add pooled_fgls (with test)
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@ -0,0 +1,83 @@
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function pooled_fgls(ds, param_common, param_regex)
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% function pooled_fgls(ds, param_common, param_regex)
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% Run Pooled FGLS
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% Apply parameter values found to corresponding parameter values in the
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% other blocks of the model
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%
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% INPUTS
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% ds [dseries] data to use in estimation
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% param_common [cellstr] List of values to insert into param_regex,
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% e.g. country codes {'FR', 'DE', 'IT'}
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% param_regex [cellstr] Where '*' should be replaced by the first
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% value in param_common
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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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% dynare must be run with the option: json=parse
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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_ oo_
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pooled_ols(ds, param_common, param_regex, true, 'pooled_fgls');
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neq = length(fieldnames(oo_.pooled_fgls.resid));
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nobs = length(oo_.pooled_fgls.sample_range);
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for i = 1:neq
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ui = oo_.pooled_fgls.resid.(oo_.pooled_fgls.residnames{i});
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for j = i:neq
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uj = oo_.pooled_fgls.resid.(oo_.pooled_fgls.residnames{j});
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M_.Sigma(i, j) = (ui'*uj)/nobs;
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M_.Sigma(j, i) = M_.Sigma(i, j);
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end
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end
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kLeye = kron(chol(M_.Sigma), eye(nobs));
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[q, r] = qr(kLeye*oo_.pooled_fgls.X, 0);
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oo_.pooled_fgls.beta = r\(q'*kLeye*oo_.pooled_fgls.Y);
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param_names_trim = cellstr(M_.param_names);
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regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
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pbeta = oo_.pooled_fgls.pbeta;
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assigned_idxs = false(size(pbeta));
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for i = 1:length(param_regex)
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beta_idx = strcmp(pbeta, strrep(param_regex{i}, '*', oo_.pooled_fgls.country_name));
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assigned_idxs = assigned_idxs | beta_idx;
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value = oo_.pooled_fgls.beta(beta_idx);
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assert(~isempty(value));
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M_.params(~cellfun(@isempty, regexp(param_names_trim, ...
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strrep(param_regex{i}, '*', regexcountries)))) = value;
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end
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idxs = find(assigned_idxs == 0);
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values = oo_.pooled_fgls.beta(idxs);
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names = pbeta(idxs);
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assert(length(values) == length(names));
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for i = 1:length(idxs)
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M_.params(strcmp(param_names_trim, names{i})) = values(i);
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end
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'X');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'Y');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'varcovar');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'residnames');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'pbeta');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'country_name');
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end
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@ -1,5 +1,5 @@
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function pooled_ols(ds, param_common, param_regex)
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function pooled_ols(ds, param_common, param_regex, overlapping_dates, save_structure_name)
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% function pooled_ols(ds, param_common, param_regex)
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% pooled_ols(ds, param_common, param_regex, overlapping_dates, save_structure_name)
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% Run Pooled OLS
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% Run Pooled OLS
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% Apply parameter values found to corresponding parameter values in the
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% Apply parameter values found to corresponding parameter values in the
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% other blocks of the model
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% other blocks of the model
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@ -10,6 +10,10 @@ function pooled_ols(ds, param_common, param_regex)
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% e.g. country codes {'FR', 'DE', 'IT'}
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% e.g. country codes {'FR', 'DE', 'IT'}
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% param_regex [cellstr] Where '*' should be replaced by the first
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% param_regex [cellstr] Where '*' should be replaced by the first
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% value in param_common
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% value in param_common
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% overlapping_dates [bool] if the dates across the equations should
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% overlap
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% save_structure_name [string] Name of structure in oo_ to save results in
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% (pooled_ols by default)
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%
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%
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% OUTPUTS
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% OUTPUTS
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% none
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% none
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@ -38,6 +42,7 @@ 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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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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if isempty(param_common) && isempty(param_regex)
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disp('Performing OLS instead of Pooled OLS...')
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disp('Performing OLS instead of Pooled OLS...')
