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account for potentially differing number of observations per equation when creating SUR matrices

time-shift
Houtan Bastani 2019-01-14 14:57:35 +01:00
parent a7181a8151
commit 9ed97b88c1
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GPG Key ID: 000094FB955BE169
1 changed files with 10 additions and 3 deletions
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13
matlab/ols/put_in_sur_form.m
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@ -40,14 +40,21 @@ if isempty(Y) || ~iscell(Y) || isempty(X) || ~iscell(X) || length(Y) ~= length(X
end
%% Organize output
nobs = size(X{1}, 1);
neqs = length(X);
Xmat = dseries([X{1}.data; zeros(nobs*(neqs-1), size(X{1}, 2))], X{1}.firstdate, X{1}.name);
nobs = zeros(neqs, 1);
for i = 1:neqs
assert(size(X{i}, 1) == size(Y{i}, 1), 'Y{i} and X{i} must have the same nuber of observations');
nobs(i) = size(X{i}, 1);
end
nrows = sum(nobs);
Xmat = dseries([X{1}.data; zeros(nrows-nobs(1), size(X{1}, 2))], X{1}.firstdate, X{1}.name);
Yvec = Y{1};
constrained = {};
for i = 2:neqs
to_remove = [];
Xtmp = dseries([zeros(nobs*(i-1), size(X{i}, 2)); X{i}.data; zeros(nobs*(neqs-i), size(X{i}, 2))], X{i}.firstdate, X{i}.name);
nr = sum(nobs(1:i-1));
nxcol = size(X{i}, 2);
Xtmp = dseries([zeros(nr, nxcol); X{i}.data; zeros(nrows-nr-nobs(i), nxcol)], X{1}.firstdate, X{i}.name);
for j = 1:length(X{i}.name)
idx = find(strcmp(Xmat.name, X{i}.name{j}));
if ~isempty(idx)