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pooled_ols: add residual info to oo_

time-shift
Houtan Bastani 2017-11-07 14:58:11 +01:00
parent 0d687ca956
commit c1c7f868ef
1 changed files with 30 additions and 6 deletions
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36
matlab/ols/pooled_ols.m
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@ -68,9 +68,8 @@ for i = 1:length(param_regex)
end
%% Find parameters and variable names in every equation & Setup estimation matrices
M_endo_exo_names_trim = cellfun(@strtrim, ...
[num2cell(M_.endo_names(:,:),2) ; num2cell(M_.exo_names(:,:),2)], ...
'Uniform', 0);
M_exo_names_trim = cellfun(@strtrim, num2cell(M_.exo_names(:,:),2), 'Uniform', 0);
M_endo_exo_names_trim = [cellfun(@strtrim, num2cell(M_.endo_names(:,:),2), 'Uniform', 0); M_exo_names_trim];
regex = strjoin(M_endo_exo_names_trim(:,1), '|');
mathops = '[\+\*\^\-\/]';
params = cell(length(rhs),1);
@ -78,6 +77,8 @@ vars = cell(length(rhs),1);
pbeta = {};
Y = [];
X = [];
startidxs = zeros(length(lhs), 1);
residnames = cell(length(lhs), 1);
for i = 1:length(lhs)
rhs_ = strsplit(rhs{i}, {'+','-','*','/','^','log(','ln(','log10(','exp(','(',')','diff('});
rhs_(cellfun(@(x) all(isstrprop(x, 'digit')), rhs_)) = [];
@ -140,6 +141,17 @@ for i = 1:length(lhs)
xjdatatmp.rename_(num2str(j));
xjdata = [xjdata xjdatatmp];
end
residuals = intersect(rhs_, cellstr(M_.exo_names));
for j = 1:length(residuals)
if any(strcmp(residuals{j}, vnames))
residuals{j} = [];
end
end
idx = ~cellfun(@isempty, residuals);
assert(sum(idx) == 1, ['More than one residual in equation ' num2str(i)]);
residnames{i} = residuals{idx};
params{i} = pnames;
vars{i} = [vnames{:}];
@ -148,15 +160,15 @@ for i = 1:length(lhs)
fp = max(ydata.firstobservedperiod, xjdata.firstobservedperiod);
lp = min(ydata.lastobservedperiod, xjdata.lastobservedperiod);
Y(length(Y)+1:length(Y)+1+lp-fp, 1) = ydata(fp:lp).data;
X(size(X,1)+1:size(X,1)+1+lp-fp, pidxs) = xjdata(fp:lp).data;
startidxs(i) = length(Y) + 1;
Y(startidxs(i):startidxs(i)+lp-fp, 1) = ydata(fp:lp).data;
X(startidxs(i):startidxs(i)+lp-fp, pidxs) = xjdata(fp:lp).data;
end
%% Estimation
% Estimated Parameters
[q, r] = qr(X, 0);
oo_.pooled_ols.beta = r\(q'*Y);
oo_.pooled_ols.param_names = pbeta;
% Assign parameter values back to parameters using param_regex & param_common
param_names_trim = cellfun(@strtrim, num2cell(M_.param_names(:,:),2), 'Uniform', 0);
@ -177,4 +189,16 @@ assert(length(values) == length(names));
for i = 1:length(idxs)
M_.params(strcmp(param_names_trim, names{i})) = values(i);
end
residuals = Y - X * oo_.pooled_ols.beta;
for i = 1:length(lhs)
if i == length(lhs)
oo_.pooled_ols.resid.(residnames{i}) = residuals(startidxs(i):end);
else
oo_.pooled_ols.resid.(residnames{i}) = residuals(startidxs(i):startidxs(i+1)-1);
end
oo_.pooled_ols.varcovar.(['eq' num2str(i)]) = oo_.pooled_ols.resid.(residnames{i})*oo_.pooled_ols.resid.(residnames{i})';
idx = find(strcmp(residnames{i}, M_exo_names_trim));
M_.Sigma_e(idx, idx) = var(oo_.pooled_ols.resid.(residnames{i}));
end
end