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dyn_ols(ds);
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dyn_ols(ds);
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@ -46,12 +51,24 @@ end
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assert(~isempty(param_common) && iscellstr(param_common), 'The second argument must be a cellstr');
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assert(~isempty(param_common) && iscellstr(param_common), 'The second argument must be a cellstr');
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assert(~isempty(param_regex) && iscellstr(param_regex), 'The third argument must be a cellstr');
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assert(~isempty(param_regex) && iscellstr(param_regex), 'The third argument must be a cellstr');
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if nargin < 4
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overlapping_dates = false;
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else
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assert(islogical(overlapping_dates) && length(overlapping_dates) == 1, 'The fourth argument must be a bool');
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end
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if nargin < 5
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save_structure_name = 'pooled_ols';
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else
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assert(ischar(save_structure_name), 'The fifth argument must be a string');
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end
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%% Read JSON
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jsonfile = [M_.fname '_original.json'];
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jsonfile = [M_.fname '_original.json'];
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if exist(jsonfile, 'file') ~= 2
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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=parse option (See the Dynare invocation section in the reference manual).', jsonfile);
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end
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end
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%% Read JSON
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jsonmodel = loadjson(jsonfile);
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jsonmodel = loadjson(jsonfile);
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jsonmodel = jsonmodel.model;
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jsonmodel = jsonmodel.model;
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[lhs, rhs, lineno] = getEquationsByTags(jsonmodel);
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[lhs, rhs, lineno] = getEquationsByTags(jsonmodel);
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@ -78,6 +95,8 @@ pbeta = {};
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Y = [];
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Y = [];
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X = [];
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X = [];
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startidxs = zeros(length(lhs), 1);
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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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residnames = cell(length(lhs), 1);
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for i = 1:length(lhs)
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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_ = strsplit(rhs{i}, {'+','-','*','/','^','log(','ln(','log10(','exp(','(',')','diff('});
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@ -161,14 +180,49 @@ for i = 1:length(lhs)
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lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
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lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
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startidxs(i) = length(Y) + 1;
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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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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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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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if overlapping_dates
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maxfp = max([startdates{:}]);
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minlp = min([enddates{:}]);
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nobs = minlp - maxfp;
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newY = zeros(nobs*length(lhs), 1);
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newX = zeros(nobs*length(lhs), columns(X));
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newstartidxs = zeros(size(startidxs));
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newstartidxs(1) = 1;
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for i = 1:length(lhs)
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if i == length(lhs)
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yds = dseries(Y(startidxs(i):end), startdates{i});
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xds = dseries(X(startidxs(i):end, :), startdates{i});
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else
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yds = dseries(Y(startidxs(i):startidxs(i+1)-1), startdates{i});
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xds = dseries(X(startidxs(i):startidxs(i+1)-1, :), startdates{i});
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end
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newY(newstartidxs(i):newstartidxs(i) + nobs, 1) = yds(maxfp:minlp).data;
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newX(newstartidxs(i):newstartidxs(i) + nobs, :) = xds(maxfp:minlp, :).data;
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if i ~= length(lhs)
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newstartidxs(i+1) = newstartidxs(i) + nobs + 1;
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end
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end
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Y = newY;
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X = newX;
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startidxs = newstartidxs;
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oo_.(save_structure_name).sample_range = maxfp:minlp;
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oo_.(save_structure_name).residnames = residnames;
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oo_.(save_structure_name).Y = Y;
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oo_.(save_structure_name).X = X;
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oo_.(save_structure_name).pbeta = pbeta;
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oo_.(save_structure_name).country_name = country_name;
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end
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%% Estimation
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%% Estimation
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% Estimated Parameters
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% Estimated Parameters
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[q, r] = qr(X, 0);
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[q, r] = qr(X, 0);
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oo_.pooled_ols.beta = r\(q'*Y);
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oo_.(save_structure_name).beta = r\(q'*Y);
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% Assign parameter values back to parameters using param_regex & param_common
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% Assign parameter values back to parameters using param_regex & param_common
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param_names_trim = cellfun(@strtrim, num2cell(M_.param_names(:,:),2), 'Uniform', 0);
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param_names_trim = cellfun(@strtrim, num2cell(M_.param_names(:,:),2), 'Uniform', 0);
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@ -177,28 +231,28 @@ assigned_idxs = false(size(pbeta));
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for i = 1:length(param_regex)
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for i = 1:length(param_regex)
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beta_idx = strcmp(pbeta, strrep(param_regex{i}, '*', country_name));
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beta_idx = strcmp(pbeta, strrep(param_regex{i}, '*', country_name));
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assigned_idxs = assigned_idxs | beta_idx;
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assigned_idxs = assigned_idxs | beta_idx;
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value = oo_.pooled_ols.beta(beta_idx);
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value = oo_.(save_structure_name).beta(beta_idx);
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assert(~isempty(value));
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assert(~isempty(value));
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M_.params(~cellfun(@isempty, regexp(param_names_trim, ...
