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