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