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M_.params(~cellfun(@isempty, regexp(param_names_trim, ...
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strrep(param_regex{i}, '*', regexcountries)))) = value;
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strrep(param_regex{i}, '*', regexcountries)))) = value;
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end
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end
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idxs = find(assigned_idxs == 0);
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idxs = find(assigned_idxs == 0);
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values = oo_.pooled_ols.beta(idxs);
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values = oo_.(save_structure_name).beta(idxs);
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names = pbeta(idxs);
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names = pbeta(idxs);
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assert(length(values) == length(names));
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assert(length(values) == length(names));
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for i = 1:length(idxs)
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for i = 1:length(idxs)
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M_.params(strcmp(param_names_trim, names{i})) = values(i);
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M_.params(strcmp(param_names_trim, names{i})) = values(i);
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end
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end
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residuals = Y - X * oo_.pooled_ols.beta;
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residuals = Y - X * oo_.(save_structure_name).beta;
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for i = 1:length(lhs)
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for i = 1:length(lhs)
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if i == length(lhs)
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if i == length(lhs)
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oo_.pooled_ols.resid.(residnames{i}) = residuals(startidxs(i):end);
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oo_.(save_structure_name).resid.(residnames{i}) = residuals(startidxs(i):end);
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else
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else
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oo_.pooled_ols.resid.(residnames{i}) = residuals(startidxs(i):startidxs(i+1)-1);
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oo_.(save_structure_name).resid.(residnames{i}) = residuals(startidxs(i):startidxs(i+1)-1);
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end
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end
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oo_.pooled_ols.varcovar.(['eq' num2str(i)]) = oo_.pooled_ols.resid.(residnames{i})*oo_.pooled_ols.resid.(residnames{i})';
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oo_.(save_structure_name).varcovar.(['eq' num2str(i)]) = oo_.(save_structure_name).resid.(residnames{i})*oo_.(save_structure_name).resid.(residnames{i})';
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idx = find(strcmp(residnames{i}, M_exo_names_trim));
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idx = find(strcmp(residnames{i}, M_exo_names_trim));
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M_.Sigma_e(idx, idx) = var(oo_.pooled_ols.resid.(residnames{i}));
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M_.Sigma_e(idx, idx) = var(oo_.(save_structure_name).resid.(residnames{i}));
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end
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end
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end
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end
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@ -0,0 +1,147 @@
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// --+ options: json=compute +--
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/* REMARK
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** ------
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**
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** You need to have the first line on top of the mod file. The options defined on this line are passed
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** to the dynare command (you can add other options, separated by spaces or commas). The option defined
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** here is mandatory for the decomposition. It forces Dynare to output another representation of the
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** model in JSON file (additionaly to the matlab files) which is used here to manipulate the equations.
