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adjust for ‘targets’ keyword instead of ‘trends’

time-shift
Houtan Bastani 2018-09-25 14:58:36 +02:00
parent 974bcd92ae
commit 973c3955f0
2 changed files with 30 additions and 30 deletions
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30
matlab/get_companion_matrix.m
View File

@ -70,17 +70,17 @@ switch auxiliary_model_type
end end
case 'trend_component' case 'trend_component'
% Get number of trends. % Get number of trends.
q = sum(M_.trend_component.(auxiliary_model_name).trends); q = sum(M_.trend_component.(auxiliary_model_name).targets);
% Get the number of equations with error correction. % Get the number of equations with error correction.
m = n - q; m = n - q;
% Get the indices of trend and EC equations in the auxiliary model. % Get the indices of trend and EC equations in the auxiliary model.
trend_eqnums_in_auxiliary_model = find(M_.trend_component.(auxiliary_model_name).trends); target_eqnums_in_auxiliary_model = find(M_.trend_component.(auxiliary_model_name).targets);
ecm_eqnums_in_auxiliary_model = find(~M_.trend_component.(auxiliary_model_name).trends); ecm_eqnums_in_auxiliary_model = find(~M_.trend_component.(auxiliary_model_name).targets);
% Get the indices of trend equations in model. % Get the indices of trend equations in model.
trend_eqnums = M_.trend_component.(auxiliary_model_name).trend_eqn; target_eqnums = M_.trend_component.(auxiliary_model_name).target_eqn;
% REMARK It is assumed that the non trend equations are the error correction % REMARK It is assumed that the non trend equations are the error correction
% equations. We assume that the model can be cast in the following form: % equations. We assume that the model can be cast in the following form:
@ -124,36 +124,36 @@ switch auxiliary_model_type
% Check that there is only one variable on the rhs and update trend_autoregressive_variables. % Check that there is only one variable on the rhs and update trend_autoregressive_variables.
v = M_.trend_component.(auxiliary_model_name).rhs.vars_at_eq{id_trend_in_var(i)}.var; v = M_.trend_component.(auxiliary_model_name).rhs.vars_at_eq{id_trend_in_var(i)}.var;
if length(v) ~= 1 if length(v) ~= 1
error('A trend equation (%s) must have only one variable on the RHS!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('A trend equation (%s) must have only one variable on the RHS!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
% Check that the variables on lhs and rhs have the same difference orders. % Check that the variables on lhs and rhs have the same difference orders.
if get_difference_order(trend_variables(i)) ~= get_difference_order(v) if get_difference_order(trend_variables(i)) ~= get_difference_order(v)
error('In a trend equation (%s) LHS and RHS variables must have the same difference orders!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) LHS and RHS variables must have the same difference orders!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
% Check that the trend equation is autoregressive. % Check that the trend equation is autoregressive.
if isdiff(v) if isdiff(v)
if ~M_.aux_vars(get_aux_variable_id(v)).type == 9 if ~M_.aux_vars(get_aux_variable_id(v)).type == 9
error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
else else
if M_.aux_vars(get_aux_variable_id(v)).orig_index ~= trend_variables(i) if M_.aux_vars(get_aux_variable_id(v)).orig_index ~= trend_variables(i)
error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
end end
else else
if get_aux_variable_id(v) && M_.aux_vars(get_aux_variable_id(v)).endo_index ~= trend_variables(i) if get_aux_variable_id(v) && M_.aux_vars(get_aux_variable_id(v)).endo_index ~= trend_variables(i)
error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
end end
end end
% Reorder trend_eqnums_in_auxiliary_model to ensure that the order of % Reorder target_eqnums_in_auxiliary_model to ensure that the order of
% the trend variables matches the order of the error correction % the trend variables matches the order of the error correction
% variables. % variables.
[~,reorder] = ismember(M_.trend_component.(auxiliary_model_name).lhs(trend_eqnums_in_auxiliary_model), ... [~,reorder] = ismember(M_.trend_component.(auxiliary_model_name).lhs(target_eqnums_in_auxiliary_model), ...
