Stéphane Adjemian(Charybdis)
2437d7034e
Give access to more than one optimizer in PAC estimation (NLS).
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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.
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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
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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.
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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.
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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.
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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
Stéphane Adjemia (Scylla)
30b34c4323
Small efficiency changes.
2018-08-29 16:15:52 +02:00
Stéphane Adjemia (Scylla)
36388ce28a
Fixed bug in PAC_EXPECTATION.
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The selection of the target variable in the error correction term was still
wrong if the target variable was not an auxiliary variable.
2018-08-28 19:23:35 +02:00
Stéphane Adjemia (Scylla)
18a2626543
Fixed bugs in PAC_EXPECTATION.
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- The selection of the target variable in the error correction term was wrong.
- Target variables in logs were still not working.
2018-08-28 12:12:21 +02:00
Stéphane Adjemia (Scylla)
ae530293c5
Fixed bug. Trends in log where not accounted for in PAC equation.
2018-08-27 19:35:33 +02:00
Stéphane Adjemia (Scylla)
cd05b9ba8f
Cosmetic changes.
2018-08-22 11:49:30 +02:00
Stéphane Adjemia (Scylla)
2b6ee881a4
Efficiency changes.
2018-08-22 11:49:15 +02:00
Stéphane Adjemia (Scylla)
442a70e905
Added missing semicolon.
2018-08-21 21:56:01 +02:00
Stéphane Adjemia (Scylla)
4a0b3ffe7e
Adapted matlab code to new TREND_COMPONENT auxiliary model.
2018-08-21 21:49:58 +02:00
Stéphane Adjemia (Scylla)
38b2593e31
Efficiency changes.
2018-08-21 21:02:20 +02:00
Stéphane Adjemia (Scylla)
7d6296f7a6
Fixed bug introduced by 42bba08887
.
2018-08-17 21:42:09 +02:00
Stéphane Adjemian(Charybdis)
42bba08887
Make the code robust to the order of declaration of the estimated parameters.
2018-08-15 22:03:33 +02:00
Stéphane Adjemian(Charybdis)
702e6d4cc7
Fixed lag number in PAC equation.
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The number of autoregressive parameters has to be equal to the number of lags
in the PAC equation.
2018-08-13 12:41:37 +02:00
Stéphane Adjemian(Charybdis)
8b3ba814c7
Fixed PAC index for target variable in companion VAR.
2018-08-10 15:42:13 +02:00
Stéphane Adjemian(Charybdis)
dc026329a7
Cosmetic change.
2018-08-04 20:14:28 +02:00
Stéphane Adjemian(Charybdis)
0edebbe5d7
Added Iterative OLS routine for PAC equation.
2018-07-23 16:12:46 +02:00
Stéphane Adjemian(Charybdis)
f03a9b98e1
Fixed typo.
2018-07-20 17:09:15 +02:00
Stéphane Adjemian(Charybdis)
cd9410644f
Moved PAC estimation routine (NLS).
2018-07-16 16:30:07 +02:00
Stéphane Adjemian(Charybdis)
9468c5b61d
Bug fix in PAC equation simulation/estimation.
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Fixed the definition of idns (must target the trend variable).
2018-07-16 15:38:04 +02:00
Stéphane Adjemian(Charybdis)
c46fe7fcfa
Added check routine for PAC equation.
2018-07-16 14:56:05 +02:00
Stéphane Adjemian(Charybdis)
2256acfa73
Fixed replacement of LHS variable if the equation has no lag.
2018-07-13 19:10:25 +02:00
Stéphane Adjemian(Charybdis)
9b51b1ee16
Fixed logic for replacing variables by views of the data array.
2018-07-13 19:07:38 +02:00
Stéphane Adjemian(Charybdis)
51332c6fd6
Fixes related to the new "+" subfolder.
2018-07-10 18:34:49 +02:00
Stéphane Adjemian(Charybdis)
829849f4db
Fixed regular expression used to identify a PAC auxiliary model.
2018-07-05 11:50:50 +02:00
Stéphane Adjemian(Charybdis)
227ac46aa9
Fixed bug related to the parameters in PAC equation.
2018-07-04 10:02:19 +02:00
Stéphane Adjemian(Charybdis)
f248feb839
Fixed function handle name for sum of square residuals.
2018-07-04 09:38:19 +02:00
Stéphane Adjemian(Charybdis)
37bd4a1fea
Added routine for estimating a PAC equation by NLS.
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This is not a final version. The routine does not print the estimation result, and does not
compute the variance of the estimator. The routine updates the content of M_.params with the
vector of PAC parameters minimizing the sum of squared residuals.
2018-06-21 18:48:58 +02:00
Stéphane Adjemian(Charybdis)
45115e1172
Replaced pac.update.equation() by pac.update.expectation().
2018-06-21 18:47:57 +02:00
Stéphane Adjemian(Charybdis)
27e21acd5a
Adapt h1 formula depending on PAC's auxiliary model (var or vecm).
2018-05-30 18:26:18 +02:00
Stéphane Adjemian(Charybdis)
a4120a84b6
Adapted matlab routines to recent changes in preprocessor.
2018-05-16 21:31:31 +02:00
Stéphane Adjemian(Charybdis)
57bb6f3fe9
Fixed typo.
2018-04-12 12:23:50 +02:00
Stéphane Adjemian(Charybdis)
61c643a91f
Updated the preprocessor submodule (new PAC interface).
2018-04-12 10:11:09 +02:00
Stéphane Adjemian (Charybdis)
a135c49469
Added routines for PAC expectations.
2018-02-28 15:00:42 +01:00