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*/
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var
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U2_Q_YED
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U2_G_YER
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U2_STN
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U2_ESTN
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U2_EHIC
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DE_Q_YED
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DE_G_YER
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DE_EHIC
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;
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varexo
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res_U2_Q_YED
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res_U2_G_YER
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res_U2_STN
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res_U2_ESTN
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res_U2_EHIC
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res_DE_Q_YED
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res_DE_G_YER
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res_DE_EHIC
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;
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parameters
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u2_q_yed_ecm_u2_q_yed_L1
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u2_q_yed_ecm_u2_stn_L1
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u2_q_yed_u2_g_yer_L1
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u2_q_yed_u2_stn_L1
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u2_g_yer_ecm_u2_q_yed_L1
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u2_g_yer_ecm_u2_stn_L1
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u2_g_yer_u2_q_yed_L1
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u2_g_yer_u2_g_yer_L1
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u2_g_yer_u2_stn_L1
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u2_stn_ecm_u2_q_yed_L1
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u2_stn_ecm_u2_stn_L1
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u2_stn_u2_q_yed_L1
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u2_stn_u2_g_yer_L1
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u2_estn_u2_estn_L1
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u2_ehic_u2_ehic_L1
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de_q_yed_ecm_de_q_yed_L1
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de_q_yed_ecm_u2_stn_L1
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de_q_yed_de_g_yer_L1
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de_q_yed_u2_stn_L1
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de_g_yer_ecm_de_q_yed_L1
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de_g_yer_ecm_u2_stn_L1
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de_g_yer_de_q_yed_L1
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de_g_yer_de_g_yer_L1
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de_g_yer_u2_stn_L1
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de_ehic_de_ehic_L1
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;
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|
|
||||||
|
u2_q_yed_ecm_u2_q_yed_L1 = -0.82237516589315 ;
|
||||||
|
u2_q_yed_ecm_u2_stn_L1 = -0.323715338568976 ;
|
||||||
|
u2_q_yed_u2_g_yer_L1 = 0.0401361895021084 ;
|
||||||
|
u2_q_yed_u2_stn_L1 = 0.058397703958446 ;
|
||||||
|
u2_g_yer_ecm_u2_q_yed_L1 = 0.0189896046977421 ;
|
||||||
|
u2_g_yer_ecm_u2_stn_L1 = -0.109597659887432 ;
|
||||||
|
u2_g_yer_u2_q_yed_L1 = 0.0037667967632025 ;
|
||||||
|
u2_g_yer_u2_g_yer_L1 = 0.480506381923644 ;
|
||||||
|
u2_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
u2_stn_ecm_u2_q_yed_L1 = -0.0438500662608356 ;
|
||||||
|
u2_stn_ecm_u2_stn_L1 = -0.153283917138772 ;
|
||||||
|
u2_stn_u2_q_yed_L1 = 0.0328744983772825 ;
|
||||||
|
u2_stn_u2_g_yer_L1 = 0.292121949736756 ;
|
||||||
|
u2_estn_u2_estn_L1 = 1 ;
|
||||||
|
u2_ehic_u2_ehic_L1 = 1 ;
|
||||||
|
|
||||||
|
de_q_yed_ecm_de_q_yed_L1 = -0.822375165893149 ;
|
||||||
|
de_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
|
||||||
|
de_q_yed_de_g_yer_L1 = 0.0401361895021082 ;
|
||||||
|
de_q_yed_u2_stn_L1 = 0.0583977039584461 ;
|
||||||
|
de_g_yer_ecm_de_q_yed_L1 = 0.0189896046977422 ;
|
||||||
|
de_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
|
||||||
|
de_g_yer_de_q_yed_L1 = 0.00376679676320256;
|
||||||
|
de_g_yer_de_g_yer_L1 = 0.480506381923643 ;
|
||||||
|
de_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
de_ehic_de_ehic_L1 = 1 ;
|
||||||
|
|
||||||
|
|
||||||
|
model;
|
||||||
|
|
||||||
|
diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
|
||||||
|
+ u2_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
|
||||||
|
+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_U2_Q_YED ;
|
||||||
|
|
||||||
|
diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
|
||||||
|
+ u2_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
|
||||||
|
+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
|
||||||
|
+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_U2_G_YER ;
|
||||||
|
|
||||||
|
diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
|
||||||
|
+ u2_stn_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
|
||||||
|
+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
|
||||||
|
+ res_U2_STN ;
|
||||||
|
|
||||||
|
U2_ESTN = u2_estn_u2_estn_L1 * U2_ESTN(-1)
|
||||||
|
+ res_U2_ESTN ;
|
||||||
|
|
||||||
|
U2_EHIC = u2_ehic_u2_ehic_L1 * U2_EHIC(-1)
|
||||||
|
+ res_U2_EHIC ;
|
||||||
|
|
||||||
|
diff(DE_Q_YED) = de_q_yed_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
|
||||||
|
+ de_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ de_q_yed_de_g_yer_L1 * diff(DE_G_YER(-1))
|
||||||
|
+ de_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_DE_Q_YED ;
|
||||||
|
|
||||||
|
diff(DE_G_YER) = de_g_yer_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
|
||||||
|
+ de_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ de_g_yer_de_q_yed_L1 * diff(DE_Q_YED(-1))
|
||||||
|
+ de_g_yer_de_g_yer_L1 * diff(DE_G_YER(-1))
|
||||||
|
+ de_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_DE_G_YER ;
|
||||||
|
|
||||||
|
DE_EHIC = de_ehic_de_ehic_L1 * DE_EHIC(-1)
|
||||||
|
+ res_DE_EHIC ;
|
||||||
|
|
||||||
|
end;
|
||||||
|
|
||||||
|
pooled_fgls(dseries('data_var.mat'), ...
