Pooled OLS + test
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commit
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function pooled_ols(ds, param_common, param_regex)
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% function pooled_ols(block_tags)
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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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% 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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jsonfile = [M_.fname '.json'];
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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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end
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%% Read JSON
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jsonmodel = loadjson(jsonfile);
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jsonmodel = jsonmodel.model;
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[lhs, rhs, lineno] = getEquationsByTags(jsonmodel);
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%% Replace parameter names in equations
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country_name = param_common{1};
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regexcountries = ['(' strjoin(param_common(2:end),'|') ')'];
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for i = 1:length(param_regex)
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splitp = strsplit(param_regex{i}, '*');
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assert(length(splitp) >= 2);
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rhs = regexprep(rhs, ...
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strjoin(splitp, regexcountries), ...
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strjoin(splitp, country_name));
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end
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%% Find parameters and variable names in every equation & Setup estimation matrices
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regexpr1 = ...
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['(diff\(\w+(\(\W?\w+\))?\))\*$' ...
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'|' '\((\w+(\(\W?\w+\))?(\W?\w+(\(\W?\w+\))?)*)\)\*$' ...
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'|' '(\w+(\(\W?\w+\))?)\*$' ...
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];
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regexpr2 = ...
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['^\*(diff\(\w+(\(\W?\w+\))?\))' ...
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'|' '^\*\((\w+(\(\W?\w+\))?(\W?\w+(\(\W?\w+\))?)*)' ...
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'|' '^\*(\w+(\(\W?\w+\))?)'
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];
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M_endo_names_trim = cellfun(@strtrim, num2cell(M_.endo_names(:,:),2), 'Uniform', 0);
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regex = ['(?<chb>^|(\-|\(|+|\*|\/|\^))(?<var>' ...
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strjoin(M_endo_names_trim, '|') ...
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')(?<cha>$|(\)\-|\(|+|\*|\/|\^))'];
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params = cell(length(rhs),1);
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vars = cell(length(rhs),1);
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pbeta = {};
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Y = [];
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X = [];
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Xinfo = {};
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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_(cellfun(@(x) all(isstrprop(x, 'digit')), rhs_)) = [];
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vnames = setdiff(rhs_, cellstr(M_.param_names));
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regexprnoleads = cell2mat(strcat('(', vnames, {'\(\d+\))|'}));
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if ~isempty(regexp(rhs{i}, regexprnoleads(1:end-1), 'match'))
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error(['olseqs: you cannot have leads in equation on line ' ...
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lineno{i} ': ' lhs{i} ' = ' rhs{i}]);
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end
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% Find parameters
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pnames = {};
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pidxs = [];
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for j = 1:length(M_.param_names)
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if any(strcmp(rhs_, strtrim(M_.param_names(j,:))))
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pnames = [pnames {strtrim(M_.param_names(j,:))}];
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idx = find(strcmp(pbeta, strtrim(M_.param_names(j,:))));
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if isempty(idx)
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pbeta = [pbeta; {strtrim(M_.param_names(j,:))}];
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pidxs = [pidxs; length(pbeta)];
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else
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pidxs = [pidxs; idx];
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end
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end
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end
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% Find associated variables
