dyn_ols: reference tag name in printing if available
Houtan Bastani
parent
99344e0bcf
commit
edc38fea3f
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@ -1,4 +1,4 @@
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function [lhs, rhs, linenum, sample] = getEquationsByTags(jsonmodel, varargin)
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function [lhs, rhs, linenum, sample, tagvalue] = getEquationsByTags(jsonmodel, varargin)
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%function [lhs, rhs, linenum, sample] = getEquationByTag(jsonmodel, varargin)
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% Return the lhs, rhs of an equation and the line it was defined
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% on given its tag
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@ -13,6 +13,7 @@ function [lhs, rhs, linenum, sample] = getEquationsByTags(jsonmodel, varargin)
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% rhs [cellstring array] right hand side of eq
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% linenum [cellstring array] eq line in .mod file
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% sample [cell array of dates] sample range
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% tagvalue [cellstring array] tags associated with equations
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%
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% SPECIAL REQUIREMENTS
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% none
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@ -41,14 +42,24 @@ if nargin == 1
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rhs = cell(1, length(jsonmodel));
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linenum = cell(1, length(jsonmodel));
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sample = cell(1, length(jsonmodel));
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tagvalue = cell(1, length(jsonmodel));
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for i=1:length(jsonmodel)
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lhs{i} = jsonmodel{i}.lhs;
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rhs{i} = jsonmodel{i}.rhs;
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linenum{i} = jsonmodel{i}.line;
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if isfield(jsonmodel{i}, 'tags') && ...
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isfield(jsonmodel{i}.tags, 'sample')
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tmp = strsplit(jsonmodel{i}.tags.sample, ':');
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sample{i} = dates(tmp{1}):dates(tmp{2});
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isfield(jsonmodel{i}.tags, 'name')
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tagvalue{i} = jsonmodel{i}.tags.('name');
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else
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tagvalue{i} = ['eq_line_no_' num2str(linenum{i})];
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end
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if isfield(jsonmodel{i}, 'tags')
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if isfield(jsonmodel{i}.tags, 'sample')
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tmp = strsplit(jsonmodel{i}.tags.sample, ':');
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sample{i} = dates(tmp{1}):dates(tmp{2});
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end
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else
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tagvalue{i} = ['eq_line_no_' num2str(linenum{i})];
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end
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end
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return
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@ -49,16 +49,16 @@ jsonmodel = loadjson(jsonfile);
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jsonmodel = jsonmodel.model;
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if nargin == 1
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[lhs, rhs, lineno, sample] = getEquationsByTags(jsonmodel);
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[lhs, rhs, lineno, sample, tags] = getEquationsByTags(jsonmodel);
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fitted_names_dict = {};
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else
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assert(isempty(fitted_names_dict) || ...
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(iscell(fitted_names_dict) && columns(fitted_names_dict) == 2), ...
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'dyn_ols: the second argument must be an Nx2 cell array');
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if nargin == 2
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[lhs, rhs, lineno, sample] = getEquationsByTags(jsonmodel);
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[lhs, rhs, lineno, sample, tags] = getEquationsByTags(jsonmodel);
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else
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[lhs, rhs, lineno, sample] = getEquationsByTags(jsonmodel, 'name', eqtags);
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[lhs, rhs, lineno, sample, tags] = getEquationsByTags(jsonmodel, 'name', eqtags);
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end
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if isempty(lhs)
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disp('dyn_ols: Nothing to estimate')
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@ -195,24 +195,15 @@ for i = 1:length(lhs)
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%% Estimation
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% From LeSage, James P. "Applied Econometrics using MATLAB"
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if nargin == 3
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if iscell(eqtags)
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tagv = eqtags{i};
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else
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tagv = eqtags;
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end
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else
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tagv = ['eq_line_no_' num2str(lineno{i})];
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end
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[nobs, nvars] = size(X);
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oo_.ols.(tagv).dof = nobs - nvars;
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oo_.ols.(tags{i}).dof = nobs - nvars;
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% Estimated Parameters
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[q, r] = qr(X, 0);
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xpxi = (r'*r)\eye(nvars);
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oo_.ols.(tagv).beta = r\(q'*Y.data);
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oo_.ols.(tags{i}).beta = r\(q'*Y.data);