|
||||||
|
{'de','u2'}, ...
|
||||||
|
{'*_q_yed_ecm_*_q_yed_L1', ...
|
||||||
|
'*_q_yed_ecm_u2_stn_L1', ...
|
||||||
|
'*_q_yed_*_g_yer_L1', ...
|
||||||
|
'*_q_yed_u2_stn_L1', ...
|
||||||
|
'*_g_yer_ecm_*_q_yed_L1', ...
|
||||||
|
'*_g_yer_ecm_u2_stn_L1', ...
|
||||||
|
'*_g_yer_*_q_yed_L1', ...
|
||||||
|
'*_g_yer_*_g_yer_L1', ...
|
||||||
|
'*_g_yer_u2_stn_L1', ...
|
||||||
|
'*_ehic_*_ehic_L1'});
|
|
@ -0,0 +1,151 @@
|
||||||
|
// --+ options: json=compute +--
|
||||||
|
|
||||||
|
/* REMARK
|
||||||
|
** ------
|
||||||
|
**
|
||||||
|
** You need to have the first line on top of the mod file. The options defined on this line are passed
|
||||||
|
** to the dynare command (you can add other options, separated by spaces or commas). The option defined
|
||||||
|
** here is mandatory for the decomposition. It forces Dynare to output another representation of the
|
||||||
|
** model in JSON file (additionaly to the matlab files) which is used here to manipulate the equations.
|
||||||
|
*/
|
||||||
|
|
||||||
|
var
|
||||||
|
U2_Q_YED
|
||||||
|
U2_G_YER
|
||||||
|
U2_STN
|
||||||
|
U2_ESTN
|
||||||
|
U2_EHIC
|
||||||
|
DE_Q_YED
|
||||||
|
DE_G_YER
|
||||||
|
DE_EHIC
|
||||||
|
|
||||||
|
;
|
||||||
|
|
||||||
|
varexo
|
||||||
|
res_U2_Q_YED
|
||||||
|
res_U2_G_YER
|
||||||
|
res_U2_STN
|
||||||
|
res_U2_ESTN
|
||||||
|
res_U2_EHIC
|
||||||
|
res_DE_Q_YED
|
||||||
|
res_DE_G_YER
|
||||||
|
res_DE_EHIC
|
||||||
|
;
|
||||||
|
|
||||||
|
parameters
|
||||||
|
u2_q_yed_ecm_u2_q_yed_L1
|
||||||
|
u2_q_yed_ecm_u2_stn_L1
|
||||||
|
u2_q_yed_u2_g_yer_L1
|
||||||
|
u2_q_yed_u2_stn_L1
|
||||||
|
u2_g_yer_ecm_u2_q_yed_L1
|
||||||
|
u2_g_yer_ecm_u2_stn_L1
|
||||||
|
u2_g_yer_u2_q_yed_L1
|
||||||
|
u2_g_yer_u2_g_yer_L1
|
||||||
|
u2_g_yer_u2_stn_L1
|
||||||
|
u2_stn_ecm_u2_q_yed_L1
|
||||||
|
u2_stn_ecm_u2_stn_L1
|
||||||
|
u2_stn_u2_q_yed_L1
|
||||||
|
u2_stn_u2_g_yer_L1
|
||||||
|
u2_estn_u2_estn_L1
|
||||||
|
u2_ehic_u2_ehic_L1
|
||||||
|
|
||||||
|
de_q_yed_ecm_de_q_yed_L1
|
||||||
|
de_q_yed_ecm_u2_stn_L1
|
||||||
|
de_q_yed_de_g_yer_L1
|
||||||
|
de_q_yed_u2_stn_L1
|
||||||
|
de_g_yer_ecm_de_q_yed_L1
|
||||||
|
de_g_yer_ecm_u2_stn_L1
|
||||||
|
de_g_yer_de_q_yed_L1
|
||||||
|
de_g_yer_de_g_yer_L1
|
||||||
|
de_g_yer_u2_stn_L1
|
||||||
|
de_ehic_de_ehic_L1
|
||||||
|
|
||||||
|
|
||||||
|
;
|
||||||
|
|
||||||
|
u2_q_yed_ecm_u2_q_yed_L1 = -0.82237516589315 ;
|
||||||
|
u2_q_yed_ecm_u2_stn_L1 = -0.323715338568976 ;
|
||||||
|
u2_q_yed_u2_g_yer_L1 = 0.0401361895021084 ;
|
||||||
|
u2_q_yed_u2_stn_L1 = 0.058397703958446 ;
|
||||||
