54 lines
2.1 KiB
Matlab
54 lines
2.1 KiB
Matlab
function [co, b, yhat] = cosn(H)
|
|
% function [co, b, yhat] = cosn(H)
|
|
% -------------------------------------------------------------------------
|
|
% computes the cosine of the angle between the (endogenous variable) H(:,1)
|
|
% and its projection onto the span of (exogenous variables) H(:,2:end)
|
|
% Note: This is not the same as multiple correlation coefficient since the
|
|
% means are not zero
|
|
% =========================================================================
|
|
% INPUTS
|
|
% * H [n by k]
|
|
% Data matrix, endogenous variable y is in the first column,
|
|
% exogenous variables X are in the remaining (k-1) columns
|
|
% -------------------------------------------------------------------------
|
|
% OUTPUTS
|
|
% * co [double] (approximate) multiple correlation coefficient
|
|
% * b [k by 1] ols estimator
|
|
% * y [n by 1] predicted endogenous values given ols estimation
|
|
% -------------------------------------------------------------------------
|
|
% This function is called by
|
|
% * identification.checks.m
|
|
% * ident_bruteforce.m
|
|
% =========================================================================
|
|
% Copyright © 2008-2019 Dynare Team
|
|
%
|
|
% This file is part of Dynare.
|
|
%
|
|
% Dynare is free software: you can redistribute it and/or modify
|
|
% it under the terms of the GNU General Public License as published by
|
|
% the Free Software Foundation, either version 3 of the License, or
|
|
% (at your option) any later version.
|
|
%
|
|
% Dynare is distributed in the hope that it will be useful,
|
|
% but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
% GNU General Public License for more details.
|
|
%
|
|
% You should have received a copy of the GNU General Public License
|
|
% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
|
|
% =========================================================================
|
|
|
|
y = H(:,1);
|
|
X = H(:,2:end);
|
|
|
|
b=(X\y); %ols estimator
|
|
if any(isnan(b)) || any(isinf(b))
|
|
b=0;
|
|
end
|
|
yhat = X*b; %predicted values
|
|
if rank(yhat)
|
|
co = abs(y'*yhat/sqrt((y'*y)*(yhat'*yhat)));
|
|
else
|
|
co=0;
|
|
end
|