Logo Search packages:      
Sourcecode: gretl version File versions

liml.c

/*
 *  Copyright (c) 2004 by Allin Cottrell
 *
 *   This program is free software; you can redistribute it and/or modify
 *   it under the terms of the GNU General Public License as published by
 *   the Free Software Foundation; either version 2 of the License, or
 *   (at your option) any later version.
 *
 *   This program is distributed in the hope that it will be useful,
 *   but WITHOUT ANY WARRANTY; without even the implied warranty of
 *   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 *   GNU General Public License for more details.
 *
 *   You should have received a copy of the GNU General Public License
 *   along with this program; if not, write to the Free Software
 *   Foundation, Inc., 675 Mass Ave, Cambridge, MA 02139, USA.
 *
 */

#include "libgretl.h"
#include "gretl_matrix.h"
#include "system.h"

#define LDEBUG 0

static int on_exo_list (const int *exlist, int v)
{
    int i;

    for (i=1; i<=exlist[0]; i++) {
      if (exlist[i] == v) return 1;
    }

    return 0;
}

/* Note: it sort-of seems that to produce proper restricted LIML
   estimates one would somehow have to impose appropriate restrictions
   at the stage of the computations below, i.e. where the matrices of
   residuals E0 and E1 are generated.  These are residuals from the
   regression of the dependent and endogenous RHS variables on the
   exogenous vars (first just the included exogenous vars, then all of
   the instruments).  But since we're calculating E0 and E1
   equation-by-equation, we can't impose any cross-equation
   restrictions (and it's not clear to me what they would look like,
   anyway).  This means that the E0 and E1 estimates will be
   invariant, for a given equation, regardless of whether or not we're
   imposing restrictions at the level of the subsequent solution for
   the k-class estimator.  So the minimum eigenvalue and
   log-likelihood, for each equation, will also be invariant with
   respect to any restrictions.  This seems inconsistent.

   But maybe I'm wrong.  Clearly, the invariance mentioned above would
   produce nonsense if we were trying to conduct an LR test of the
   restrictions, but in fact we do an F-test, based on the covariance
   matrix of the unrestricted LIML estimates.  So perhaps it's OK...
*/

/* compose E0 or E1 as in Greene, 4e, p. 686, looping across the
   endogenous vars in the model list 
*/

static int resids_to_E (gretl_matrix *E, MODEL *lmod, int *reglist,
                  const int *exlist, const int *list, int T,
                  double ***pZ, DATAINFO *pdinfo)
{
    int i, j, t;
    int t1 = pdinfo->t1;
    int err = 0;

    j = 0;
    for (i=1; i<=list[0]; i++) {

      /* skip predetermined vars */
      if (on_exo_list(exlist, list[i])) {
          continue;
      }

      reglist[1] = list[i];

      /* regress the given endogenous var on the specified
         set of exogenous vars */
      *lmod = lsq(reglist, pZ, pdinfo, OLS, OPT_NONE, 0.0);
      if ((err = lmod->errcode)) {
          clear_model(lmod);
          break;
      }

      /* put residuals into appropriate column of E */
      for (t=0; t<T; t++) {
          gretl_matrix_set(E, t, j, lmod->uhat[t + t1]);
      }

      clear_model(lmod);

      /* increment the column of E */
      j++;
    }

    return err;
}

/* find the least characteristic root */

static double lambda_min (const double *lambda, int k)
{
    double lmin = 1.0;
    int i;

    for (i=0; i<k; i++) {
      if (i == 0) {
          lmin = lambda[i];
      } else if (lambda[i] < lmin) {
          lmin = lambda[i];
      }
    }

    return lmin;
}

/* construct the regression list for the auxiliary regressions
   needed as a basis for LIML */

static int *
liml_make_reglist (const gretl_equation_system *sys, const int *list, 
               int *k)
{
    const int *exlist = system_get_instr_vars(sys);
    int nexo = exlist[0];
    int *reglist;
    int i, j;

    reglist = malloc((nexo + 2) * sizeof *reglist);
    if (reglist == NULL) {
      return NULL;
    }

