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dyn_ols/pooled_ols: check residuals

time-shift
Houtan 2017-12-11 14:35:55 +01:00
parent 698192ab81
commit c82fc11f8b
2 changed files with 12 additions and 19 deletions
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3
matlab/ols/dyn_ols.m
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@ -144,6 +144,9 @@ for i = 1:length(lhs)
end
lhssub = getRhsToSubFromLhs(ds, rhs{i}, regex, [splitstrings; pnames]);
residuals = setdiff(intersect(rhs_, M_exo_trim), ds.name);
assert(~isempty(residuals), ['No residuals in equation ' num2str(i)]);
assert(length(residuals) == 1, ['More than one residual in equation ' num2str(i)]);
Y = eval(regexprep(lhs{i}, regex, 'ds.$&'));
for j = 1:lhssub.vobs

28
matlab/ols/pooled_ols.m
View File

@ -174,20 +174,10 @@ for i = 1:length(lhs)
end
lhssub = getRhsToSubFromLhs(ds, rhs{i}, regex, [splitstrings; pnames]);
residuals = intersect(rhs_, M_exo_names_trim);
justvnames = regexprep(vnames, '\(-\d\)|log|exp|log10|[\(\)]', '');
justvnames = regexp(justvnames, '[-+]', 'split');
justvnames = [justvnames{:}];
for j = 1:length(residuals)
if any(strcmp(residuals{j}, justvnames))
residuals{j} = [];
end
end
idx = ~cellfun(@isempty, residuals);
assert(~isempty(idx), ['No residuals in equation ' num2str(i)]);
assert(sum(idx) == 1, ['More than one residual in equation ' num2str(i)]);
residnames{i} = residuals{idx};
residnames{i} = setdiff(intersect(rhs_, M_exo_names_trim), ds.name);
assert(~isempty(residnames{i}), ['No residuals in equation ' num2str(i)]);
assert(length(residnames{i}) == 1, ['More than one residual in equation ' num2str(i)]);
params{i} = pnames;
vars{i} = [vnames{:}];
@ -283,12 +273,12 @@ end
residuals = Y - X * oo_.(save_structure_name).beta;
for i = 1:length(lhs)
if i == length(lhs)
oo_.(save_structure_name).resid.(residnames{i}) = residuals(startidxs(i):end);
oo_.(save_structure_name).resid.(residnames{i}{:}) = residuals(startidxs(i):end);
else
oo_.(save_structure_name).resid.(residnames{i}) = residuals(startidxs(i):startidxs(i+1)-1);
oo_.(save_structure_name).resid.(residnames{i}{:}) = residuals(startidxs(i):startidxs(i+1)-1);
end
oo_.(save_structure_name).varcovar.(['eq' num2str(i)]) = oo_.(save_structure_name).resid.(residnames{i})*oo_.(save_structure_name).resid.(residnames{i})';
idx = find(strcmp(residnames{i}, M_exo_names_trim));
M_.Sigma_e(idx, idx) = var(oo_.(save_structure_name).resid.(residnames{i}));
oo_.(save_structure_name).varcovar.(['eq' num2str(i)]) = oo_.(save_structure_name).resid.(residnames{i}{:})*oo_.(save_structure_name).resid.(residnames{i}{:})';
idx = find(strcmp(residnames{i}{:}, M_exo_names_trim));
M_.Sigma_e(idx, idx) = var(oo_.(save_structure_name).resid.(residnames{i}{:}));
end
end