241 lines
8.2 KiB
Matlab
241 lines
8.2 KiB
Matlab
function varargout = pooled_ols(ds, param_common, param_regex, overlapping_dates, eqtags, model_name, param_names, ds_range)
|
|
% function varargout = pooled_ols(ds, param_common, param_regex, overlapping_dates, eqtags, model_name, param_names, ds_range)
|
|
% Run Pooled OLS
|
|
% Apply parameter values found to corresponding parameter values in the
|
|
% other blocks of the model
|
|
%
|
|
% INPUTS
|
|
% ds [dseries] data to use in estimation
|
|
% param_common [cellstr] List of values to insert into param_regex,
|
|
% e.g. country codes {'FR', 'DE', 'IT'}
|
|
% param_regex [cellstr] Where '*' should be replaced by the first
|
|
% value in param_common
|
|
% overlapping_dates [bool] if the dates across the equations should
|
|
% overlap
|
|
% eqtags [cellstr] names of equation tags to estimate. If empty,
|
|
% estimate all equations
|
|
% model_name [string] name to use in oo_ and inc file
|
|
% param_names [cellstr] list of parameters to estimate (if
|
|
% empty, estimate all) (may contain regex
|
|
% to match param_regex)
|
|
% ds_range [dates] range of dates to use in estimation
|
|
%
|
|
% OUTPUTS
|
|
% return arguments common to pooled_fgls only if called from pooled_fgls
|
|
%
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% dynare must have been run with the option: json=compute
|
|
|
|
% Copyright © 2017-2019 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/>.
|
|
|
|
global M_ oo_
|
|
|
|
%% Check input arguments
|
|
if nargin < 1 || nargin > 8
|
|
error('Incorrect number of arguments')
|
|
end
|
|
|
|
if isempty(ds) || ~isdseries(ds)
|
|
error('The first argument must be a dseries');
|
|
end
|
|
|
|
if nargin < 8
|
|
ds_range = ds.dates;
|
|
else
|
|
if isempty(ds_range)
|
|
ds_range = ds.dates;
|
|
else
|
|
if ds_range(1) < ds.firstdate || ds_range(end) > lastdate(ds)
|
|
error('There is a problem with the 8th argument: the date range does not correspond to that of the dseries')
|
|
end
|
|
end
|
|
end
|
|
|
|
if nargin < 7
|
|
param_names = {};
|
|
else
|
|
if ~isempty(param_names) && ~iscellstr(param_names)
|
|
error('The 7th argument, if provided, must be a cellstr')
|
|
end
|
|
end
|
|
|
|
st = dbstack(1);
|
|
if isoctave && octave_ver_less_than('6.3.0')
|
|
% Workaround for https://savannah.gnu.org/bugs/?60531, fixed in 6.3.0
|
|
st = st(2:end);
|
|
end
|
|
if ~isempty(st) && strcmp(st(1).name, 'pooled_fgls')
|
|
save_structure_name = 'pooled_fgls';
|
|
else
|
|
save_structure_name = 'pooled_ols';
|
|
end
|
|
|
|
if nargin < 6 || isempty(model_name)
|
|
if ~isfield(oo_, save_structure_name)
|
|
model_name = [save_structure_name '_model_number_1'];
|
|
else
|
|
model_name = [save_structure_name '_model_number_' num2str(length(fieldnames(oo_.(save_structure_name))) + 1)];
|
|
end
|
|
else
|
|
if ~isvarname(model_name)
|
|
error('The 7th argument must be a valid string');
|
|
end
|
|
end
|
|
|
|
if nargin < 5
|
|
eqtags = {};
|
|
end
|
|
|
|
if isempty(param_common) && isempty(param_regex)
|
|
disp('Performing OLS instead of Pooled OLS...')
