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kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.sur.(model_name).dof));
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[q, r] = qr(kLeye*X.data, 0);
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oo_.sur.beta = r\(q'*kLeye*Y.data);
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oo_.sur.(model_name).beta = r\(q'*kLeye*Y.data);
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M_.params(opidxs) = oo_.sur.beta;
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M_.params(opidxs) = oo_.sur.(model_name).beta;
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% Yhat
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oo_.sur.Yhat = X.data * oo_.sur.beta;
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oo_.sur.(model_name).Yhat = X.data * oo_.sur.(model_name).beta;
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% Residuals
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oo_.sur.resid = Y.data - oo_.sur.Yhat;
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oo_.sur.(model_name).resid = Y.data - oo_.sur.(model_name).Yhat;
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% Correct Yhat reported back to user
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oo_.sur.Yhat = oo_.sur.Yhat + lhssub;
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oo_.sur.(model_name).Yhat = oo_.sur.(model_name).Yhat + lhssub;
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%% Calculate statistics
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% Estimate for sigma^2
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SS_res = oo_.sur.resid'*oo_.sur.resid;
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oo_.sur.s2 = SS_res/oo_.sur.dof;
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SS_res = oo_.sur.(model_name).resid'*oo_.sur.(model_name).resid;
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oo_.sur.(model_name).s2 = SS_res/oo_.sur.(model_name).dof;
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% R^2
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ym = Y.data - mean(Y.data);
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SS_tot = ym'*ym;
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oo_.sur.R2 = 1 - SS_res/SS_tot;
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oo_.sur.(model_name).R2 = 1 - SS_res/SS_tot;
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% Adjusted R^2
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oo_.sur.adjR2 = oo_.sur.R2 - (1 - oo_.sur.R2)*M_.param_nbr/(oo_.sur.dof - 1);
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oo_.sur.(model_name).adjR2 = oo_.sur.(model_name).R2 - (1 - oo_.sur.(model_name).R2)*M_.param_nbr/(oo_.sur.(model_name).dof - 1);
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% Durbin-Watson
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ediff = oo_.sur.resid(2:oo_.sur.dof) - oo_.sur.resid(1:oo_.sur.dof - 1);
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oo_.sur.dw = (ediff'*ediff)/SS_res;
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ediff = oo_.sur.(model_name).resid(2:oo_.sur.(model_name).dof) - oo_.sur.(model_name).resid(1:oo_.sur.(model_name).dof - 1);
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oo_.sur.(model_name).dw = (ediff'*ediff)/SS_res;
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% Standard Error
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oo_.sur.stderr = sqrt(oo_.sur.s2*diag(xpxi));
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oo_.sur.(model_name).stderr = sqrt(oo_.sur.(model_name).s2*diag(xpxi));
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% T-Stat
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oo_.sur.tstat = oo_.sur.beta./oo_.sur.stderr;
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oo_.sur.(model_name).tstat = oo_.sur.(model_name).beta./oo_.sur.(model_name).stderr;
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%% Print Output
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if ~options_.noprint
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preamble = {sprintf('No. Equations: %d', neqs), ...
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preamble = {['Model name: ' model_name], ...
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sprintf('No. Equations: %d', neqs), ...
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sprintf('No. Independent Variables: %d', size(X, 2)), ...
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sprintf('Observations: %d', oo_.sur.dof)};
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sprintf('Observations: %d', oo_.sur.(model_name).dof)};
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afterward = {sprintf('R^2: %f', oo_.sur.R2), ...
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sprintf('R^2 Adjusted: %f', oo_.sur.adjR2), ...
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sprintf('s^2: %f', oo_.sur.s2), ...
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sprintf('Durbin-Watson: %f', oo_.sur.dw)};
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afterward = {sprintf('R^2: %f', oo_.sur.(model_name).R2), ...
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sprintf('R^2 Adjusted: %f', oo_.sur.(model_name).adjR2), ...
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sprintf('s^2: %f', oo_.sur.(model_name).s2), ...
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sprintf('Durbin-Watson: %f', oo_.sur.(model_name).dw)};
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if ~isempty(constrained_param_idxs)
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afterward = [afterward, ['Constrained parameters: ' ...
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@ -179,6 +190,6 @@ if ~options_.noprint
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dyn_table('SUR Estimation', preamble, afterward, X.name, ...
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{'Estimates','t-statistic','Std. Error'}, 4, ...
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[oo_.sur.beta oo_.sur.tstat oo_.sur.stderr]);
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[oo_.sur.(model_name).beta oo_.sur.(model_name).tstat oo_.sur.(model_name).stderr]);
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end
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end
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