M_.trend_component.(auxiliary_model_name).trend_vars(M_.trend_component.(auxiliary_model_name).trend_vars > 0)); M_.trend_component.(auxiliary_model_name).target_vars(M_.trend_component.(auxiliary_model_name).target_vars > 0));
trend_eqnums_in_auxiliary_model = trend_eqnums_in_auxiliary_model(reorder); target_eqnums_in_auxiliary_model = target_eqnums_in_auxiliary_model(reorder);
% Get the EC matrix (the EC term is assumend to be in t-1). % Get the EC matrix (the EC term is assumend to be in t-1).
% %
@ -162,8 +162,8 @@ switch auxiliary_model_type
% %
% Build B matrices (VAR in levels) % Build B matrices (VAR in levels)
B(ecm_eqnums_in_auxiliary_model, ecm_eqnums_in_auxiliary_model, 1) = eye(m) + A0 + AR(:,:,1); B(ecm_eqnums_in_auxiliary_model, ecm_eqnums_in_auxiliary_model, 1) = eye(m) + A0 + AR(:,:,1);
B(ecm_eqnums_in_auxiliary_model, trend_eqnums_in_auxiliary_model) = -A0; B(ecm_eqnums_in_auxiliary_model, target_eqnums_in_auxiliary_model) = -A0;
B(trend_eqnums_in_auxiliary_model, trend_eqnums_in_auxiliary_model) = eye(q); B(target_eqnums_in_auxiliary_model, target_eqnums_in_auxiliary_model) = eye(q);
for i = 2:p for i = 2:p
B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,i) = AR(:,:,i) - AR(:,:,i-1); B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,i) = AR(:,:,i) - AR(:,:,i-1);
end end

30
matlab/get_companion_matrix_legacy.m
View File

@ -67,14 +67,14 @@ switch auxiliary_model_type
M_.var.(auxiliary_model_name).list_of_variables_in_companion_var = M_.endo_names(M_.var.(auxiliary_model_name).lhs); M_.var.(auxiliary_model_name).list_of_variables_in_companion_var = M_.endo_names(M_.var.(auxiliary_model_name).lhs);
case 'trend_component' case 'trend_component'
% Get number of trends. % Get number of trends.
q = sum(M_.trend_component.(auxiliary_model_name).trends); q = sum(M_.trend_component.(auxiliary_model_name).targets);
% Get the number of equations with error correction. % Get the number of equations with error correction.
m = n-q; m = n-q;
% Get the indices of trend and EC equations in the auxiliary model. % Get the indices of trend and EC equations in the auxiliary model.
trend_eqnums_in_auxiliary_model = find(M_.trend_component.(auxiliary_model_name).trends); target_eqnums_in_auxiliary_model = find(M_.trend_component.(auxiliary_model_name).targets);
ecm_eqnums_in_auxiliary_model = find(~M_.trend_component.(auxiliary_model_name).trends); ecm_eqnums_in_auxiliary_model = find(~M_.trend_component.(auxiliary_model_name).targets);
% Get the indices of trend equations in model. % Get the indices of trend equations in model.
trend_eqnums = M_.trend_component.(auxiliary_model_name).trend_eqn; target_eqnums = M_.trend_component.(auxiliary_model_name).target_eqn;
% REMARK It is assumed that the non trend equations are the error correction % REMARK It is assumed that the non trend equations are the error correction
% equations. We assume that the model can be cast in the following form: % equations. We assume that the model can be cast in the following form:
% %
@ -115,34 +115,34 @@ switch auxiliary_model_type
% Check that there is only one variable on the rhs and update trend_autoregressive_variables. % Check that there is only one variable on the rhs and update trend_autoregressive_variables.
