sur: update with changes recently made to pooled_ols
Houtan
parent
c82fc11f8b
commit
792d452938
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@ -41,7 +41,7 @@ assert(isdseries(ds), 'dyn_ols: the first argument must be a dseries');
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jsonfile = [M_.fname '_original.json'];
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if exist(jsonfile, 'file') ~= 2
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error('Could not find %s! Please use the json option (See the Dynare invocation section in the reference manual).', jsonfile);
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error('Could not find %s! Please use the json=compute option (See the Dynare invocation section in the reference manual).', jsonfile);
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end
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%% Get Equation(s)
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@ -19,7 +19,7 @@ function pooled_ols(ds, param_common, param_regex, overlapping_dates, save_struc
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% none
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%
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% SPECIAL REQUIREMENTS
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% dynare must be run with the option: json=parse
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% dynare must be run with the option: json=compute
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% Copyright (C) 2017 Dynare Team
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%
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@ -40,7 +40,7 @@ function pooled_ols(ds, param_common, param_regex, overlapping_dates, save_struc
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global M_ oo_
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% Check input arguments
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%% Check input arguments
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assert(~isempty(ds) && isdseries(ds), 'The first argument must be a dseries');
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if isempty(param_common) && isempty(param_regex)
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@ -66,7 +66,7 @@ end
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%% Read JSON
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jsonfile = [M_.fname '_original.json'];
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if exist(jsonfile, 'file') ~= 2
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error('Could not find %s! Please use the json=parse option (See the Dynare invocation section in the reference manual).', jsonfile);
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error('Could not find %s! Please use the json=compute option (See the Dynare invocation section in the reference manual).', jsonfile);
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end
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jsonmodel = loadjson(jsonfile);
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@ -86,127 +86,9 @@ end
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%% Find parameters and variable names in every equation & Setup estimation matrices
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M_exo_names_trim = cellstr(M_.exo_names);
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M_endo_exo_names_trim = [cellstr(M_.endo_names); M_exo_names_trim];
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M_param_names_trim = cellstr(M_.param_names);
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regex = strjoin(M_endo_exo_names_trim(:,1), '|');
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mathops = '[\+\*\^\-\/]';
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params = cell(length(rhs),1);
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vars = cell(length(rhs),1);
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pbeta = {};
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Y = [];
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X = [];
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startidxs = zeros(length(lhs), 1);
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startdates = cell(length(lhs), 1);
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enddates = cell(length(lhs), 1);
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residnames = cell(length(lhs), 1);
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for i = 1:length(lhs)
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rhs_ = strsplit(rhs{i}, {'+','-','*','/','^','log(','ln(','log10(','exp(','(',')','diff('});
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rhs_(cellfun(@(x) all(isstrprop(x, 'digit')), rhs_)) = [];
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vnames = setdiff(rhs_, M_param_names_trim);
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if ~isempty(regexp(rhs{i}, ...
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['(' strjoin(vnames, '\\(\\d+\\)|') '\\(\\d+\\))'], ...
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'once'))
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error(['pooled_ols: you cannot have leads in equation on line ' ...
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lineno{i} ': ' lhs{i} ' = ' rhs{i}]);
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end
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% Find parameters and associated variables
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pnames = intersect(rhs_, M_param_names_trim);
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pidxs = zeros(length(pnames), 1);
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vnames = cell(1, length(pnames));
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splitstrings = cell(length(pnames), 1);
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xjdata = dseries;
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for j = 1:length(pnames)
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createdvar = false;
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idx = find(strcmp(pbeta, pnames{j}));
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if isempty(idx)
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pbeta = [pbeta; pnames{j}];
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pidxs(j) = length(pbeta);
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else
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pidxs(j) = idx;
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end
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pregex = [...
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mathops pnames{j} mathops ...
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'|^' pnames{j} mathops ...
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'|' mathops pnames{j} '$' ...
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];
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[startidx, endidx] = regexp(rhs{i}, pregex, 'start', 'end');
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assert(length(startidx) == 1);
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if rhs{i}(startidx) == '*' && rhs{i}(endidx) == '*'
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vnames{j} = [getStrMoveLeft(rhs{i}(1:startidx-1)) '*' ...