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for j = 1:length(pnames)
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M_.params(strcmp(M_param_names_trim, pnames{j})) = oo_.ols.(tagv).beta(j);
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M_.params(strcmp(M_param_names_trim, pnames{j})) = oo_.ols.(tags{i}).beta(j);
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end
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% Yhat
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@ -224,59 +215,60 @@ for i = 1:length(lhs)
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yhatname = fitted_names_dict{idx, 2};
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end
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end
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oo_.ols.(tagv).Yhat = dseries(X*oo_.ols.(tagv).beta, fp, yhatname);
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oo_.ols.(tags{i}).Yhat = dseries(X*oo_.ols.(tags{i}).beta, fp, yhatname);
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% Residuals
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oo_.ols.(tagv).resid = Y - oo_.ols.(tagv).Yhat;
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oo_.ols.(tags{i}).resid = Y - oo_.ols.(tags{i}).Yhat;
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% Correct Yhat reported back to user for given
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for j = 1:lhssub.vobs
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oo_.ols.(tagv).Yhat = oo_.ols.(tagv).Yhat + lhssub{j}(fp:lp);
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oo_.ols.(tags{i}).Yhat = oo_.ols.(tags{i}).Yhat + lhssub{j}(fp:lp);
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end
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ds = [ds oo_.ols.(tagv).Yhat];
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ds = [ds oo_.ols.(tags{i}).Yhat];
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%% Calculate statistics
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% Estimate for sigma^2
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SS_res = oo_.ols.(tagv).resid.data'*oo_.ols.(tagv).resid.data;
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oo_.ols.(tagv).s2 = SS_res/oo_.ols.(tagv).dof;
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SS_res = oo_.ols.(tags{i}).resid.data'*oo_.ols.(tags{i}).resid.data;
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oo_.ols.(tags{i}).s2 = SS_res/oo_.ols.(tags{i}).dof;
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% R^2
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ym = Y.data - mean(Y);
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SS_tot = ym'*ym;
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oo_.ols.(tagv).R2 = 1 - SS_res/SS_tot;
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oo_.ols.(tags{i}).R2 = 1 - SS_res/SS_tot;
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% Adjusted R^2
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oo_.ols.(tagv).adjR2 = oo_.ols.(tagv).R2 - (1 - oo_.ols.(tagv).R2)*nvars/(oo_.ols.(tagv).dof-1);
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oo_.ols.(tags{i}).adjR2 = oo_.ols.(tags{i}).R2 - (1 - oo_.ols.(tags{i}).R2)*nvars/(oo_.ols.(tags{i}).dof-1);
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% Durbin-Watson
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ediff = oo_.ols.(tagv).resid.data(2:nobs) - oo_.ols.(tagv).resid.data(1:nobs-1);
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oo_.ols.(tagv).dw = (ediff'*ediff)/SS_res;
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ediff = oo_.ols.(tags{i}).resid.data(2:nobs) - oo_.ols.(tags{i}).resid.data(1:nobs-1);
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oo_.ols.(tags{i}).dw = (ediff'*ediff)/SS_res;
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% Standard Error
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oo_.ols.(tagv).stderr = sqrt(oo_.ols.(tagv).s2*diag(xpxi));
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oo_.ols.(tags{i}).stderr = sqrt(oo_.ols.(tags{i}).s2*diag(xpxi));
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% T-Stat
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oo_.ols.(tagv).tstat = oo_.ols.(tagv).beta./oo_.ols.(tagv).stderr;
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oo_.ols.(tags{i}).tstat = oo_.ols.(tags{i}).beta./oo_.ols.(tags{i}).stderr;
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%% Print Output
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if ~options_.noprint
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title = sprintf('OLS Estimation of equation `%s`', tagv);
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if nargin == 3
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title = [title sprintf(' [%s = %s]', 'name', tagv)];
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title = ['OLS Estimation of equation ''' tags{i} ''' [name = ''' tags{i} ''']'];
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else
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title = ['OLS Estimation of equation ''' tags{i} ''''];
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end
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preamble = {sprintf('Dependent Variable: %s', lhs{i}), ...
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sprintf('No. Independent Variables: %d', nvars), ...
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sprintf('Observations: %d from %s to %s\n', nobs, fp.char, lp.char)};
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afterward = {sprintf('R^2: %f', oo_.ols.(tagv).R2), ...
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sprintf('R^2 Adjusted: %f', oo_.ols.(tagv).adjR2), ...
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sprintf('s^2: %f', oo_.ols.(tagv).s2), ...
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sprintf('Durbin-Watson: %f', oo_.ols.(tagv).dw)};
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afterward = {sprintf('R^2: %f', oo_.ols.(tags{i}).R2), ...
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sprintf('R^2 Adjusted: %f', oo_.ols.(tags{i}).adjR2), ...
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sprintf('s^2: %f', oo_.ols.(tags{i}).s2), ...
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sprintf('Durbin-Watson: %f', oo_.ols.(tags{i}).dw)};
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dyn_table(title, preamble, afterward, vnames, ...
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{'Coefficients','t-statistic','Std. Error'}, 4, ...
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[oo_.ols.(tagv).beta oo_.ols.(tagv).tstat oo_.ols.(tagv).stderr]);
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[oo_.ols.(tags{i}).beta oo_.ols.(tags{i}).tstat oo_.ols.(tags{i}).stderr]);
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end
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end
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end
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