|
|
dyn_ols(ds, {}, eqtags, model_name, param_names, ds_range);
|
|
return
|
|
end
|
|
|
|
assert(~isempty(param_common) && iscellstr(param_common), 'The second argument must be a cellstr');
|
|
assert(~isempty(param_regex) && iscellstr(param_regex), 'The third argument must be a cellstr');
|
|
|
|
if nargin < 4
|
|
overlapping_dates = false;
|
|
else
|
|
assert(islogical(overlapping_dates) && length(overlapping_dates) == 1, 'The fourth argument must be a bool');
|
|
end
|
|
|
|
|
|
|
|
%% Get Equation(s)
|
|
ast = get_ast(eqtags);
|
|
neqs = length(ast);
|
|
|
|
%% Replace parameter names in equations
|
|
country_name = param_common{1};
|
|
regexcountries = ['(' strjoin(param_common(2:end),'|') ')'];
|
|
ast = replace_parameters(ast, country_name, regexcountries, param_regex);
|
|
|
|
%% Replace in param_names
|
|
for i = 1:length(param_names)
|
|
param_names{i} = strrep(param_names{i}, '*', country_name);
|
|
end
|
|
|
|
%% Find parameters and variable names in every equation & Setup estimation matrices
|
|
[Y, lhssub, X, ~, ~, residnames] = common_parsing(ds(ds_range), ast, overlapping_dates, param_names);
|
|
clear ast
|
|
nobs = zeros(length(Y), 1);
|
|
nobs(1) = Y{1}.nobs;
|
|
fp = Y{1}.firstobservedperiod;
|
|
for i = 2:length(Y)
|
|
if Y{i}.firstobservedperiod < fp
|
|
fp = Y{i}.firstobservedperiod;
|
|
end
|
|
nobs(i) = Y{i}.nobs;
|
|
end
|
|
[Y, ~, X] = put_in_sur_form(Y, lhssub, X);
|
|
|
|
%% Handle FGLS
|
|
if strcmp(st(1).name, 'pooled_fgls')
|
|
% Pass vars back to pooled_fgls
|
|
varargout{1} = Y.data;
|
|
varargout{2} = X.data;
|
|
varargout{3} = X.name;
|
|
varargout{4} = residnames;
|
|
varargout{5} = country_name;
|
|
varargout{6} = model_name;
|
|
end
|
|
|
|
%% Estimation
|
|
% Estimated Parameters
|
|
[q, r] = qr(X.data, 0);
|
|
oo_.(save_structure_name).(model_name).beta = r\(q'*Y.data);
|
|
|
|
if strcmp(st(1).name, 'pooled_fgls')
|
|
return
|
|
end
|
|
clear save_structure_name;
|
|
|
|
% Assign parameter values back to parameters using param_regex & param_common
|
|
regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
|
|
assigned_idxs = false(size(X.name));
|
|
incidxs = [];
|
|
for i = 1:length(param_regex)
|
|
beta_idx = strcmp(X.name, strrep(param_regex{i}, '*', country_name));
|
|
assigned_idxs = assigned_idxs | beta_idx;
|
|
value = oo_.pooled_ols.(model_name).beta(beta_idx);
|
|
if isempty(eqtags) && isempty(param_names)
|
|
assert(~isempty(value));
|
|
end
|
|
if ~isempty(value)
|
|
idxs = find(~cellfun(@isempty, regexp(M_.param_names, strrep(param_regex{i}, '*', regexcountries))))';
|
|
incidxs = [incidxs idxs];
|
|
M_.params(idxs) = value;
|
|
end
|
|
end
|
|
idxs = find(assigned_idxs == 0);
|
|
values = oo_.pooled_ols.(model_name).beta(idxs);
|
|
names = X.name(idxs);
|
|
assert(length(values) == length(names));
|
|
for i = 1:length(idxs)
|
|
incidxs = [incidxs find(strcmp(M_.param_names, names{i}))];
|
|
M_.params(incidxs(end)) = values(i);
|
|
end
|
|
|
|
% Write .inc file
|
|
write_param_init_inc_file('pooled_ols', model_name, incidxs, M_.params(incidxs));
|
|
|
|
residuals = Y.data - X.data * oo_.pooled_ols.(model_name).beta;
|
|
for i = 1:neqs
|
|
if i == 1
|
|
oo_.pooled_ols.(model_name).resid.(residnames{i}) = residuals(1:nobs(1));
|
|
elseif i == neqs
|
|
oo_.pooled_ols.(model_name).resid.(residnames{i}) = residuals(sum(nobs(1:i-1))+1:end);
|
|
else
|
|
oo_.pooled_ols.(model_name).resid.(residnames{i}) = residuals(sum(nobs(1:i-1))+1:sum(nobs(1:i)));
|
|
end
|
|
oo_.pooled_ols.(model_name).varcovar.(['eq' num2str(i)]) = oo_.pooled_ols.(model_name).resid.(residnames{i})*oo_.pooled_ols.(model_name).resid.(residnames{i})';
|
|
idx = find(strcmp(residnames{i}, M_.exo_names));
|
|
M_.Sigma_e(idx, idx) = var(oo_.pooled_ols.(model_name).resid.(residnames{i}));
|
|
end
|
|
end
|
|
|
|
function ast = replace_parameters(ast, country_name, regexcountries, param_regex)
|
|
for i = 1:length(ast)
|
|
ast{i}.AST = replace_parameters_recursive(ast{i}.AST, country_name, regexcountries, param_regex);
|
|
end
|
|
end
|
|
|
|
function node = replace_parameters_recursive(node, country_name, regexcountries, param_regex)
|
|
if strcmp(node.node_type, 'VariableNode')
|
|
if strcmp(node.type, 'parameter')
|
|
for i = 1:length(param_regex)
|
|
splitp = strsplit(param_regex{i}, '*');
|
|
assert(length(splitp) >= 2);
|
|
tmp = regexprep(node.name, strjoin(splitp, regexcountries), strjoin(splitp, country_name));
|
|
if ~strcmp(tmp, node.name)
|
|
node.name = tmp;
|
|
return
|
|
end
|
|
end
|
|
end
|
|
elseif strcmp(node.node_type, 'UnaryOpNode')
|
|
node.arg = replace_parameters_recursive(node.arg, country_name, regexcountries, param_regex);
|
|
elseif strcmp(node.node_type, 'BinaryOpNode')
|
|
node.arg1 = replace_parameters_recursive(node.arg1, country_name, regexcountries, param_regex);
|
|
node.arg2 = replace_parameters_recursive(node.arg2, country_name, regexcountries, param_regex);
|
|
end
|
|
end
|