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getStrMoveRight(rhs{i}(endidx+1:end))];
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elseif rhs{i}(startidx) == '*'
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vnames{j} = getStrMoveLeft(rhs{i}(1:startidx-1));
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splitstrings{j} = [vnames{j} '*' pnames{j}];
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elseif rhs{i}(endidx) == '*'
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vnames{j} = getStrMoveRight(rhs{i}(endidx+1:end));
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splitstrings{j} = [pnames{j} '*' vnames{j}];
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if rhs{i}(startidx) == '-'
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vnames{j} = ['-' vnames{j}];
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splitstrings{j} = ['-' splitstrings{j}];
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end
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elseif rhs{i}(startidx) == '+' ...
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|| rhs{i}(startidx) == '-' ...
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|| rhs{i}(endidx) == '+' ...
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|| rhs{i}(endidx) == '-'
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% intercept
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createdvar = true;
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if any(strcmp(M_endo_exo_names_trim, 'intercept'))
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[~, vnames{j}] = fileparts(tempname);
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vnames{j} = ['intercept_' vnames{j}];
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assert(~any(strcmp(M_endo_exo_names_trim, vnames{j})));
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else
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vnames{j} = 'intercept';
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end
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splitstrings{j} = vnames{j};
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else
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error('pooled_ols: Shouldn''t arrive here');
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end
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if createdvar
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xjdatatmp = dseries(ones(ds.nobs, 1), ds.firstdate, vnames{j});
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else
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xjdatatmp = eval(regexprep(vnames{j}, regex, 'ds.$&'));
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xjdatatmp.rename_(vnames{j});
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end
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xjdatatmp.rename_(num2str(j));
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xjdata = [xjdata xjdatatmp];
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end
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lhssub = getRhsToSubFromLhs(ds, rhs{i}, regex, [splitstrings; pnames]);
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residnames{i} = setdiff(intersect(rhs_, M_exo_names_trim), ds.name);
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assert(~isempty(residnames{i}), ['No residuals in equation ' num2str(i)]);
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assert(length(residnames{i}) == 1, ['More than one residual in equation ' num2str(i)]);
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params{i} = pnames;
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vars{i} = [vnames{:}];
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ydata = eval(regexprep(lhs{i}, regex, 'ds.$&'));
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for j = 1:lhssub.vobs
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ydata = ydata - lhssub{j};
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end
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if isempty(xjdata)
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% AR(1) case
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fp = ydata.firstobservedperiod;
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lp = ydata.lastobservedperiod;
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startidxs(i) = length(Y) + 1;
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startdates{i} = fp;
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enddates{i} = lp;
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Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
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X(startidxs(i):startidxs(i)+lp-fp, :) = zeros(ydata(fp:lp).nobs, columns(X));
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else
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fp = max(ydata.firstobservedperiod, xjdata.firstobservedperiod);
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lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
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startidxs(i) = length(Y) + 1;
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startdates{i} = fp;
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enddates{i} = lp;
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Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
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X(startidxs(i):startidxs(i)+lp-fp, pidxs) = xjdata(fp:lp).data;
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end
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end
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[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, pidxs] = ...
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pooled_sur_common(ds, lhs, rhs, lineno, M_exo_names_trim, M_param_names_trim);
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if overlapping_dates
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maxfp = max([startdates{:}]);
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@ -0,0 +1,157 @@
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function [X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, surpidxs] = pooled_sur_common(ds, lhs, rhs, lineno, M_exo_names_trim, M_param_names_trim);
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%
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% Code common to sur.m and pooled_ols.m
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%
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% INPUTS
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% none
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright (C) 2017 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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global M_
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M_endo_exo_names_trim = [cellstr(M_.endo_names); M_exo_names_trim];
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regex = strjoin(M_endo_exo_names_trim(:,1), '|');
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mathops = '[\+\*\^\-\/]';
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params = cell(length(rhs),1);
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vars = cell(length(rhs),1);
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pbeta = {};
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Y = [];
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X = [];
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startidxs = zeros(length(lhs), 1);
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startdates = cell(length(lhs), 1);
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enddates = cell(length(lhs), 1);
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residnames = cell(length(lhs), 1);
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surpidxs = zeros(M_.param_nbr, 1);
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surpidx = 0;
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for i = 1:length(lhs)
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rhs_ = strsplit(rhs{i}, {'+','-','*','/','^','log(','ln(','log10(','exp(','(',')','diff('});
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rhs_(cellfun(@(x) all(isstrprop(x, 'digit')), rhs_)) = [];
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vnames = setdiff(rhs_, M_param_names_trim);
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if ~isempty(regexp(rhs{i}, ...
