8d84d0b38b
Add 'tests/pac/' from commit '72dda0e3ebdb46b741e484f2e2f2155d02c59815'
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git-subtree-dir: tests/pac
git-subtree-mainline: 0f3678ec4a72dda0e3eb
2018-09-06 23:35:53 +02:00
72dda0e3eb
Added README file.
2018-09-06 23:13:14 +02:00
df0c15d418
Add LICENSE
2018-09-06 21:02:16 +00:00
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
ea768b9ff9
Added new tests.
2018-09-06 18:03:19 +02:00
1a071915fa
Updated tests/examples with new ordering of error correction term.
2018-09-06 18:02:45 +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
044f0f8de6
Added missing output required by some integration tests.
2018-09-03 17:38:09 +02:00
5ea0c8098b
Ensure that the ordering of the trend variables is consistent...
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... With the ordering of the EC variables.
2018-09-03 17:35:59 +02:00
9414731bba
Activate twelveth test with trend_component auxiliary model.
2018-09-03 17:33:24 +02:00
0080055469
Activate integratiion test on VAR_MODEL and TREND_COMPONENT_MODEL.
2018-08-30 12:07:58 +02:00
8276acb55f
Added integration tests for TREND_COMPONENT model.
2018-08-30 12:02:48 +02:00
2a991516bf
Added new example with time varying growth in PAC.
2018-08-29 18:04:10 +02:00
7bcc5b9f42
Added integration tests for VAR_MODEL.
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Check the AR matrices.
2018-08-29 17:43:35 +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
48c1370071
Added new test.
2018-08-29 10:06:11 +02:00
a5e8b6383b
Updated preprocessor.
2018-08-28 19:28:28 +02:00
00498d19c8
Fixed ec matrix (rules out lag>1).
2018-08-28 19:25:05 +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
27f2f198e4
Fixed error correction term in PAC.
2018-08-28 19:20:34 +02:00
eff4fee483
Added new test.
2018-08-28 17:26:24 +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
7cf4dc751e
Fixed integration test.
2018-08-28 11:08:40 +02:00
6dc35c676b
Fixed bug in VAR_EXPECTATION with TREND_COMPONENT_MODEL.
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The selection of the expected variable in the companion VAR was not correct.
2018-08-28 11:06:20 +02:00
ae530293c5
Fixed bug. Trends in log where not accounted for in PAC equation.
2018-08-27 19:35:33 +02:00
e8a08cdf52
Merge branch 'master' into ecb-master
2018-08-27 16:47:57 +02:00
b945bdd042
preprocessor: submodule update
2018-08-27 16:45:12 +02:00
03f75963b9
Added missing g (growth) parameter.
2018-08-27 15:09:02 +02:00
83c9b0d5b6
Make rool for trend_component_model in var_expectation.
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Not yet working, a bug in the preprocessor remains to be fixed. The
preprocessor does not create the correct number of reduced form parameters
for VAR_EXPECTATION when the auxiliary model is a trend component model,
because it ignores the fact that the model has to be rewritten in levels.
2018-08-27 14:37:26 +02:00
e25b6a0a18
Merge branch 'master' into ecb-master
2018-08-23 10:58:54 +02:00
ee93d9ddd1
preprocessor: update submodule
2018-08-23 10:53:32 +02:00
6ec9758313
update var_expectation code and tests for change in field name
2018-08-23 10:38:39 +02:00
50fbc8026c
preprocessor: submodule update
2018-08-23 10:38:39 +02:00
e3a9a8675e
Updated preprocessor submodule.
2018-08-22 16:19:25 +02:00
0a7083d6a6
preprocessor: submodule update
2018-08-22 12:18:55 +02:00
cd05b9ba8f
Cosmetic changes.
2018-08-22 11:49:30 +02:00
2b6ee881a4
Efficiency changes.
2018-08-22 11:49:15 +02:00
ad871c8493
Added routine to launch all the tests.
2018-08-21 22:19:59 +02:00
9e9025b677
Clear structure containing the estimated PAC parameters.
2018-08-21 22:18:55 +02:00
ecd6cd716f
Updated examples with new initialization routine for the PAC model.
2018-08-21 22:17:58 +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
Stéphane Adjemian(Charybdis)
Stéphane Adjemian
Houtan Bastani