73 lines
2.6 KiB
Matlab
73 lines
2.6 KiB
Matlab
function pooled_fgls(ds, param_common, param_regex)
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% function pooled_fgls(ds, param_common, param_regex)
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% Run Pooled FGLS
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%
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% INPUTS
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% ds [dseries] data to use in estimation
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% param_common [cellstr] List of values to insert into param_regex,
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% e.g. country codes {'FR', 'DE', 'IT'}
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% param_regex [cellstr] Where '*' should be replaced by the first
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% value in param_common
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%
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% OUTPUTS
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% none
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%
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% SPECIAL REQUIREMENTS
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% dynare must be run with the option: json=parse
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% Copyright (C) 2017-2018 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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global M_ oo_
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pooled_ols(ds, param_common, param_regex, true, 'pooled_fgls');
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oo_.sur.dof = length(oo_.pooled_fgls.sample_range);
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resid = oo_.pooled_fgls.Y - oo_.pooled_fgls.X * oo_.pooled_fgls.beta;
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resid = reshape(resid, oo_.sur.dof, length(oo_.pooled_fgls.residnames));
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M_.Sigma_e = resid'*resid/oo_.sur.dof;
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kLeye = kron(chol(inv(M_.Sigma_e)), eye(oo_.sur.dof));
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[q, r] = qr(kLeye*oo_.pooled_fgls.X, 0);
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oo_.pooled_fgls.beta = r\(q'*kLeye*oo_.pooled_fgls.Y);
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regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
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pbeta = oo_.pooled_fgls.pbeta;
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assigned_idxs = false(size(pbeta));
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for i = 1:length(param_regex)
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beta_idx = strcmp(pbeta, strrep(param_regex{i}, '*', oo_.pooled_fgls.country_name));
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assigned_idxs = assigned_idxs | beta_idx;
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value = oo_.pooled_fgls.beta(beta_idx);
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assert(~isempty(value));
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M_.params(~cellfun(@isempty, regexp(M_.param_names, ...
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strrep(param_regex{i}, '*', regexcountries)))) = value;
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end
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idxs = find(assigned_idxs == 0);
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values = oo_.pooled_fgls.beta(idxs);
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names = pbeta(idxs);
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for i = 1:length(idxs)
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M_.params(strcmp(M_.param_names, names{i})) = values(i);
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end
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'X');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'Y');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'residnames');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'pbeta');
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oo_.pooled_fgls = rmfield(oo_.pooled_fgls, 'country_name');
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end
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