#if LDEBUG > 1
    fprintf(stderr, "Found %d exog vars; reglist allocated at length %d\n",
          nexo, nexo + 2);
#endif

    /* at first, put all _included_ exog vars in reglist */
    *k = 1;
    reglist[0] = 1;
    reglist[1] = 0;
    j = 2;
    for (i=2; i<=list[0]; i++) {
      if (on_exo_list(exlist, list[i])) {
          reglist[0] += 1;
          reglist[j++] = list[i];
      } else {
          /* an endogenous var */
          *k += 1;
      }
    }

    return reglist;
}

/* set the special LIML k-class data on the model: these data will be
   retrieved when calculating the LIML coefficients and their
   covariance matrix (in sysest.c)
*/

static int 
liml_set_model_data (MODEL *pmod, const gretl_matrix *E, 
                 const int *exlist, const int *list, 
                 int T, int t1, int n, double lmin,
                 double **Z)
{
    double *Xi = NULL;
    double *ymod = NULL;
    int ysize = n * sizeof *ymod;
    double yt, xit, eit;
    int m = list[0] - 1;
    int i, j, t;
    int err = 0;

    ymod = malloc(ysize);
    if (ymod == NULL) {
      return 1;
    }

    for (t=0; t<n; t++) {
      ymod[t] = NADBL;
    }

    for (t=0; t<T; t++) {
      yt = Z[list[1]][t + t1];
      eit = gretl_matrix_get(E, t, 0);
      ymod[t + t1] = yt - lmin * eit;
      j = 1;
      for (i=0; i<m; i++) {
          if (on_exo_list(exlist, list[i+2])) {
            continue;
          }
          Xi = tsls_get_Xi(pmod, Z, i);
          if (Xi == NULL) {
            err = 1;
            break;
          }
          xit = Z[list[i+2]][t + t1];
          eit = gretl_matrix_get(E, t, j++);
          Xi[t + t1] = xit - lmin * eit;
      }
      if (err) break;
    }

    if (!err) {
      err = gretl_model_set_data(pmod, "liml_y", ymod, ysize);
    }

    if (err) {
      free(ymod);
    }

    return err;
}

static int liml_do_equation (gretl_equation_system *sys, int eq, 
                       double ***pZ, DATAINFO *pdinfo, 
                       PRN *prn)
{
    const int *exlist = system_get_instr_vars(sys);
    const int *list = system_get_list(sys, eq);

    gretl_matrix *E = NULL;
    gretl_matrix *W0 = NULL;
    gretl_matrix *W1 = NULL;
    gretl_matrix *W2 = NULL;
    gretl_matrix *Inv = NULL;
    gretl_matrix *g = NULL;
    gretl_matrix *V = NULL;

    double *lambda, lmin = 1.0;
    double ll = 0.0;
    MODEL *pmod;
    MODEL lmod;
    int *reglist;
    int idf;
    int T = system_n_obs(sys);
    int i, k;
    int err = 0;

#if LDEBUG
    fprintf(stderr, "\nWorking on equation for %s\n", pdinfo->varname[list[1]]);
    printlist(list, "original equation list");
#endif

    /* get pointer to model (initialized via TSLS) */
    pmod = system_get_model(sys, eq);

    /* degrees of freedom for over-identification test: total exog
       vars minus number of params in equation (unless we're
       estimating subject to specified restrictions, in which
       case we'll skip the usual over-id test)
    */
    if (system_n_restrictions(sys) == 0) {
      idf = exlist[0] - (list[0] - 1);
    } else {
      idf = -1;
      gretl_model_set_int(pmod, "restricted", 1);
    }

