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sur: fix bug in returned fitted value

time-shift
Houtan Bastani 2019-01-24 12:21:36 +01:00
parent ab5a19f08a
commit 9bc1833a36
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GPG Key ID: 000094FB955BE169
2 changed files with 24 additions and 8 deletions
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25
matlab/ols/put_in_sur_form.m
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@ -1,12 +1,14 @@
function [Yvec, Xmat, constrained] = put_in_sur_form(Y, X)
%function [Yvec, Xmat, constrained] = put_in_sur_form(Y, X)
function [Yvec, lhssubvec, Xmat, constrained] = put_in_sur_form(Y, lhssub, X)
%function [Yvec, lhssubvec, Xmat, constrained] = put_in_sur_form(Y, lhssub, X)
%
% INPUTS
% Y [cell array] dependent variables
% lhssub [cell array] RHS subtracted from LHS
% X [cell array] regressors
%
% OUTPUTS
% Yvec [vector] dependent variables
% lhssubvec [cell array] RHS subtracted from LHS
% Xmat [matrix] regressors
% constrained [cellstr] names of parameters that were constrained
%
@ -31,12 +33,16 @@ function [Yvec, Xmat, constrained] = put_in_sur_form(Y, X)
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
%% Check inputs
if nargin ~= 2
error('put_in_sur_form expects 2 arguments');
if nargin ~= 3
error('function expects 3 arguments');
end
if isempty(Y) || ~iscell(Y) || isempty(X) || ~iscell(X) || length(Y) ~= length(X)
error('put_in_sur_form arguments should be cells of the same size');
if isempty(Y) || ~iscell(Y) ...
|| isempty(lhssub) || ~iscell(lhssub) ...
|| isempty(X) || ~iscell(X) ...
|| length(Y) ~= length(X) ...
|| length(Y) ~= length(lhssub)
error('function arguments should be cells of the same size');
end
%% Organize output
@ -53,6 +59,7 @@ fd = Y{1}.firstdate;
nrows = sum(nobs);
Xmat = dseries();
Yvec = dseries();
lhssubvec = dseries();
constrained = {};
for i = 1:neqs
if ~isempty(X{i})
@ -76,6 +83,12 @@ for i = 1:neqs
end
end
Yvec = dseries([Yvec.data; Y{i}.data], fd);
if isempty(lhssub{i})
lhssubvec = dseries([lhssubvec.data; zeros(size(Y{i}.data, 1), 1)], fd);
else
lhssubvec = dseries([lhssubvec.data; lhssub{i}.data], fd);
end
end
assert(size(Yvec, 1) == size(Xmat, 1));
assert(size(Yvec, 1) == size(lhssubvec, 1));
end

7
matlab/ols/sur.m
View File

@ -54,10 +54,10 @@ ast = get_ast(eqtags);
neqs = length(ast);
%% Find parameters and variable names in equations and setup estimation matrices
[Y, ~, X] = common_parsing(ds, ast, true);
[Y, lhssub, X] = common_parsing(ds, ast, true);
clear ast
nobs = Y{1}.nobs;
[Y, X, constrained] = put_in_sur_form(Y, X);
[Y, lhssub, X, constrained] = put_in_sur_form(Y, lhssub, X);
if nargin == 1 && size(X, 2) ~= M_.param_nbr
warning(['Not all parameters were used in model: ' strjoin(setdiff(M_.param_names, X.name), ', ')]);
@ -135,6 +135,9 @@ oo_.sur.Yhat = X.data * oo_.sur.beta;
% Residuals
oo_.sur.resid = Y.data - oo_.sur.Yhat;
% Correct Yhat reported back to user
oo_.sur.Yhat = oo_.sur.Yhat + lhssub;
%% Calculate statistics
% Estimate for sigma^2
SS_res = oo_.sur.resid'*oo_.sur.resid;