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['(' strjoin(vnames, '\\(\\d+\\)|') '\\(\\d+\\))'], 'once'))
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error(['pooled_ols: you cannot have leads in equation on line ' ...
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lineno{i} ': ' lhs{i} ' = ' rhs{i}]);
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end
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% Find parameters and associated variables
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pnames = intersect(rhs_, M_param_names_trim);
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pidxs = zeros(length(pnames), 1);
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vnames = cell(1, length(pnames));
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splitstrings = cell(length(pnames), 1);
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xjdata = dseries;
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for j = 1:length(pnames)
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createdvar = false;
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idx = find(strcmp(pbeta, pnames{j}));
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if isempty(idx)
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pbeta = [pbeta; pnames{j}];
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pidxs(j) = length(pbeta);
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else
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pidxs(j) = idx;
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end
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surpidx = surpidx + 1;
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surpidxs(surpidx, 1) = find(strcmp(pnames{j}, M_param_names_trim));
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pregex = [...
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mathops pnames{j} mathops ...
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'|^' pnames{j} mathops ...
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'|' mathops pnames{j} '$' ...
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];
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[startidx, endidx] = regexp(rhs{i}, pregex, 'start', 'end');
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assert(length(startidx) == 1);
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if rhs{i}(startidx) == '*' && rhs{i}(endidx) == '*'
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vnames{j} = [getStrMoveLeft(rhs{i}(1:startidx-1)) '*' ...
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getStrMoveRight(rhs{i}(endidx+1:end))];
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elseif rhs{i}(startidx) == '*'
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vnames{j} = getStrMoveLeft(rhs{i}(1:startidx-1));
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splitstrings{j} = [vnames{j} '*' pnames{j}];
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elseif rhs{i}(endidx) == '*'
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vnames{j} = getStrMoveRight(rhs{i}(endidx+1:end));
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splitstrings{j} = [pnames{j} '*' vnames{j}];
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if rhs{i}(startidx) == '-'
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vnames{j} = ['-' vnames{j}];
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splitstrings{j} = ['-' splitstrings{j}];
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end
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elseif rhs{i}(startidx) == '+' ...
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|| rhs{i}(startidx) == '-' ...
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|| rhs{i}(endidx) == '+' ...
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|| rhs{i}(endidx) == '-'
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% intercept
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createdvar = true;
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if any(strcmp(M_endo_exo_names_trim, 'intercept'))
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[~, vnames{j}] = fileparts(tempname);
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vnames{j} = ['intercept_' vnames{j}];
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assert(~any(strcmp(M_endo_exo_names_trim, vnames{j})));
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else
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vnames{j} = 'intercept';
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end
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splitstrings{j} = vnames{j};
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else
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error('pooled_ols: Shouldn''t arrive here');
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end
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if createdvar
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xjdatatmp = dseries(ones(ds.nobs, 1), ds.firstdate, vnames{j});
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else
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xjdatatmp = eval(regexprep(vnames{j}, regex, 'ds.$&'));
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xjdatatmp.rename_(vnames{j});
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end
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xjdatatmp.rename_(num2str(j));
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xjdata = [xjdata xjdatatmp];
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end
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lhssub = getRhsToSubFromLhs(ds, rhs{i}, regex, [splitstrings; pnames]);
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residnames{i} = setdiff(intersect(rhs_, M_exo_names_trim), ds.name);
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assert(~isempty(residnames{i}), ['No residuals in equation ' num2str(i)]);
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assert(length(residnames{i}) == 1, ['More than one residual in equation ' num2str(i)]);
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params{i} = pnames;
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vars{i} = vnames;
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ydata = eval(regexprep(lhs{i}, regex, 'ds.$&'));
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for j = 1:lhssub.vobs
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ydata = ydata - lhssub{j};
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end
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if isempty(xjdata)
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% AR(1) case
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fp = ydata.firstobservedperiod;
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lp = ydata.lastobservedperiod;
