modified oe routine to the new format

2 files changed, 19 insertions, 4 deletions

diff --git a/R/estUtil.R b/R/estUtil.R
index 5ebcacf..b8e5b5e 100644
--- a/R/estUtil.R
+++ b/R/estUtil.R
@@ -132,13 +132,17 @@ armaxGrad <- function(theta,e,dots){
 }
 
 oeGrad <- function(theta,e,dots){
-  # e - Instrument Variable, not necessarily residuals
   y <- dots[[1]]; u <- dots[[2]]; order <- dots[[3]];
   nb <- order[1];nf <- order[2]; nk <- order[3];
-  nb1 <- nb+nk-1 ; n <- max(nb1,nf); df <- N - nb - nf
+  nb1 <- nb+nk-1 ; n <- max(nb1,nf)
+  N <- dim(y)[1]
   
-  N <- dim(y)[1]-n
-  eout <- matrix(c(rep(0,n),e[,]))
+  if(is.null(e)){
+    iv <- dots[[4]]
+  } else{
+    iv <- y-e
+  }
+  eout <- matrix(c(rep(0,n),iv[,]))
   
   reg <- function(i) {
     if(nk==0) v <- i-0:(nb-1) else v <- i-nk:nb1
diff --git a/R/estpoly.R b/R/estpoly.R
index b74e9db..97175ee 100644
--- a/R/estpoly.R
+++ b/R/estpoly.R
@@ -359,8 +359,19 @@ oe <- function(x,order=c(1,1,0)){
 
   # Initial Guess
   mod_arx <- arx(x,c(nf,nb,nk)) # fitting ARX model
+  iv <- matrix(predict(mod_arx))
   theta0 <- c(coef(mod_arx)$B,coef(mod_arx)$A[-1])
   uout <- apply(u,2,leftPadZeros,n=n)
   
+  l <- levbmqdt(y,uout,order,iv,obj=armaxGrad,theta0=theta0,N=N,
+                opt=options)
+  theta <- l$params
+  e <- ts(l$residuals,start = start(y),deltat = deltat(y))
+  
+  model <- idpoly(B = theta[1:nb],F1 = c(1,theta[nb+1:nf]),
+                  -                  ioDelay = nk,Ts=deltat(x))
   
+  estpoly(sys = model,stats=list(vcov = l$vcov, sigma = l$sigma),
+          fitted.values=y-e,residuals=e,call=match.call(),input=u,
+          options = options,termination = l$termination)
 }
\ No newline at end of file