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sur, pooled_fgls: user inv(chol()) instead of chol(inv())

time-shift
Houtan Bastani 2019-02-14 10:55:08 +01:00
parent db8638ec97
commit b92b342c7b
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GPG Key ID: 000094FB955BE169
2 changed files with 2 additions and 2 deletions
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2
matlab/ols/pooled_fgls.m
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@ -55,7 +55,7 @@ for i = 1:maxit
resid = oo_.pooled_fgls.Y - oo_.pooled_fgls.X * beta0;
resid = reshape(resid, oo_.pooled_fgls.dof, neqs);
vcv = resid'*resid/oo_.pooled_fgls.dof;
kLeye = kron(chol(inv(vcv)), eye(oo_.pooled_fgls.dof));
kLeye = kron(inv(chol(vcv))', eye(oo_.pooled_fgls.dof));
[q, r] = qr(kLeye*oo_.pooled_fgls.X, 0);
oo_.pooled_fgls.beta = r\(q'*kLeye*oo_.pooled_fgls.Y);
if max(abs(beta0 - oo_.pooled_fgls.beta)) < tol

2
matlab/ols/sur.m
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@ -137,7 +137,7 @@ for i = 1:maxit
resid = Y.data - X.data * beta0;
resid = reshape(resid, oo_.sur.(model_name).dof, neqs);
vcv = resid'*resid/oo_.sur.(model_name).dof;
kLeye = kron(chol(inv(vcv)), eye(oo_.sur.(model_name).dof));
kLeye = kron(inv(chol(vcv))', eye(oo_.sur.(model_name).dof));
[q, r] = qr(kLeye*X.data, 0);
oo_.sur.(model_name).beta = r\(q'*kLeye*Y.data);
if max(abs(beta0 - oo_.sur.(model_name).beta)) < tol