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sur, surgibbs: add possibility to select subset of equations

time-shift
Houtan Bastani 2018-01-16 18:42:15 +01:00
parent 8f738d9eb4
commit ead8e1011a
2 changed files with 31 additions and 10 deletions
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17
matlab/ols/sur.m
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@ -1,9 +1,11 @@
function varargout = sur(ds)
% function varargout = sur(ds)
function varargout = sur(ds, eqtags)
% function varargout = sur(ds, eqtags)
% Seemingly Unrelated Regressions
%
% INPUTS
% ds [dseries] data to use in estimation
% ds [dseries] data to use in estimation
% eqtags [cellstr] names of equation tags to estimate. If empty,
% estimate all equations
%
% OUTPUTS
% none
@ -31,6 +33,7 @@ function varargout = sur(ds)
global M_ oo_ options_
%% Check input argument
assert(nargin == 1 || nargin == 2, 'You must provide one or two arguments');
assert(~isempty(ds) && isdseries(ds), 'The first argument must be a dseries');
%% Read JSON
@ -41,13 +44,17 @@ end
jsonmodel = loadjson(jsonfile);
jsonmodel = jsonmodel.model;
[lhs, rhs, lineno] = getEquationsByTags(jsonmodel);
if nargin == 1
[lhs, rhs, lineno] = getEquationsByTags(jsonmodel);
else
[lhs, rhs, lineno] = getEquationsByTags(jsonmodel, 'name', eqtags);
end
%% Find parameters and variable names in equations and setup estimation matrices
[X, Y, startdates, enddates, startidxs, residnames, pbeta, vars, pidxs, surconstrainedparams] = ...
pooled_sur_common(ds, lhs, rhs, lineno);
if size(X, 2) ~= M_.param_nbr
if nargin == 1 && size(X, 2) ~= M_.param_nbr
warning(['Not all parameters were used in model: ' ...
sprintf('%s', strjoin(setdiff(M_.param_names, pbeta), ', '))]);
end

24
matlab/surgibbs.m
View File

@ -1,5 +1,5 @@
function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin)
%function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin)
function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin, eqtags)
%function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin, eqtags)
% Implements Gibbs Samipling for SUR
%
% INPUTS
@ -11,6 +11,8 @@ function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin)
% ndraws [int] number of draws
% discarddraws [int] number of draws to discard
% thin [int] if thin == N, save every Nth draw
% eqtags [cellstr] names of equation tags to estimate. If empty,
% estimate all equations
%
% OUTPUTS
% none
@ -44,7 +46,7 @@ function surgibbs(ds, param_names, beta0, A, ndraws, discarddraws, thin)
global M_ oo_
%% Check input
assert(nargin == 5 || nargin == 6 || nargin == 7, 'Incorrect number of arguments passed to surgibbs');
assert(nargin >= 5 && nargin <= 8, 'Incorrect number of arguments passed to surgibbs');
assert(isdseries(ds), 'The 1st argument must be a dseries');
assert(iscellstr(param_names), 'The 2nd argument must be a cellstr');
assert(isvector(beta0) && length(beta0) == length(param_names), ...
@ -67,12 +69,24 @@ else
end
%% Estimation
[nobs, pidxs, X, Y, m] = sur(ds);
if nargin == 8
[nobs, pidxs, X, Y, m] = sur(ds, eqtags);
else
[nobs, pidxs, X, Y, m] = sur(ds);
end
pnamesall = M_.param_names(pidxs);
nparams = length(param_names);
pidxs = zeros(nparams, 1);
for i = 1:nparams
pidxs(i) = find(strcmp(param_names{i}, pnamesall));
idxs = find(strcmp(param_names{i}, pnamesall));
if isempty(idxs)
if ~isempty(eqtags)
error(['Could not find ' param_names{i} ...
' in the provided equations specified by ' strjoin(eqtags, ',')]);
end
error('Unspecified error. Please report');
end
pidxs(i) = idxs;
end
X = X(:, pidxs);
beta = beta0;