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Revert "sur: fix bug with M_.Sigma_e" 

This reverts commit 9c76b1da51.
time-shift
Houtan Bastani 2019-02-12 19:07:55 +01:00
parent fe4fb7df2d
commit a110896483
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1 changed files with 4 additions and 9 deletions
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13
matlab/ols/sur.m
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@ -63,7 +63,7 @@ ast = handle_constant_eqs(get_ast(eqtags));
neqs = length(ast);
%% Find parameters and variable names in equations and setup estimation matrices
[Y, lhssub, X, ~, ~, residnames] = common_parsing(ds, ast, true);
[Y, lhssub, X] = common_parsing(ds, ast, true);
clear ast
nobs = Y{1}.nobs;
[Y, lhssub, X, constrained] = put_in_sur_form(Y, lhssub, X);
@ -131,8 +131,9 @@ oo_.sur.(model_name).dof = nobs;
xpxi = (r'*r)\eye(size(X.data, 2));
resid = Y.data - X.data * (r\(q'*Y.data));
resid = reshape(resid, oo_.sur.(model_name).dof, neqs);
Sigma_e = resid'*resid/oo_.sur.(model_name).dof;
kLeye = kron(chol(inv(Sigma_e)), eye(oo_.sur.(model_name).dof));
M_.Sigma_e = resid'*resid/oo_.sur.(model_name).dof;
kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.sur.(model_name).dof));
[q, r] = qr(kLeye*X.data, 0);
oo_.sur.(model_name).beta = r\(q'*kLeye*Y.data);
@ -144,12 +145,6 @@ oo_.sur.(model_name).Yhat = X.data * oo_.sur.(model_name).beta;
% Residuals
oo_.sur.(model_name).resid = Y.data - oo_.sur.(model_name).Yhat;
% Set M_.Sigma_e
for i = 1:length(residnames)
idx = find(strcmp(residnames{i}, M_.exo_names));
M_.Sigma_e(idx, idx) = var(oo_.sur.(model_name).resid((i-1)*nobs+1:i*nobs));
end
% Correct Yhat reported back to user
oo_.sur.(model_name).Yhat = oo_.sur.(model_name).Yhat + lhssub;