b844bc53a0
pac: fix bugs in output of ec component
2019-03-07 11:44:40 +01:00
9eb64a0b64
Updated preprocessor submodule.
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Fixes exogenous variables in PAC equation without non optimizing behaviour.
2019-03-06 15:39:00 +01:00
4798c07ced
Avoid infinite loop in pac.estimation.iterative_ols().
2019-03-05 07:21:08 +01:00
d00b57541e
Allow exogenous variables in pac.estimation.iterative_ols routine.
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The parameters associated to these additional variables can be estimated or calibrated.
2019-03-01 23:32:47 +01:00
f07b1e8028
Account for exogenous variables in PAC's RoT part.
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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
6500099f4e
Removed debugging display.
2019-02-27 15:08:49 +01:00
1aa7f4a93f
Added PAC with Model Consistent Expectations.
2019-02-25 17:31:58 +01:00
ac09ab9dbf
Removed useless condition.
2019-02-25 17:31:58 +01:00
0af3068569
Handle situations where a PAC model is used in more than one equation.
2019-02-22 17:58:24 +01:00
74520e77bf
Allow for lags on endogenous variable in growth option of pac_model.
2019-01-28 11:25:30 +01:00
3bc6b34161
Bug fix.
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Be agnostic about the name of the PAC model.
2019-01-07 13:33:08 +01:00
c829e7968d
If possible define boundaries for the share of optimizing agents in PAC/NLS.
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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
df57bf7eb9
Fixed bug.
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PAC/NLS routine was only working if the PAC model was named `pacman`.
2018-12-19 16:00:57 +01:00
11b24a0663
Add a constraint on the share of optimizing agents PAC/Iterative OLS.
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Ensure that the parameter value lies betwwen 0 and 1.
2018-12-19 15:43:36 +01:00
c0570ff0af
Fixed typo.
2018-12-19 15:41:32 +01:00
38c8462142
If NLS, do not check the ordering of estimated parameters in PAC.
2018-12-12 16:28:19 +01:00
d501d6d511
Added interface to lsqnonlin (Mathworks' optimization toolbox) in pac.estimate.nls.
2018-11-29 10:29:55 +01:00
e6c716ae9b
Added the possibility to use Gauss-Newton in pac/nls.
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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
cf35496c06
Fixed bug in the evaluation of the sum of squared residuals (PAC/NLS).
2018-11-21 15:21:23 +01:00
7d2d0d6590
Added the possibility to estimate the share of optimizing agents by iterative OLS (PAC).
2018-11-21 15:07:15 +01:00
a53c63d6d5
Added routines to print PAC_EXPECTATION and VAR_EXPECTATION in files.
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Each new routine pac.print() and var_expectation.print(), creates two files
that can be included (using the macro language) in a mod file. The first
file, {pac,var}expectationmodename-parameters.inc saved under
{M_.fname}/model/{pac,var}expectationmodel, contains the declaration of the
parameters created for the expanded (var or pac) expectation model, with
calibrated values. The second file, {pac,var}expectationmodename-parameters.inc
saved in the same subfolder, contains the expanded version of the (pac or var)
expectation term as a linear combination of the variables in the companion
representation of the expectatino model.
2018-10-14 16:57:51 +02:00
ae71599292
Switch to new get_companion_matrix routine.
2018-09-28 19:27:17 +02:00
031e2c87c6
New version of get_companion_matrix + new integration test.
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The routine is still buggy. In PAC and VAR_EXPECTATION models we
use get_companion_matrix_legacy routine instead.
2018-09-19 17:39:48 +02:00
2518cd9884
Raise error of an optimization algorithm is not available.
2018-09-13 16:16:07 +02:00
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
6815624a6a
Fixed bug.
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Growth neutrality correction was applied twice.
2018-09-12 15:41:07 +02:00
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
74ef4d2131
Cosmetic change.
2018-09-06 13:40:43 +02:00
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
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
6e1d06bddc
Display SSR in Iterative OLS.
2018-09-03 18:01:59 +02:00
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
fde103d5f4
Removed debugging display.
2018-09-03 17:55:55 +02:00
a207550680
Fixed error correction term.
2018-09-03 17:53:01 +02:00
e1b2b80d64
Small efficiency change.
2018-08-29 17:42:49 +02:00
d23d1a470b
Added the possibility to estimate PAC_EQUATION with iterative ols and non constant growth.
2018-08-29 17:42:04 +02:00
30b34c4323
Small efficiency changes.
2018-08-29 16:15:52 +02:00
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
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
ae530293c5
Fixed bug. Trends in log where not accounted for in PAC equation.
2018-08-27 19:35:33 +02:00
cd05b9ba8f
Cosmetic changes.
2018-08-22 11:49:30 +02:00
2b6ee881a4
Efficiency changes.
2018-08-22 11:49:15 +02:00
442a70e905
Added missing semicolon.
2018-08-21 21:56:01 +02:00
4a0b3ffe7e
Adapted matlab code to new TREND_COMPONENT auxiliary model.
2018-08-21 21:49:58 +02:00
38b2593e31
Efficiency changes.
2018-08-21 21:02:20 +02:00
7d6296f7a6
Fixed bug introduced by 42bba08887.
2018-08-17 21:42:09 +02:00
42bba08887
Make the code robust to the order of declaration of the estimated parameters.
2018-08-15 22:03:33 +02:00
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
8b3ba814c7
Fixed PAC index for target variable in companion VAR.
2018-08-10 15:42:13 +02:00
dc026329a7
Cosmetic change.
2018-08-04 20:14:28 +02:00
0edebbe5d7
Added Iterative OLS routine for PAC equation.
2018-07-23 16:12:46 +02:00
f03a9b98e1
Fixed typo.
2018-07-20 17:09:15 +02:00
cd9410644f
Moved PAC estimation routine (NLS).
2018-07-16 16:30:07 +02:00
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
c46fe7fcfa
Added check routine for PAC equation.
2018-07-16 14:56:05 +02:00
2256acfa73
Fixed replacement of LHS variable if the equation has no lag.
2018-07-13 19:10:25 +02:00
9b51b1ee16
Fixed logic for replacing variables by views of the data array.
2018-07-13 19:07:38 +02:00
51332c6fd6
Fixes related to the new "+" subfolder.
2018-07-10 18:34:49 +02:00
829849f4db
Fixed regular expression used to identify a PAC auxiliary model.
2018-07-05 11:50:50 +02:00
227ac46aa9
Fixed bug related to the parameters in PAC equation.
2018-07-04 10:02:19 +02:00
f248feb839
Fixed function handle name for sum of square residuals.
2018-07-04 09:38:19 +02:00
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
45115e1172
Replaced pac.update.equation() by pac.update.expectation().
2018-06-21 18:47:57 +02:00
27e21acd5a
Adapt h1 formula depending on PAC's auxiliary model (var or vecm).
2018-05-30 18:26:18 +02:00
a4120a84b6
Adapted matlab routines to recent changes in preprocessor.
2018-05-16 21:31:31 +02:00
57bb6f3fe9
Fixed typo.
2018-04-12 12:23:50 +02:00
61c643a91f
Updated the preprocessor submodule (new PAC interface).
2018-04-12 10:11:09 +02:00
a135c49469
Added routines for PAC expectations.
2018-02-28 15:00:42 +01:00
Houtan Bastani
Stéphane Adjemian (Charybdis)
Stéphane Adjemia (Scylla)
Stéphane Adjemian(Charybdis)