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vnames = cell(1, length(pnames));
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xjdata = dseries;
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for j = 1:length(pnames)
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rhs_split = strsplit(rhs{i}, pnames{j});
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assert(length(rhs_split) == 2);
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if ~isempty(rhs_split{1}) && rhs_split{1}(end) == '*'
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vnames(j) = regexp(rhs_split{1}, regexpr1, 'tokens');
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elseif ~isempty(rhs_split{2}) && rhs_split{2}(1) == '*'
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vnames(j) = regexp(rhs_split{2}, regexpr2, 'tokens');
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else
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error('pooled_ols: Shouldn''t arrive here');
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end
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Xinfo(i, pidxs(j)) = vnames{j};
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xjdatatmp = getdata(ds, regex, vnames{j}{:});
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xjdatatmp.rename_(num2str(j));
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xjdata = [xjdata xjdatatmp];
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end
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params{i} = pnames;
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vars{i} = [vnames{:}];
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ydata = getdata(ds, regex, lhs{i});
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fp = max(ydata.firstobservedperiod, xjdata.firstobservedperiod);
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lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
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Y(length(Y)+1:length(Y)+1+lp-fp, 1) = ydata(fp:lp).data;
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X(size(X,1)+1:size(X,1)+1+lp-fp, pidxs) = xjdata(fp:lp).data;
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end
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%% Estimation
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% Estimated Parameters
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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_.pooled_ols.param_names = pbeta;
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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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regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
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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}, '*', country_name));
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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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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_ols.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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end
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function retval = getdata(ds, regex, ser)
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if strncmp(ser, 'diff', 4)
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ser = ser(6:end-1);
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lagidx = strfind(ser, '(');
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if isempty(lagidx)
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retval = ds{ser} - ds{ser}(-1);
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else
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lag = str2double(ser(lagidx+1:strfind(ser, ')')-1));
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assert(lag < 0);
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ser = ser(1:lagidx-1);
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retval = ds{ser}(lag) - ds{ser}(lag-1);
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end
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else
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retval = eval(regexprep(ser, regex, '$<chb>ds.$<var>$<cha>'));
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end
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end
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@ -0,0 +1,346 @@
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// --+ options: json=parse +--
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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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FR_Q_YED
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FR_G_YER
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FR_EHIC
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IT_Q_YED
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IT_G_YER
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IT_EHIC
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ES_Q_YED
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ES_G_YER
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ES_EHIC
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NL_Q_YED
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NL_G_YER
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NL_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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res_FR_Q_YED
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res_FR_G_YER
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res_FR_EHIC
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res_IT_Q_YED
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res_IT_G_YER
