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sur: fix bug in creation of SUR matrices; handle random walk equation regardless of order in model equations

time-shift
Houtan Bastani 2019-01-18 15:07:24 +01:00
parent cf0d8f319e
commit 875381379f
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GPG Key ID: 000094FB955BE169
1 changed files with 9 additions and 10 deletions
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19
matlab/ols/put_in_sur_form.m
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@ -47,21 +47,19 @@ for i = 1:neqs
% X{i} is empty for AR(1) equations
assert(size(X{i}, 1) == size(Y{i}, 1), 'Y{i} and X{i} must have the same nuber of observations');
end
nobs(i) = size(X{i}, 1);
nobs(i) = size(Y{i}, 1);
end
fd = Y{1}.firstdate;
nrows = sum(nobs);
Xmat = dseries([X{1}.data; zeros(nrows-nobs(1), size(X{1}, 2))], X{1}.firstdate, X{1}.name);
Yvec = Y{1};
Xmat = dseries();
Yvec = dseries();
constrained = {};
for i = 2:neqs
if isempty(X{i})
data = [Xmat.data;zeros(size(Y{i},1), size(Xmat.data, 2))];
Xmat = dseries(data, X{1}.firstdate, Xmat.name);
else
for i = 1:neqs
if ~isempty(X{i})
to_remove = [];
nr = sum(nobs(1:i-1));
nxcol = size(X{i}, 2);
Xtmp = dseries([zeros(nr, nxcol); X{i}.data; zeros(nrows-nr-nobs(i), nxcol)], X{1}.firstdate, X{i}.name);
Xtmp = dseries([zeros(nr, nxcol); X{i}.data; zeros(nrows-nr-nobs(i), nxcol)], fd, X{i}.name);
for j = 1:length(X{i}.name)
idx = find(strcmp(Xmat.name, X{i}.name{j}));
if ~isempty(idx)
@ -77,6 +75,7 @@ for i = 2:neqs
Xmat = [Xmat Xtmp];
end
end
Yvec = dseries([Yvec.data; Y{i}.data], Yvec.firstdate);
Yvec = dseries([Yvec.data; Y{i}.data], fd);
end
assert(size(Y, 1) == size(X, 1));
end