|
u2_g_yer_ecm_u2_q_yed_L1 = 0.0189896046977421 ;
|
||||||
|
u2_g_yer_ecm_u2_stn_L1 = -0.109597659887432 ;
|
||||||
|
u2_g_yer_u2_q_yed_L1 = 0.0037667967632025 ;
|
||||||
|
u2_g_yer_u2_g_yer_L1 = 0.480506381923644 ;
|
||||||
|
u2_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
u2_stn_ecm_u2_q_yed_L1 = -0.0438500662608356 ;
|
||||||
|
u2_stn_ecm_u2_stn_L1 = -0.153283917138772 ;
|
||||||
|
u2_stn_u2_q_yed_L1 = 0.0328744983772825 ;
|
||||||
|
u2_stn_u2_g_yer_L1 = 0.292121949736756 ;
|
||||||
|
u2_estn_u2_estn_L1 = 1 ;
|
||||||
|
u2_ehic_u2_ehic_L1 = 1 ;
|
||||||
|
|
||||||
|
de_q_yed_ecm_de_q_yed_L1 = -0.822375165893149 ;
|
||||||
|
de_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
|
||||||
|
de_q_yed_de_g_yer_L1 = 0.0401361895021082 ;
|
||||||
|
de_q_yed_u2_stn_L1 = 0.0583977039584461 ;
|
||||||
|
de_g_yer_ecm_de_q_yed_L1 = 0.0189896046977422 ;
|
||||||
|
de_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
|
||||||
|
de_g_yer_de_q_yed_L1 = 0.00376679676320256;
|
||||||
|
de_g_yer_de_g_yer_L1 = 0.480506381923643 ;
|
||||||
|
de_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
de_ehic_de_ehic_L1 = 1 ;
|
||||||
|
|
||||||
|
|
||||||
|
model(linear);
|
||||||
|
|
||||||
|
diff(U2_Q_YED) = u2_q_yed_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
|
||||||
|
+ u2_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ u2_q_yed_u2_g_yer_L1 * diff(U2_G_YER(-1))
|
||||||
|
+ u2_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_U2_Q_YED ;
|
||||||
|
|
||||||
|
diff(U2_G_YER) = u2_g_yer_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
|
||||||
|
+ u2_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ u2_g_yer_u2_q_yed_L1 * diff(U2_Q_YED(-1))
|
||||||
|
+ u2_g_yer_u2_g_yer_L1 * diff(U2_G_YER(-1))
|
||||||
|
+ u2_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_U2_G_YER ;
|
||||||
|
|
||||||
|
diff(U2_STN) = u2_stn_ecm_u2_q_yed_L1 * (U2_Q_YED(-1) - U2_EHIC(-1))
|
||||||
|
+ u2_stn_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ u2_stn_u2_q_yed_L1 * diff(U2_Q_YED(-1))
|
||||||
|
+ u2_stn_u2_g_yer_L1 * diff(U2_G_YER(-1))
|
||||||
|
+ res_U2_STN ;
|
||||||
|
|
||||||
|
U2_ESTN = u2_estn_u2_estn_L1 * U2_ESTN(-1)
|
||||||
|
+ res_U2_ESTN ;
|
||||||
|
|
||||||
|
U2_EHIC = u2_ehic_u2_ehic_L1 * U2_EHIC(-1)
|
||||||
|
+ res_U2_EHIC ;
|
||||||
|
|
||||||
|
diff(DE_Q_YED) = de_q_yed_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
|
||||||
|
+ de_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ de_q_yed_de_g_yer_L1 * diff(DE_G_YER(-1))
|
||||||
|
+ de_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_DE_Q_YED ;
