Stéphane Adjemian (Charybdis)
3a823c488f
Fix PAC equations with lags on exogenous variables.
2021-04-02 15:52:30 +02:00
Sébastien Villemot
47477e152a
Bump minimal Octave version to 6.2.0
2021-03-12 16:21:57 +01:00
Sébastien Villemot
901d8355e3
PAC iterative OLS: compatibility fix for Octave < 6
2021-02-04 16:01:30 +01:00
Sébastien Villemot
8e9085eea4
PAC NLS estimation: Octave compatibility fix
...
In regular expressions, the end-of-word operator (\>) does not behave the same
under Octave and under MATLAB. See:
https://savannah.gnu.org/bugs/index.php?59992
In this case, we can simply drop the \> operator, since there is no risk of
matching a partial variable name (since there is already “(-1)” at the end of
the pattern).
By the way, remove a useless parenthesis grouping in the regexp.
2021-02-02 17:02:04 +01:00
Sébastien Villemot
e26a5e2805
NLS: compatibility fix for Octave and MATLAB < R2014b
2021-01-15 17:42:00 +01:00
Stéphane Adjemian (Charybdis)
a40a940d51
Same as 8aa86a22
in Iterative OLS.
2020-01-06 11:03:58 +01:00
Stéphane Adjemian (Charybdis)
8aa86a2244
Save the list of parameter names in pac estimation results (NLS).
2020-01-06 11:03:26 +01:00
Stéphane Adjemian (Charybdis)
d740af10f3
PAC/nls save lhs and fitted variables.
2019-11-25 17:29:45 +01:00
Stéphane Adjemian (Charybdis)
fce51c6cc4
Added R² to PAC NLS estimator.
2019-10-28 16:35:45 +01:00
Stéphane Adjemian (Charybdis)
6a959c4629
Put estimated residuals in a dseries object.
2019-10-28 16:34:56 +01:00
Dóra Kocsis
3648ccb8ff
Adjust result output for NLS and Iterative OLS.
2019-10-10 10:10:23 +02:00
Sébastien Villemot
3434ec2f9b
NLS estimation of PAC: fmincon now available under Octave
2019-10-09 12:32:26 +02:00
DoraK
41c66583ac
Add linear combination support for growth neutrality in Iiterative OLS.
2019-10-08 23:18:40 +02:00
Sébastien Villemot
8e1528c1cb
Temporary fix for growth parameter in PAC models
...
The preprocessor has been modified to allow linear combinations in the growth
parameter (see Dynare/preprocessor@a0f74f5c16 and
Dynare/preprocessor@d873414728 ).
This commit restores the previous functionality (i.e. it fixes the simple case
where only one parameter/variable is provided for the growth parameter).
The code still needs to be adapted to really handle linear combinations.
2019-09-26 17:35:31 +02:00
Stéphane Adjemian (Charybdis)
e3f1ea7e3c
Added upper bound to error correction parameter.
...
Available only for lsqnonlin, fmincon, annealing, and particleswarm algorithms.
2019-07-24 11:21:52 +02:00
Stéphane Adjemian (Charybdis)
6997e0a4a6
Added the possibility to have exogenous variables in the optimal part of PAC.
...
Works with iterative ols and nls.
2019-03-08 14:34:41 +01:00
Stéphane Adjemian (Charybdis)
1471b3bfce
Changegd estimator for the exogenous part of pac.estimation.iterative_ols routine.
2019-03-07 12:37:06 +01:00
Stéphane Adjemian (Charybdis)
4d69674874
Partially reverts 1190cab
.
2019-03-07 12:31:23 +01:00
Houtan Bastani
1190caba61
pac.estimate.nls: clean up code: remove unused variables, unused output arguments, no need for otherwise in switch
2019-03-07 11:59:59 +01:00
Houtan Bastani
b844bc53a0
pac: fix bugs in output of ec component
2019-03-07 11:44:40 +01:00
Stéphane Adjemian (Charybdis)
9eb64a0b64
Updated preprocessor submodule.
...
Fixes exogenous variables in PAC equation without non optimizing behaviour.
2019-03-06 15:39:00 +01:00
Stéphane Adjemian (Charybdis)
4798c07ced
Avoid infinite loop in pac.estimation.iterative_ols().
2019-03-05 07:21:08 +01:00
Stéphane Adjemian (Charybdis)
d00b57541e
Allow exogenous variables in pac.estimation.iterative_ols routine.
...
The parameters associated to these additional variables can be estimated or calibrated.
2019-03-01 23:32:47 +01:00
Stéphane Adjemian (Charybdis)
f07b1e8028
Account for exogenous variables in PAC's RoT part.
...
Fixes the iterative_ols estimation of PAC equation when the Rule of Thumbs (non
optimizing) part of the equations contains endogenous and/or exogenous variables.
