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sur: handle case of constrained parameter

time-shift
Houtan 2017-12-12 13:07:25 +01:00
parent 792d452938
commit cd7658541a
3 changed files with 20 additions and 6 deletions
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2
matlab/ols/pooled_ols.m
View File

@ -87,7 +87,7 @@ end
%% Find parameters and variable names in every equation & Setup estimation matrices
M_exo_names_trim = cellstr(M_.exo_names);
M_param_names_trim = cellstr(M_.param_names);
[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, pidxs] = ...
[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, surpidxs, surconstrainedparams] = ...
pooled_sur_common(ds, lhs, rhs, lineno, M_exo_names_trim, M_param_names_trim);
if overlapping_dates

14
matlab/ols/pooled_sur_common.m
View File

@ -1,4 +1,4 @@
function [X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, surpidxs] = pooled_sur_common(ds, lhs, rhs, lineno, M_exo_names_trim, M_param_names_trim);
function [X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, surpidxs, surconstrainedparams] = pooled_sur_common(ds, lhs, rhs, lineno, M_exo_names_trim, M_param_names_trim);
%
% Code common to sur.m and pooled_ols.m
@ -45,6 +45,7 @@ enddates = cell(length(lhs), 1);
residnames = cell(length(lhs), 1);
surpidxs = zeros(M_.param_nbr, 1);
surpidx = 0;
surconstrainedparams = [];
for i = 1:length(lhs)
rhs_ = strsplit(rhs{i}, {'+','-','*','/','^','log(','ln(','log10(','exp(','(',')','diff('});
rhs_(cellfun(@(x) all(isstrprop(x, 'digit')), rhs_)) = [];
@ -61,17 +62,20 @@ for i = 1:length(lhs)
vnames = cell(1, length(pnames));
splitstrings = cell(length(pnames), 1);
xjdata = dseries;
dropvname = true(1,length(pnames));
for j = 1:length(pnames)
createdvar = false;
idx = find(strcmp(pbeta, pnames{j}));
if isempty(idx)
pbeta = [pbeta; pnames{j}];
pidxs(j) = length(pbeta);
surpidx = surpidx + 1;
surpidxs(surpidx, 1) = find(strcmp(pnames{j}, M_param_names_trim));
else
pidxs(j) = idx;
surconstrainedparams = [surconstrainedparams idx];
dropvname(j) = false;
end
surpidx = surpidx + 1;
surpidxs(surpidx, 1) = find(strcmp(pnames{j}, M_param_names_trim));
pregex = [...
mathops pnames{j} mathops ...
@ -119,6 +123,9 @@ for i = 1:length(lhs)
xjdatatmp.rename_(num2str(j));
xjdata = [xjdata xjdatatmp];
end
if ~all(dropvname)
vnames = vnames(dropvname);
end
lhssub = getRhsToSubFromLhs(ds, rhs{i}, regex, [splitstrings; pnames]);
@ -154,4 +161,5 @@ for i = 1:length(lhs)
X(startidxs(i):startidxs(i)+lp-fp, pidxs) = xjdata(fp:lp).data;
end
end
surpidxs = surpidxs(1:surpidx);
end

10
matlab/ols/sur.m
View File

@ -46,7 +46,7 @@ jsonmodel = jsonmodel.model;
%% Find parameters and variable names in equations and setup estimation matrices
M_exo_names_trim = cellstr(M_.exo_names);
M_param_names_trim = cellstr(M_.param_names);
[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, pidxs] = ...
[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, pidxs, surconstrainedparams] = ...
pooled_sur_common(ds, lhs, rhs, lineno, M_exo_names_trim, M_param_names_trim);
if size(X, 2) ~= M_.param_nbr
@ -82,7 +82,7 @@ X = newX;
% Estimated Parameters
oo_.sur.dof = length(maxfp:minlp);
[q, r] = qr(X, 0);
xpxi = (r'*r)\eye(M_.param_nbr);
xpxi = (r'*r)\eye(size(X, 2));
resid = Y - X * (r\(q'*Y));
resid = reshape(resid, oo_.sur.dof, length(lhs));
@ -145,6 +145,12 @@ if ~options_.noprint
sprintf('s^2: %f', oo_.sur.s2), ...
sprintf('Durbin-Watson: %f', oo_.sur.dw)};
if ~isempty(surconstrainedparams)
afterward = [afterward, ...
sprintf('Constrained parameters: %s', ...
strjoin(pbeta(surconstrainedparams), ', '))];
end
dyn_table('SUR Estimation', preamble, afterward, [vars{:}], ...
{'Coefficients','t-statistic','Std. Error'}, 4, ...
[oo_.sur.beta oo_.sur.tstat oo_.sur.stderr]);