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res_IT_EHIC
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res_ES_Q_YED
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res_ES_G_YER
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res_ES_EHIC
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res_NL_Q_YED
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res_NL_G_YER
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res_NL_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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fr_q_yed_ecm_fr_q_yed_L1
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fr_q_yed_ecm_u2_stn_L1
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fr_q_yed_fr_g_yer_L1
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fr_q_yed_u2_stn_L1
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fr_g_yer_ecm_fr_q_yed_L1
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fr_g_yer_ecm_u2_stn_L1
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fr_g_yer_fr_q_yed_L1
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fr_g_yer_fr_g_yer_L1
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fr_g_yer_u2_stn_L1
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fr_ehic_fr_ehic_L1
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it_q_yed_ecm_it_q_yed_L1
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it_q_yed_ecm_u2_stn_L1
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it_q_yed_it_g_yer_L1
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it_q_yed_u2_stn_L1
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it_g_yer_ecm_it_q_yed_L1
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it_g_yer_ecm_u2_stn_L1
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it_g_yer_it_q_yed_L1
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it_g_yer_it_g_yer_L1
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it_g_yer_u2_stn_L1
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it_ehic_it_ehic_L1
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es_q_yed_ecm_es_q_yed_L1
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es_q_yed_ecm_u2_stn_L1
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es_q_yed_es_g_yer_L1
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es_q_yed_u2_stn_L1
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es_g_yer_ecm_es_q_yed_L1
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es_g_yer_ecm_u2_stn_L1
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es_g_yer_es_q_yed_L1
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es_g_yer_es_g_yer_L1
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es_g_yer_u2_stn_L1
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es_ehic_es_ehic_L1
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nl_q_yed_ecm_nl_q_yed_L1
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nl_q_yed_ecm_u2_stn_L1
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nl_q_yed_nl_g_yer_L1
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nl_q_yed_u2_stn_L1
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nl_g_yer_ecm_nl_q_yed_L1
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nl_g_yer_ecm_u2_stn_L1
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nl_g_yer_nl_q_yed_L1
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nl_g_yer_nl_g_yer_L1
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nl_g_yer_u2_stn_L1
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nl_ehic_nl_ehic_L1
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;
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u2_q_yed_ecm_u2_q_yed_L1 = -0.82237516589315 ;
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u2_q_yed_ecm_u2_stn_L1 = -0.323715338568976 ;
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u2_q_yed_u2_g_yer_L1 = 0.0401361895021084 ;
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u2_q_yed_u2_stn_L1 = 0.058397703958446 ;
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u2_g_yer_ecm_u2_q_yed_L1 = 0.0189896046977421 ;
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u2_g_yer_ecm_u2_stn_L1 = -0.109597659887432 ;
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u2_g_yer_u2_q_yed_L1 = 0.0037667967632025 ;
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u2_g_yer_u2_g_yer_L1 = 0.480506381923644 ;
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u2_g_yer_u2_stn_L1 = -0.0722359286123494 ;
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u2_stn_ecm_u2_q_yed_L1 = -0.0438500662608356 ;
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u2_stn_ecm_u2_stn_L1 = -0.153283917138772 ;
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u2_stn_u2_q_yed_L1 = 0.0328744983772825 ;
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u2_stn_u2_g_yer_L1 = 0.292121949736756 ;
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u2_estn_u2_estn_L1 = 1 ;
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u2_ehic_u2_ehic_L1 = 1 ;
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de_q_yed_ecm_de_q_yed_L1 = -0.822375165893149 ;
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de_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
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||||||
|
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 ;
|
||||||
|
|
||||||
|
fr_q_yed_ecm_fr_q_yed_L1 = -0.822375165893149 ;
|
||||||
|
fr_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
|
||||||
|
fr_q_yed_fr_g_yer_L1 = 0.0401361895021082 ;
|
||||||
|
fr_q_yed_u2_stn_L1 = 0.0583977039584461 ;
|
||||||
|
fr_g_yer_ecm_fr_q_yed_L1 = 0.0189896046977422 ;
|
||||||
|
fr_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
|
||||||
|
fr_g_yer_fr_q_yed_L1 = 0.00376679676320256;
|
||||||
|
