Merge pull request #307 from LAMPSPUC/gb/fix-bsm-exogenous

Fix Basic Structural Model with Explanatory
LAMPSPUC · Mar 31, 2022 · bea472c · bea472c · guilhermebodin · Mar 31, 2022
2 parents 8f08ab0 + 60a601c
commit bea472c
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Showing 5 changed files with 10 additions and 7 deletions.
diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml
@@ -15,10 +15,10 @@ jobs:
           - version: '1'
             os: ubuntu-latest
             arch: x64
-          - version: '1.0'
+          - version: '1.6'
             os: ubuntu-latest
             arch: x64
-          - version: '1.0'
+          - version: '1.6'
             os: ubuntu-latest
             arch: x86
     steps:

diff --git a/Project.toml b/Project.toml
@@ -1,7 +1,7 @@
 name = "StateSpaceModels"
 uuid = "99342f36-827c-5390-97c9-d7f9ee765c78"
 authors = ["raphaelsaavedra <[email protected]>, guilhermebodin <[email protected]>, mariohsouto"]
-version = "0.6.1"
+version = "0.6.2"
 
 [deps]
 Distributions = "31c24e10-a181-5473-b8eb-7969acd0382f"

diff --git a/src/fit.jl b/src/fit.jl
@@ -60,8 +60,8 @@ function fit!(
                 "If you are interested in estimates of the distribution of ther hyperparameters we advise you to" *
                 "change the optimization algorithm by using the kwarg fit(...; optimizer = "*
                 "Optimizer(StateSpaceModels.Optim.THE_METHOD_OF_YOUR_CHOICE()))" * 
-                "The list of possible algorithms can be found on this link https://julianlsolvers.github.io/Optim.jl/stable/#" * 
-                "Otherwise you can simply skip this proccess by using fit(...; save_hyperparameter_distribution=false) "
+                "The list of possible algorithms can be found on this link https://julianlsolvers.github.io/Optim.jl/stable/# " * 
+                "otherwise you can simply skip this proccess by using fit(...; save_hyperparameter_distribution=false) "
             )
             std_err = fill(NaN, number_hyperparameters(model))
             fill_results!(model, opt_loglikelihood, std_err)

diff --git a/src/models/basicstructural_explanatory.jl b/src/models/basicstructural_explanatory.jl
@@ -42,8 +42,8 @@ mutable struct BasicStructuralExplanatory <: StateSpaceModel
             1 1 zeros(Fl, 1, s - 1) zeros(Fl, 1, num_exogenous)
             0 1 zeros(Fl, 1, s - 1) zeros(Fl, 1, num_exogenous)
             0 0 -ones(Fl, 1, s - 1) zeros(Fl, 1, num_exogenous)
-            zeros(Fl, s - 2, 2) Matrix{Fl}(I, s - 2, s - 2) zeros(Fl, s - 2) zeros(Fl, 10, num_exogenous)
-            zeros(Fl, num_exogenous, 13) Matrix{Fl}(I, num_exogenous, num_exogenous)
+            zeros(Fl, s - 2, 2) Matrix{Fl}(I, s - 2, s - 2) zeros(Fl, s - 2) zeros(Fl, s - 2, num_exogenous)
+            zeros(Fl, num_exogenous, s + 1) Matrix{Fl}(I, num_exogenous, num_exogenous) 
         ] for _ in 1:num_observations]
         R = [[
             Matrix{Fl}(I, 3, 3)

diff --git a/test/models/basicstructural_explanatory.jl b/test/models/basicstructural_explanatory.jl
@@ -3,6 +3,9 @@
     y = CSV.File(StateSpaceModels.AIR_PASSENGERS) |> DataFrame
     logap = log.(y.passengers)
     X = rand(length(logap), 2)
+    model = BasicStructuralExplanatory(logap, 10, X)
+    fit!(model)
+    model.results
     model = BasicStructuralExplanatory(logap, 12, X)
     fit!(model)
     model.results