From 0f3678ec4a22d06cc3c8cb7164eda2b0e619ee2a Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?St=C3=A9phane=20Adjemian=28Charybdis=29?=
<stephane.adjemian@univ-lemans.fr>
Date: Thu, 6 Sep 2018 22:07:31 +0200
Subject: [PATCH] Fixed ordering of variables in error correction term of PAC
equation
PAC equation has to be written as
diff(x) = a0*(xstar(-1)-x(-1)) + a1*diff(x(-1)) + ... + ap*diff(x(-p)) + PAC_EXPECTATION(pacmodelname) + ...;
In the error correction term, a0*(xstar(-1)-x(-1)), we must have the difference
between the target (the trend xstar(-1)) and the level of the endogenous
variable (x(-1)). To ensure stability around the trend, the parameter a0 needs
to be positive.
REMARKS
[1] In the TREND_COMPONENT_MODEL the error correction terms are written in
reverse order, ie as the difference betwwen the level of the endogenous
variable and the trend variable.
[2] In the estimation routine we do not constrain a0 to be positive, but is
would surely help to satisfy this condition in the initial condition.
---
matlab/+pac/+estimate/iterative_ols.m | 11 ++++++++++-
matlab/+pac/+estimate/nls.m | 7 +++++++
matlab/+pac/+update/parameters.m | 9 +++------
preprocessor | 2 +-
4 files changed, 21 insertions(+), 8 deletions(-)
diff --git a/matlab/+pac/+estimate/iterative_ols.m b/matlab/+pac/+estimate/iterative_ols.m
index 0269a91e52..9836f4aa7a 100644
--- a/matlab/+pac/+estimate/iterative_ols.m
+++ b/matlab/+pac/+estimate/iterative_ols.m
@@ -83,9 +83,18 @@ if ~isempty(M_.pac.(pacmodl).h1_param_indices)
end
end
+% Reorder ec.vars locally if necessary. Second variable must be the
+% endogenous variable, while the first must be the associated trend.
+if M_.pac.(pacmodl).ec.isendo(2)
+ ecvars = M_.pac.(pacmodl).ec.vars;
+else
+ ecvars = flip(M_.pac.(pacmodl).ec.vars);
+end
+
% Build matrix for EC and AR terms.
DataForOLS = dseries();
-DataForOLS{'ec-term'} = data{M_.endo_names{M_.pac.(pacmodl).ec.vars(2)}}.lag(1)-data{M_.endo_names{M_.pac.(pacmodl).ec.vars(1)}}.lag(1);
+% Error correction term is trend minus the level of the endogenous variable.
+DataForOLS{'ec-term'} = data{M_.endo_names{ecvars(1)}}.lag(1)-data{M_.endo_names{ecvars(2)}}.lag(1);
listofvariables3 = {'ec-term'};
xparm = { M_.param_names(M_.pac.(pacmodl).ec.params(1))};
for i = 1:length(M_.pac.(pacmodl).ar.params)
diff --git a/matlab/+pac/+estimate/nls.m b/matlab/+pac/+estimate/nls.m
index bf5dc8bd22..e11c83c3ee 100644
--- a/matlab/+pac/+estimate/nls.m
+++ b/matlab/+pac/+estimate/nls.m
@@ -44,6 +44,13 @@ global M_ oo_
[pacmodl, lhs, rhs, pnames, enames, xnames, pid, eid, xid, ~, ipnames_, params, data, islaggedvariables] = ...
pac.estimate.init(M_, oo_, eqname, params, data, range);
+% Check that the error correction term is correct.
+if M_.pac.(pacmodl).ec.isendo(1)
+ error(['\nThe error correction term in PAC equation (%s) is not correct.\nThe ' ...
+ 'error correction term should be the difference between a trend\n' ...
+ 'and the level of the endogenous variable.'], pacmodl);
+end
+
% List of objects to be replaced
objNames = [pnames; enames; xnames];
objIndex = [pid; eid; xid];
diff --git a/matlab/+pac/+update/parameters.m b/matlab/+pac/+update/parameters.m
index d0b4faf169..dfefb8c81f 100644
--- a/matlab/+pac/+update/parameters.m
+++ b/matlab/+pac/+update/parameters.m
@@ -65,7 +65,7 @@ end
pacvalues = DynareModel.params([pacmodel.ec.params; pacmodel.ar.params(1:pacmodel.max_lag)']);
% Get the indices for the stationary/nonstationary variables in the VAR system.
-id = find(strcmp(DynareModel.endo_names{pacmodel.ec.vars(2)}, varmodel.list_of_variables_in_companion_var));
+id = find(strcmp(DynareModel.endo_names{pacmodel.ec.vars(find(~pacmodel.ec.isendo))}, varmodel.list_of_variables_in_companion_var));
if isempty(id)
% Find the auxiliary variables if any
@@ -75,14 +75,11 @@ if isempty(id)
else
for i=1:length(ad)
auxinfo = DynareModel.aux_vars(get_aux_variable_id(varmodel.list_of_variables_in_companion_var{ad(i)}));
- if isequal(auxinfo.endo_index, pacmodel.ec.vars(2))
- % /!\ First element of ec.vars is the level of the endogenous
- % variable in the PAC equation, the second element
- % is the target variable.
+ if isequal(auxinfo.endo_index, pacmodel.ec.vars(find(~pacmodel.ec.isendo)))
id = ad(i);
break
end
- if isequal(auxinfo.type, 8) && isequal(auxinfo.orig_index, pacmodel.ec.vars(2))
+ if isequal(auxinfo.type, 8) && isequal(auxinfo.orig_index, pacmodel.ec.vars(find(~pacmodel.ec.isendo)))
id = ad(i);
break
end
diff --git a/preprocessor b/preprocessor
index 27c9a9a5e0..e19a14869e 160000
--- a/preprocessor
+++ b/preprocessor
@@ -1 +1 @@
-Subproject commit 27c9a9a5e03e05396b3df1a69351e44b11e5993b
+Subproject commit e19a14869eae4f2ed1571446c543ee39726421d8
--
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