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startidxs(i) = length(Y) + 1;
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startdates{i} = fp;
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enddates{i} = lp;
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Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
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X(startidxs(i):startidxs(i)+lp-fp, :) = zeros(ydata(fp:lp).nobs, columns(X));
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else
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fp = max(ydata.firstobservedperiod, xjdata.firstobservedperiod);
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lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
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startidxs(i) = length(Y) + 1;
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startdates{i} = fp;
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enddates{i} = lp;
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Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
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X(startidxs(i):startidxs(i)+lp-fp, pidxs) = xjdata(fp:lp).data;
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end
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end
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end
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103
matlab/ols/sur.m
103
matlab/ols/sur.m
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@ -9,7 +9,7 @@ function varargout = sur(ds)
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% none
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%
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% SPECIAL REQUIREMENTS
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% dynare must be run with the option: json=parse
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% dynare must be run with the option: json=compute
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% Copyright (C) 2017 Dynare Team
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%
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@ -36,7 +36,7 @@ assert(~isempty(ds) && isdseries(ds), 'The first argument must be a dseries');
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%% Read JSON
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jsonfile = [M_.fname '_original.json'];
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if exist(jsonfile, 'file') ~= 2
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error('Could not find %s! Please use the json=parse option (See the Dynare invocation section in the reference manual).', jsonfile);
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error('Could not find %s! Please use the json=compute option (See the Dynare invocation section in the reference manual).', jsonfile);
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end
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jsonmodel = loadjson(jsonfile);
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@ -45,104 +45,15 @@ jsonmodel = jsonmodel.model;
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%% Find parameters and variable names in equations and setup estimation matrices
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M_exo_names_trim = cellstr(M_.exo_names);
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M_endo_exo_names_trim = [cellstr(M_.endo_names); M_exo_names_trim];
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M_param_names_trim = cellstr(M_.param_names);
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regex = strjoin(M_endo_exo_names_trim(:,1), '|');
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mathops = '[\+\*\^\-\/]';
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params = cell(length(rhs),1);
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vars = cell(length(rhs),1);
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Y = [];
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X = [];
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startidxs = zeros(length(lhs), 1);
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startdates = cell(length(lhs), 1);
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enddates = cell(length(lhs), 1);
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residnames = cell(length(lhs), 1);
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pidxs = zeros(M_.param_nbr, 1);
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pidx = 0;
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vnamesall = {};
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for i = 1:length(lhs)
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rhs_ = strsplit(rhs{i}, {'+','-','*','/','^','log(','ln(','log10(','exp(','(',')','diff('});
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rhs_(cellfun(@(x) all(isstrprop(x, 'digit')), rhs_)) = [];
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vnames = setdiff(rhs_, M_param_names_trim);
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if ~isempty(regexp(rhs{i}, ...
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['(' strjoin(vnames, '\\(\\d+\\)|') '\\(\\d+\\))'], ...
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'once'))
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error(['sur1: you cannot have leads in equation on line ' ...
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lineno{i} ': ' lhs{i} ' = ' rhs{i}]);
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end
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[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, pidxs] = ...
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pooled_sur_common(ds, lhs, rhs, lineno, M_exo_names_trim, M_param_names_trim);
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% Find parameters and associated variables
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pnames = intersect(rhs_, M_param_names_trim);
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vnames = cell(1, length(pnames));
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xjdata = dseries;
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for j = 1:length(pnames)
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pidx = pidx + 1;
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pidxs(pidx, 1) = find(strcmp(pnames{j}, M_param_names_trim));
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createdvar = false;
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pregex = [...
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mathops pnames{j} mathops ...
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'|^' pnames{j} mathops ...
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'|' mathops pnames{j} '$' ...