v = M_.trend_component.(auxiliary_model_name).rhs.vars_at_eq{id_trend_in_var(i)}.var; v = M_.trend_component.(auxiliary_model_name).rhs.vars_at_eq{id_trend_in_var(i)}.var;
if length(v)~=1 if length(v)~=1
error('A trend equation (%s) must have only one variable on the RHS!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('A trend equation (%s) must have only one variable on the RHS!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
trend_autoregressive_variables(i) = v; trend_autoregressive_variables(i) = v;
% Check that the variables on lhs and rhs have the same difference orders. % Check that the variables on lhs and rhs have the same difference orders.
if get_difference_order(trend_variables(i))~=get_difference_order(trend_autoregressive_variables(i)) if get_difference_order(trend_variables(i))~=get_difference_order(trend_autoregressive_variables(i))
error('In a trend equation (%s) LHS and RHS variables must have the same difference orders!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) LHS and RHS variables must have the same difference orders!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
% Check that the trend equation is autoregressive. % Check that the trend equation is autoregressive.
if isdiff(v) if isdiff(v)
if ~M_.aux_vars(get_aux_variable_id(v)).type==9 if ~M_.aux_vars(get_aux_variable_id(v)).type==9
error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
else else
if M_.aux_vars(get_aux_variable_id(v)).orig_index~=trend_variables(i) if M_.aux_vars(get_aux_variable_id(v)).orig_index~=trend_variables(i)
error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
end end
else else
if get_aux_variable_id(v) && M_.aux_vars(get_aux_variable_id(v)).endo_index~=trend_variables(i) if get_aux_variable_id(v) && M_.aux_vars(get_aux_variable_id(v)).endo_index~=trend_variables(i)
error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{trend_eqnums(i)}) error('In a trend equation (%s) RHS variable must be lagged LHS variable!', M_.trend_component.(auxiliary_model_name).eqtags{target_eqnums(i)})
end end
end end
end end
% Reorder trend_eqnums_in_auxiliary_model to ensure that the order of % Reorder target_eqnums_in_auxiliary_model to ensure that the order of
% the trend variables matches the order of the error correction % the trend variables matches the order of the error correction
% variables. % variables.
[~,reorder] = ismember(M_.trend_component.(auxiliary_model_name).lhs(trend_eqnums_in_auxiliary_model), ... [~,reorder] = ismember(M_.trend_component.(auxiliary_model_name).lhs(target_eqnums_in_auxiliary_model), ...
M_.trend_component.(auxiliary_model_name).trend_vars(find(M_.trend_component.(auxiliary_model_name).trend_vars>0))); M_.trend_component.(auxiliary_model_name).target_vars(find(M_.trend_component.(auxiliary_model_name).target_vars>0)));
trend_eqnums_in_auxiliary_model = trend_eqnums_in_auxiliary_model(reorder); target_eqnums_in_auxiliary_model = target_eqnums_in_auxiliary_model(reorder);
% Get the EC matrix (the EC term is assumend to be in t-1). % Get the EC matrix (the EC term is assumend to be in t-1).
% %
% TODO: Check that the EC term is the difference between the % TODO: Check that the EC term is the difference between the
@ -153,8 +153,8 @@ switch auxiliary_model_type
AR = oo_.trend_component.(auxiliary_model_name).ar(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,:); AR = oo_.trend_component.(auxiliary_model_name).ar(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,:);
% Build B matrices (VAR in levels) % Build B matrices (VAR in levels)
B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,1) = eye(m)+A0+AR(:,:,1); B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,1) = eye(m)+A0+AR(:,:,1);
B(ecm_eqnums_in_auxiliary_model,trend_eqnums_in_auxiliary_model) = -A0; B(ecm_eqnums_in_auxiliary_model,target_eqnums_in_auxiliary_model) = -A0;
B(trend_eqnums_in_auxiliary_model,trend_eqnums_in_auxiliary_model) = eye(q); B(target_eqnums_in_auxiliary_model,target_eqnums_in_auxiliary_model) = eye(q);
for i=2:p for i=2:p
B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,i) = AR(:,:,i)-AR(:,:,i-1); B(ecm_eqnums_in_auxiliary_model,ecm_eqnums_in_auxiliary_model,i) = AR(:,:,i)-AR(:,:,i-1);
end end