|
||||||
|
|
||||||
|
diff(DE_G_YER) = de_g_yer_ecm_de_q_yed_L1 * (DE_Q_YED(-1) - DE_EHIC(-1))
|
||||||
|
+ de_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ de_g_yer_de_q_yed_L1 * diff(DE_Q_YED(-1))
|
||||||
|
+ de_g_yer_de_g_yer_L1 * diff(DE_G_YER(-1))
|
||||||
|
+ de_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_DE_G_YER ;
|
||||||
|
|
||||||
|
DE_EHIC = de_ehic_de_ehic_L1 * DE_EHIC(-1)
|
||||||
|
+ res_DE_EHIC ;
|
||||||
|
|
||||||
|
|
||||||
|
|
||||||
|
end;
|
||||||
|
|
||||||
|
shocks;
|
||||||
|
var res_U2_Q_YED = 0.005;
|
||||||
|
var res_U2_G_YER = 0.005;
|
||||||
|
var res_U2_STN = 0.005;
|
||||||
|
var res_U2_ESTN = 0.005;
|
||||||
|
var res_U2_EHIC = 0.005;
|
||||||
|
var res_DE_Q_YED = 0.005;
|
||||||
|
var res_DE_G_YER = 0.005;
|
||||||
|
var res_DE_EHIC = 0.005;
|
||||||
|
end;
|
||||||
|
|
|
@ -0,0 +1,47 @@
|
||||||
|
close all
|
||||||
|
|
||||||
|
dynare panel_var_diff_NB_simulation_test.mod;
|
||||||
|
|
||||||
|
NSIMS = 1000;
|
||||||
|
|
||||||
|
calibrated_values = M_.params;
|
||||||
|
Sigma_e = M_.Sigma_e;
|
||||||
|
|
||||||
|
options_.bnlms.set_dynare_seed_to_default = false;
|
||||||
|
|
||||||
|
M_endo_names_trim = cellstr(M_.endo_names);
|
||||||
|
nparampool = length(M_.params);
|
||||||
|
BETA = zeros(NSIMS, nparampool);
|
||||||
|
for i=1:NSIMS
|
||||||
|
i
|
||||||
|
firstobs = rand(3, length(M_endo_names_trim));
|
||||||
|
M_.params = calibrated_values;
|
||||||
|
M_.Sigma_e = Sigma_e;
|
||||||
|
simdata = simul_backward_model(dseries(firstobs, dates('1995Q1'), M_endo_names_trim), 10000);
|
||||||
|
simdata = simdata(simdata.dates(5001:6000));
|
||||||
|
pooled_fgls(simdata, ...
|
||||||
|
{'de','u2'}, ...
|
||||||
|
{'*_q_yed_ecm_*_q_yed_L1', ...
|
||||||
|
'*_q_yed_ecm_u2_stn_L1', ...
|
||||||
|
'*_q_yed_*_g_yer_L1', ...
|
||||||
|
'*_q_yed_u2_stn_L1', ...
|
||||||
|
'*_g_yer_ecm_*_q_yed_L1', ...
|
||||||
|
'*_g_yer_ecm_u2_stn_L1', ...
|
||||||
|
'*_g_yer_*_q_yed_L1', ...
|
||||||
|
'*_g_yer_*_g_yer_L1', ...
|
||||||
|
'*_g_yer_u2_stn_L1', ...
|
||||||
|
'*_ehic_*_ehic_L1'});
|
||||||
|
BETA(i, :) = M_.params';
|
||||||
|
oldsim = simdata;
|
||||||
|
end
|
||||||
|
|
||||||
|
mean(BETA)' - calibrated_values
|
||||||
|
|
||||||
|
for i=1:nparampool
|
||||||
|
figure
|
||||||
|
hold on
|
||||||
|
title(strrep(M_.param_names(i,:), '_', '\_'));
|
||||||
|
histogram(BETA(:,i),50);
|
||||||
|
line([calibrated_values(i) calibrated_values(i)], [0 NSIMS/10], 'LineWidth', 2, 'Color', 'r');
|
||||||
|
hold off
|
||||||
|
end
|
Loading…
Reference in New Issue