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Change R2 computation in multivariate models (SUR)

time-shift
Dóra Kocsis 2020-05-19 17:39:14 +02:00 committed by Stéphane Adjemian (Charybdis)
parent 3a692f8ab1
commit 8fe39ded76
Signed by: stepan
GPG Key ID: 295C1FE89E17EB3C
2 changed files with 19 additions and 11 deletions
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13
matlab/ols/sur.m
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@ -18,7 +18,7 @@ function varargout = sur(ds, param_names, eqtags, model_name, noniterative, ds_r
% SPECIAL REQUIREMENTS
% dynare must have been run with the option: json=compute
% Copyright (C) 2017-2019 Dynare Team
% Copyright (C) 2017-2020 Dynare Team
%
% This file is part of Dynare.
%
@ -193,13 +193,14 @@ varargout{1} = ds;
SS_res = oo_.sur.(model_name).resid'*oo_.sur.(model_name).resid;
oo_.sur.(model_name).s2 = SS_res/oo_.sur.(model_name).dof;
% R^2
ym = Y.data - mean(Y.data);
SS_tot = ym'*ym;
oo_.sur.(model_name).R2 = 1 - SS_res/SS_tot;
% System R^2 value of McElroy (1977) - formula from Judge et al. (1986, p. 477)
IMn = ones(nobs,nobs)*1/nobs;
D_T = eye(nobs)-IMn;
oo_.sur.(model_name).R2 = 1 - (oo_.sur.(model_name).resid' * kron(inv(M_.Sigma_e), eye(nobs)) * oo_.sur.(model_name).resid) ...
/ (oo_.sur.(model_name).Yobs.data' * kron(inv(M_.Sigma_e), D_T) * oo_.sur.(model_name).Yobs.data);
% Adjusted R^2
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);
oo_.sur.(model_name).adjR2 = 1 - (1 - oo_.sur.(model_name).R2) * ((neqs*nobs-neqs)/(neqs*nobs-size(oo_.sur.(model_name).beta,1)));
% Durbin-Watson
ediff = oo_.sur.(model_name).resid(2:oo_.sur.(model_name).dof) - oo_.sur.(model_name).resid(1:oo_.sur.(model_name).dof - 1);

17
matlab/surgibbs.m
View File

@ -21,7 +21,7 @@ function ds = surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin, eq
% SPECIAL REQUIREMENTS
% dynare must have been run with the option: json=compute
% Copyright (C) 2017-2019 Dynare Team
% Copyright (C) 2017-2020 Dynare Team
%
% This file is part of Dynare.
%
@ -107,6 +107,7 @@ end
hh = dyn_waitbar(0,'Please wait. Gibbs sampler...');
set(hh,'Name','Surgibbs estimation.');
residdraws = zeros(floor((ndraws-discarddraws)/thin), nobs, m);
for i = 1:ndraws
if ~mod(i,10)
dyn_waitbar(i/ndraws,hh,'Please wait. Gibbs sampler...');
@ -125,6 +126,7 @@ for i = 1:ndraws
if i > discarddraws
if thinidx == thin
oo_.surgibbs.(model_name).betadraws(drawidx, 1:nparams) = beta';
residdraws(drawidx, 1:nobs, 1:m) = resid;
thinidx = 1;
drawidx = drawidx + 1;
else
@ -175,10 +177,15 @@ oo_.surgibbs.(model_name).neqs = m;
SS_res = oo_.surgibbs.(model_name).resid'*oo_.surgibbs.(model_name).resid;
oo_.surgibbs.(model_name).s2 = SS_res/oo_.surgibbs.(model_name).dof;
% R^2
ym = Y - mean(Y);
SS_tot = ym'*ym;
oo_.surgibbs.(model_name).R2 = 1 - SS_res/SS_tot;
% Set appropriate entries in Sigma_e
posterior_mean_resid = reshape((sum(residdraws))/rows(residdraws), nobs, m);
Sigma_e = posterior_mean_resid'*posterior_mean_resid/oo_.surgibbs.(model_name).dof;
% System R^2 value of McElroy (1977) - formula from Judge et al. (1986, p. 477)
IMn = ones(nobs,nobs)*1/nobs;
D_T = eye(nobs)-IMn;
oo_.surgibbs.(model_name).R2 = 1 - (oo_.surgibbs.(model_name).resid' * kron(inv(Sigma_e), eye(nobs)) * oo_.surgibbs.(model_name).resid) ...
/ (oo_.surgibbs.(model_name).Yobs' * kron(inv(Sigma_e), D_T) * oo_.surgibbs.(model_name).Yobs);
% Write .inc file
write_param_init_inc_file('surgibbs', model_name, oo_.surgibbs.(model_name).param_idxs, oo_.surgibbs.(model_name).posterior.mean.beta);