fr_g_yer_fr_g_yer_L1 = 0.480506381923643 ;
|
||||||
|
fr_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
fr_ehic_fr_ehic_L1 = 1 ;
|
||||||
|
|
||||||
|
it_q_yed_ecm_it_q_yed_L1 = -0.822375165893149 ;
|
||||||
|
it_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
|
||||||
|
it_q_yed_it_g_yer_L1 = 0.0401361895021082 ;
|
||||||
|
it_q_yed_u2_stn_L1 = 0.0583977039584461 ;
|
||||||
|
it_g_yer_ecm_it_q_yed_L1 = 0.0189896046977422 ;
|
||||||
|
it_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
|
||||||
|
it_g_yer_it_q_yed_L1 = 0.00376679676320256;
|
||||||
|
it_g_yer_it_g_yer_L1 = 0.480506381923643 ;
|
||||||
|
it_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
it_ehic_it_ehic_L1 = 1 ;
|
||||||
|
|
||||||
|
es_q_yed_ecm_es_q_yed_L1 = -0.822375165893149 ;
|
||||||
|
es_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
|
||||||
|
es_q_yed_es_g_yer_L1 = 0.0401361895021082 ;
|
||||||
|
es_q_yed_u2_stn_L1 = 0.0583977039584461 ;
|
||||||
|
es_g_yer_ecm_es_q_yed_L1 = 0.0189896046977422 ;
|
||||||
|
es_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
|
||||||
|
es_g_yer_es_q_yed_L1 = 0.00376679676320256;
|
||||||
|
es_g_yer_es_g_yer_L1 = 0.480506381923643 ;
|
||||||
|
es_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
es_ehic_es_ehic_L1 = 1 ;
|
||||||
|
|
||||||
|
nl_q_yed_ecm_nl_q_yed_L1 = -0.822375165893149 ;
|
||||||
|
nl_q_yed_ecm_u2_stn_L1 = -0.323715338568977 ;
|
||||||
|
nl_q_yed_nl_g_yer_L1 = 0.0401361895021082 ;
|
||||||
|
nl_q_yed_u2_stn_L1 = 0.0583977039584461 ;
|
||||||
|
nl_g_yer_ecm_nl_q_yed_L1 = 0.0189896046977422 ;
|
||||||
|
nl_g_yer_ecm_u2_stn_L1 = -0.109597659887433 ;
|
||||||
|
nl_g_yer_nl_q_yed_L1 = 0.00376679676320256;
|
||||||
|
nl_g_yer_nl_g_yer_L1 = 0.480506381923643 ;
|
||||||
|
nl_g_yer_u2_stn_L1 = -0.0722359286123494 ;
|
||||||
|
nl_ehic_nl_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
|
||||||
|
+ res_U2_ESTN ;
|
||||||
|
|
||||||
|
U2_EHIC = u2_ehic_u2_ehic_L1 * U2_EHIC
|
||||||
|
+ 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
|
||||||
|
+ res_DE_EHIC ;
|
||||||
|
|
||||||
|
diff(FR_Q_YED) = fr_q_yed_ecm_fr_q_yed_L1 * (FR_Q_YED(-1) - FR_EHIC(-1))
|
||||||
|
+ fr_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ fr_q_yed_fr_g_yer_L1 * diff(FR_G_YER(-1))
|
||||||
|
+ fr_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_FR_Q_YED ;
|
||||||
|
|
||||||
|
diff(FR_G_YER) = fr_g_yer_ecm_fr_q_yed_L1 * (FR_Q_YED(-1) - FR_EHIC(-1))
|
||||||
|
+ fr_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ fr_g_yer_fr_q_yed_L1 * diff(FR_Q_YED(-1))
|
||||||
|
+ fr_g_yer_fr_g_yer_L1 * diff(FR_G_YER(-1))
|
||||||
|
+ fr_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_FR_G_YER ;
|
||||||
|
|
||||||
|
FR_EHIC = fr_ehic_fr_ehic_L1 * FR_EHIC
|
||||||
|
+ res_FR_EHIC ;
|
||||||
|
|
||||||
|
diff(IT_Q_YED) = it_q_yed_ecm_it_q_yed_L1 * (IT_Q_YED(-1) - IT_EHIC(-1))
|
||||||
|
+ it_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ it_q_yed_it_g_yer_L1 * diff(IT_G_YER(-1))
|
||||||
|
+ it_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_IT_Q_YED ;
|
||||||
|
|
||||||
|
diff(IT_G_YER) = it_g_yer_ecm_it_q_yed_L1 * (IT_Q_YED(-1) - IT_EHIC(-1))
|
||||||
|
+ it_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ it_g_yer_it_q_yed_L1 * diff(IT_Q_YED(-1))
|
||||||
|
+ it_g_yer_it_g_yer_L1 * diff(IT_G_YER(-1))
|
||||||
|
+ it_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_IT_G_YER ;
|
||||||
|
|
||||||
|
IT_EHIC = it_ehic_it_ehic_L1 * IT_EHIC
|
||||||
|
+ res_IT_EHIC ;
|
||||||
|
|
||||||
|
diff(ES_Q_YED) = es_q_yed_ecm_es_q_yed_L1 * (ES_Q_YED(-1) - ES_EHIC(-1))
|
||||||
|
+ es_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ es_q_yed_es_g_yer_L1 * diff(ES_G_YER(-1))
|
||||||
|
+ es_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_ES_Q_YED ;
|
||||||
|
|
||||||
|
diff(ES_G_YER) = es_g_yer_ecm_es_q_yed_L1 * (ES_Q_YED(-1) - ES_EHIC(-1))
|
||||||
|
+ es_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ es_g_yer_es_q_yed_L1 * diff(ES_Q_YED(-1))
|
||||||
|
+ es_g_yer_es_g_yer_L1 * diff(ES_G_YER(-1))
|
||||||
|
+ es_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_ES_G_YER ;
|
||||||
|
|
||||||
|
ES_EHIC = es_ehic_es_ehic_L1 * ES_EHIC
|
||||||
|
+ res_ES_EHIC ;
|
||||||
|
|
||||||
|
diff(NL_Q_YED) = nl_q_yed_ecm_nl_q_yed_L1 * (NL_Q_YED(-1) - NL_EHIC(-1))
|
||||||
|
+ nl_q_yed_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ nl_q_yed_nl_g_yer_L1 * diff(NL_G_YER(-1))
|
||||||
|
+ nl_q_yed_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_NL_Q_YED ;
|
||||||
|
|
||||||
|
diff(NL_G_YER) = nl_g_yer_ecm_nl_q_yed_L1 * (NL_Q_YED(-1) - NL_EHIC(-1))
|
||||||
|
+ nl_g_yer_ecm_u2_stn_L1 * (U2_STN(-1) - U2_ESTN(-1))
|
||||||
|
+ nl_g_yer_nl_q_yed_L1 * diff(NL_Q_YED(-1))
|
||||||
|
+ nl_g_yer_nl_g_yer_L1 * diff(NL_G_YER(-1))
|
||||||
|
+ nl_g_yer_u2_stn_L1 * diff(U2_STN(-1))
|
||||||
|
+ res_NL_G_YER ;
|
||||||
|
|
||||||
|
NL_EHIC = nl_ehic_nl_ehic_L1 * NL_EHIC
|
||||||
|
+ res_NL_EHIC ;
|
||||||
|
|
||||||
|
|
||||||
|
end;
|
||||||
|
|
||||||
|
mydseries = dseries(randn(40,20), 1, {'U2_Q_YED', ...
|
||||||
|
'U2_G_YER', ...
|
||||||
|
'U2_STN', ...
|
||||||
|
'U2_ESTN', ...
|
||||||
|
'U2_EHIC', ...
|
||||||
|
'DE_Q_YED', ...
|
||||||
|
'DE_G_YER', ...
|
||||||
|
'DE_EHIC', ...
|
||||||
|
'FR_Q_YED', ...
|
||||||
|
'FR_G_YER', ...
|
||||||
|
'FR_EHIC', ...
|
||||||
|
'IT_Q_YED', ...
|
||||||
|
'IT_G_YER', ...
|
||||||
|
'IT_EHIC', ...
|
||||||
|
'ES_Q_YED', ...
|
||||||
|
'ES_G_YER', ...
|
||||||
|
'ES_EHIC', ...
|
||||||
|
'NL_Q_YED', ...
|
||||||
|
'NL_G_YER', ...
|
||||||
|
'NL_EHIC'});
|
||||||
|
|
||||||
|
pooled_ols(mydseries, ...
|
||||||
|
{'de','u2','fr', 'it', 'es', 'nl'}, ...
|
||||||
|
{'*_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'});
|
Loading…
Reference in New Issue