2019-02-27 15:53:25 +01:00
Stéphane Adjemian (Charybdis)
6500099f4e
Removed debugging display.
2019-02-27 15:08:49 +01:00
Stéphane Adjemian (Charybdis)
0af3068569
Handle situations where a PAC model is used in more than one equation.
2019-02-22 17:58:24 +01:00
Stéphane Adjemia (Scylla)
74520e77bf
Allow for lags on endogenous variable in growth option of pac_model.
2019-01-28 11:25:30 +01:00
Stéphane Adjemia (Scylla)
3bc6b34161
Bug fix.
...
Be agnostic about the name of the PAC model.
2019-01-07 13:33:08 +01:00
Stéphane Adjemia (Scylla)
c829e7968d
If possible define boundaries for the share of optimizing agents in PAC/NLS.
...
The parameter is constrained to be in (0,1) for the following algorithms
- lsqnonlin (without Levenberg-Marquardt)
- fmincon
- annealing
- particleswarm
Other algorithms do not allow the definition of boundaries... We should add a
penality function to the objective for these algorithms.
2018-12-19 16:05:34 +01:00
Stéphane Adjemia (Scylla)
df57bf7eb9
Fixed bug.
...
PAC/NLS routine was only working if the PAC model was named `pacman`.
2018-12-19 16:00:57 +01:00
Stéphane Adjemia (Scylla)
11b24a0663
Add a constraint on the share of optimizing agents PAC/Iterative OLS.
...
Ensure that the parameter value lies betwwen 0 and 1.
2018-12-19 15:43:36 +01:00
Stéphane Adjemia (Scylla)
c0570ff0af
Fixed typo.
2018-12-19 15:41:32 +01:00
Stéphane Adjemia (Scylla)
38c8462142
If NLS, do not check the ordering of estimated parameters in PAC.
2018-12-12 16:28:19 +01:00
Stéphane Adjemia (Scylla)
d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00
Stéphane Adjemia (Scylla)
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
...
Also added the computation of the covariance matrix of the NLS estimator (using
White and Domovitz approach) and integration test.
2018-11-26 09:53:18 +01:00
Stéphane Adjemia (Scylla)
cf35496c06
Fixed bug in the evaluation of the sum of squared residuals (PAC/NLS).
2018-11-21 15:21:23 +01:00
Stéphane Adjemia (Scylla)
7d2d0d6590
Added the possibility to estimate the share of optimizing agents by iterative OLS (PAC).
2018-11-21 15:07:15 +01:00
Stéphane Adjemian(Charybdis)
2518cd9884
Raise error of an optimization algorithm is not available.
2018-09-13 16:16:07 +02:00
Stéphane Adjemian(Charybdis)
2437d7034e
Give access to more than one optimizer in PAC estimation (NLS).
...
Default is to use csminwel optimizer (because it seems to do the job and does
not rely on the Mathworks toolbox).
2018-09-13 16:15:52 +02:00
Stéphane Adjemian(Charybdis)
6815624a6a
Fixed bug.
...
Growth neutrality correction was applied twice.
2018-09-12 15:41:07 +02:00
Stéphane Adjemian(Charybdis)
0f3678ec4a
Fixed ordering of variables in error correction term of PAC equation
...
PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
2018-09-06 22:07:31 +02:00
Stéphane Adjemian(Charybdis)
74ef4d2131
Cosmetic change.
2018-09-06 13:40:43 +02:00
Stéphane Adjemian(Charybdis)
5d8a1feda4
Fixed regular expression.
...
Data matrices were not correcty lagged for lags>1. This commit fixes the
inconsistencies (in terms of residuals) between Iterative OLS and NLS routines.
2018-09-06 13:40:27 +02:00
Stéphane Adjemian(Charybdis)
940c970ff3
Use same range in NLS and Iterative OLS.
...
The range option is the range of data considered for the right hand side variable.
2018-09-04 09:40:47 +02:00
Stéphane Adjemian(Charybdis)
6e1d06bddc
Display SSR in Iterative OLS.
2018-09-03 18:01:59 +02:00
Stéphane Adjemian(Charybdis)
8b1b1273c3
Fixed correction for growth neutrality.
...
Also added the possibility to use an endogenous variable for growth.
2018-09-03 17:57:10 +02:00
Stéphane Adjemian(Charybdis)
fde103d5f4
Removed debugging display.
2018-09-03 17:55:55 +02:00
Stéphane Adjemian(Charybdis)
a207550680
Fixed error correction term.
2018-09-03 17:53:01 +02:00
Stéphane Adjemia (Scylla)
e1b2b80d64
Small efficiency change.
2018-08-29 17:42:49 +02:00
Stéphane Adjemia (Scylla)
d23d1a470b
Added the possibility to estimate PAC_EQUATION with iterative ols and non constant growth.
2018-08-29 17:42:04 +02:00