    /* make regression list using only included exogenous vars */
    reglist = liml_make_reglist(sys, list, &k);
    if (reglist == NULL) {
      return E_ALLOC;
    }

#if LDEBUG
    printf("number of endogenous vars in equation: k = %d\n", k);
#endif

    /* allocate matrices */
    E = gretl_matrix_alloc(T, k);
    W0 = gretl_matrix_alloc(k, k);
    W1 = gretl_matrix_alloc(k, k);    
    W2 = gretl_matrix_alloc(k, k);
    Inv = gretl_matrix_alloc(k, k);

    if (E == NULL || W0 == NULL || W1 == NULL || W2 == NULL ||
      Inv == NULL) {
      goto bailout;
    }

    err = resids_to_E(E, &lmod, reglist, exlist, list, 
                  T, pZ, pdinfo);
    if (err) goto bailout;

    err = gretl_matrix_multiply_mod(E, GRETL_MOD_TRANSPOSE,
                            E, GRETL_MOD_NONE,
                            W0);
    if (err) goto bailout;

#if LDEBUG
    gretl_matrix_print(W0, "W0", NULL);
#endif

    /* now re-make the regression list using all exogenous vars */
    reglist[0] = 1 + exlist[0];
    for (i=2; i<=reglist[0]; i++) {
      reglist[i] = exlist[i-1];
    }

    err = resids_to_E(E, &lmod, reglist, exlist, list, 
                  T, pZ, pdinfo);
    if (err) goto bailout;
    
    err = gretl_matrix_multiply_mod(E, GRETL_MOD_TRANSPOSE,
                            E, GRETL_MOD_NONE,
                            W1);
    if (err) goto bailout;

#if LDEBUG
    gretl_matrix_print(W1, "W1", NULL);
#endif

    gretl_matrix_copy_values(Inv, W1);

    err = gretl_invert_symmetric_matrix(Inv);
    if (err) goto bailout;

    err = gretl_matrix_multiply(Inv, W0, W2);
    if (err) goto bailout;
    
    lambda = gretl_general_matrix_eigenvals(W2, NULL);
    if (lambda == NULL) {
      err = 1;
      goto bailout;
    }

    lmin = lambda_min(lambda, k);
    free(lambda);
    gretl_model_set_double(pmod, "lmin", lmin);
    gretl_model_set_int(pmod, "idf", idf);

    err = liml_set_model_data(pmod, E, exlist, list, T, pdinfo->t1, 
                        pdinfo->n, lmin, *pZ);
    if (err) {
      fprintf(stderr, "error in liml_set_model_data()\n");
      goto bailout;
    }

    /* compute and set log-likelihood, etc */
    ll = system_n_equations(sys) * LN_2_PI;
    ll += log(lmin);
    ll += gretl_matrix_log_determinant(W1);
    ll *= -(T / 2.0);
    pmod->lnL = ll;

    mle_aic_bic(pmod, 0); /* check the "0" (additional params) here */

 bailout:

    free(reglist);
    gretl_matrix_free(E);
    gretl_matrix_free(W0);
    gretl_matrix_free(W1);
    gretl_matrix_free(W2);
    gretl_matrix_free(Inv);
    gretl_matrix_free(g);
    gretl_matrix_free(V);

    return err;
}

/* Driver function for LIML: calculate the minimum eigenvalue per
   equation, and set the suitably transformed data on the respective
   models
*/

int liml_driver (gretl_equation_system *sys, double ***pZ, 
             DATAINFO *pdinfo, gretlopt opt, PRN *prn)
{
    int g = system_n_equations(sys);
    int i, err = 0;

    for (i=0; i<g && !err; i++) {
#if LDEBUG > 1
      printmodel(system_get_model(sys, i), pdinfo, OPT_NONE, prn);
#endif
      err = liml_do_equation(sys, i, pZ, pdinfo, prn);
    }

    return err;
}



    
      

    
    
    

    
    

Generated by  Doxygen 1.6.0   Back to index