74520e77bf
Allow for lags on endogenous variable in growth option of pac_model.
2019-01-28 11:25:30 +01:00
3bc6b34161
Bug fix.
...
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.
...
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.
...
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.
...
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.
...
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.
...
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.
...
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).
...
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.
...
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
...
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.
...
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.
...
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.
...
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.
...
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.
...
- 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.
...
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.
...
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
Stéphane Adjemia (Scylla)
Stéphane Adjemian(Charybdis)
Stéphane Adjemian(Charybdis)