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];
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[startidx, endidx] = regexp(rhs{i}, pregex, 'start', 'end');
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assert(length(startidx) == 1);
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if rhs{i}(startidx) == '*'
|
||||
vnames{j} = getStrMoveLeft(rhs{i}(1:startidx-1));
|
||||
elseif rhs{i}(endidx) == '*'
|
||||
vnames{j} = getStrMoveRight(rhs{i}(endidx+1:end));
|
||||
elseif rhs{i}(startidx) == '+' ...
|
||||
|| rhs{i}(startidx) == '-' ...
|
||||
|| rhs{i}(endidx) == '+' ...
|
||||
|| rhs{i}(endidx) == '-'
|
||||
% intercept
|
||||
createdvar = true;
|
||||
if any(strcmp(M_endo_exo_names_trim, 'intercept'))
|
||||
[~, vnames{j}] = fileparts(tempname);
|
||||
vnames{j} = ['intercept_' vnames{j}];
|
||||
assert(~any(strcmp(M_endo_exo_names_trim, vnames{j})));
|
||||
else
|
||||
vnames{j} = 'intercept';
|
||||
end
|
||||
else
|
||||
error('sur1: Shouldn''t arrive here');
|
||||
end
|
||||
if createdvar
|
||||
xjdatatmp = dseries(ones(ds.nobs, 1), ds.firstdate, vnames{j});
|
||||
else
|
||||
xjdatatmp = eval(regexprep(vnames{j}, regex, 'ds.$&'));
|
||||
xjdatatmp.rename_(vnames{j});
|
||||
end
|
||||
xjdatatmp.rename_(num2str(j));
|
||||
xjdata = [xjdata xjdatatmp];
|
||||
end
|
||||
|
||||
residuals = intersect(rhs_, cellstr(M_.exo_names));
|
||||
for j = 1:length(residuals)
|
||||
if any(strcmp(residuals{j}, vnames))
|
||||
residuals{j} = [];
|
||||
end
|
||||
end
|
||||
idx = ~cellfun(@isempty, residuals);
|
||||
assert(sum(idx) == 1, ['More than one residual in equation ' num2str(i)]);
|
||||
residnames{i} = residuals{idx};
|
||||
|
||||
params{i} = pnames;
|
||||
vars{i} = vnames;
|
||||
|
||||
ydata = eval(regexprep(lhs{i}, regex, 'ds.$&'));
|
||||
|
||||
fp = max(ydata.firstobservedperiod, xjdata.firstobservedperiod);
|
||||
lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
|
||||
|
||||
startidxs(i) = length(Y) + 1;
|
||||
startdates{i} = fp;
|
||||
enddates{i} = lp;
|
||||
Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
|
||||
X(startidxs(i):startidxs(i)+lp-fp, end+1:end+size(xjdata(fp:lp).data,2)) = xjdata(fp:lp).data;
|
||||
if size(X, 2) ~= M_.param_nbr
|
||||
warning(['Not all parameters were used in model: ' ...
|
||||
sprintf('%s', strjoin(setdiff(M_param_names_trim, pbeta), ', '))]);
|
||||
end
|
||||
|
||||
assert(size(X, 2) == M_.param_nbr, 'Not all parameters were used in model');
|
||||
|
||||
%% Force equations to have the same sample range
|
||||
maxfp = max([startdates{:}]);
|
||||
minlp = min([enddates{:}]);
|
||||
|
|
|
|||
|
|
@ -20,7 +20,14 @@ for i=1:NSIMS
|
|||
M_.Sigma_e = Sigma_e;
|
||||
simdata = simul_backward_model(dseries(firstobs, dates('1995Q1'), M_endo_names_trim), 10000);
|
||||
simdata = simdata(simdata.dates(5001:6000));
|
||||
sur(simdata);
|
||||
names=regexp(simdata.name, 'res\w*');
|
||||
idxs = [];
|
||||
for j=1:length(names)
|
||||
if isempty(names{j})
|
||||
idxs = [idxs j];
|
||||
end
|
||||
end
|
||||
sur(simdata{idxs});
|
||||
BETA(i, :) = M_.params';
|
||||
end
|
||||
|
||||
|
|
|
|||
|
|
@ -26,8 +26,7 @@ for i=1:NSIMS
|
|||
idxs = [idxs j];
|
||||
end
|
||||
end
|
||||
simdata = simdata{idxs};
|
||||
pooled_ols(simdata, ...
|
||||
pooled_ols(simdata{idxs}, ...
|
||||
{'de','u2'}, ...
|
||||
{'*_q_yed_ecm_*_q_yed_L1', ...
|
||||
'*_q_yed_ecm_u2_stn_L1', ...
|
||||
|
|
|
|||
Loading…
Reference in New Issue