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pooled_fgls: fix typo in saved covariance matrix name

time-shift
Houtan Bastani 2017-11-17 11:57:15 +01:00
parent 0c17d52adc
commit 80feaeae25
1 changed files with 3 additions and 3 deletions
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6
matlab/ols/pooled_fgls.m
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@ -44,12 +44,12 @@ for i = 1:neq
ui = oo_.pooled_fgls.resid.(oo_.pooled_fgls.residnames{i});
for j = i:neq
uj = oo_.pooled_fgls.resid.(oo_.pooled_fgls.residnames{j});
M_.Sigma(i, j) = (ui'*uj)/nobs;
M_.Sigma(j, i) = M_.Sigma(i, j);
M_.Sigma_e(i, j) = (ui'*uj)/nobs;
M_.Sigma_e(j, i) = M_.Sigma_e(i, j);
end
end
kLeye = kron(chol(inv(M_.Sigma)), eye(nobs));
kLeye = kron(chol(inv(M_.Sigma_e)), eye(nobs));
[q, r] = qr(kLeye*oo_.pooled_fgls.X, 0);
oo_.pooled_fgls.beta = r\(q'*kLeye*oo_.pooled_fgls.Y);