132 lines
4.2 KiB
Matlab
132 lines
4.2 KiB
Matlab
function pooled_fgls(ds, param_common, param_regex, eqtags, model_name, param_names, ds_range)
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% function pooled_fgls(ds, param_common, param_regex, eqtags, model_name, param_names, ds_range)
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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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% 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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%
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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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% none
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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 © 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 <https://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 > 7
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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 < 7
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ds_range = ds.dates;
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end
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if nargin < 6
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param_names = {};
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end
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if nargin < 5
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model_name = '';
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end
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if nargin < 4
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eqtags = {};
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end
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maxit = 100;
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tol = 1e-6;
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%% Common work between pooled_ols and pooled_fgls
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[Y, X, pbeta, residnames, country_name, model_name] = pooled_ols(ds, param_common, param_regex, true, eqtags, model_name, param_names, ds_range);
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%% Estimation
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neqs = length(residnames);
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oo_.pooled_fgls.(model_name).dof = size(X,1)/neqs;
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beta0 = oo_.pooled_fgls.(model_name).beta;
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for i = 1:maxit
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resid = Y - X * beta0;
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resid = reshape(resid, oo_.pooled_fgls.(model_name).dof, neqs);
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vcv = resid'*resid/oo_.pooled_fgls.(model_name).dof;
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kLeye = kron(inv(chol(vcv))', eye(oo_.pooled_fgls.(model_name).dof));
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[q, r] = qr(kLeye*X, 0);
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oo_.pooled_fgls.(model_name).beta = r\(q'*kLeye*Y);
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if max(abs(beta0 - oo_.pooled_fgls.(model_name).beta)) < tol
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break
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end
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beta0 = oo_.pooled_fgls.(model_name).beta;
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if i == maxit
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warning('maximum nuber of iterations reached')
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end
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end
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% Set appropriate entries in M_.Sigma_e
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idxs = zeros(neqs, 1);
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for i = 1:neqs
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idxs(i) = find(strcmp(residnames{i}, M_.exo_names));
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end
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M_.Sigma_e(idxs, idxs) = vcv;
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regexcountries = ['(' strjoin(param_common(1:end),'|') ')'];
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assigned_idxs = false(size(pbeta));
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incidxs = [];
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for i = 1:length(param_regex)
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beta_idx = strcmp(pbeta, strrep(param_regex{i}, '*', country_name));
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assigned_idxs = assigned_idxs | beta_idx;
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value = oo_.pooled_fgls.(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_fgls.(model_name).beta(idxs);
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names = pbeta(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_fgls', model_name, incidxs, M_.params(incidxs));
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end
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