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sur: fix bug in setting M_.Sigma_e entries

time-shift
Houtan Bastani 2019-02-13 14:08:50 +01:00
parent 29c3a86c81
commit 9391a770b1
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1 changed files with 11 additions and 3 deletions
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14
matlab/ols/sur.m
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@ -66,7 +66,7 @@ ast = handle_constant_eqs(get_ast(eqtags));
neqs = length(ast);
%% Find parameters and variable names in equations and setup estimation matrices
[Y, lhssub, X] = common_parsing(ds, ast, true);
[Y, lhssub, X, ~, ~, residnames] = common_parsing(ds, ast, true);
clear ast
nobs = Y{1}.nobs;
[Y, lhssub, X, constrained] = put_in_sur_form(Y, lhssub, X);
@ -136,8 +136,8 @@ beta0 = (r\(q'*Y.data));
for i = 1:maxit
resid = Y.data - X.data * beta0;
resid = reshape(resid, oo_.sur.(model_name).dof, neqs);
M_.Sigma_e = resid'*resid/oo_.sur.(model_name).dof;
kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.sur.(model_name).dof));
vcv = resid'*resid/oo_.sur.(model_name).dof;
kLeye = kron(chol(inv(vcv)), eye(oo_.sur.(model_name).dof));
[q, r] = qr(kLeye*X.data, 0);
oo_.sur.(model_name).beta = r\(q'*kLeye*Y.data);
if max(abs(beta0 - oo_.sur.(model_name).beta)) < tol
@ -149,6 +149,14 @@ for i = 1:maxit
end
end
% Set appropriate entries in M_.Sigma_e
idxs = zeros(length(residnames), 1);
for i = 1:length(residnames)
idxs(i) = find(strcmp(residnames{i}, M_.exo_names));
end
M_.Sigma_e(idxs, idxs) = vcv;
% Set params
M_.params(opidxs) = oo_.sur.(model_name).beta;
% Yhat