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function [g,badg] = a0freegrad(b,Ui,nvar,n0,fss,H0inv)
% [g,badg] = a0freegrad(b,Ui,nvar,n0,fss,H0inv)
%
% Analytical gradient for a0freefun.m in use of csminwel.m
% b: sum(n0)-by-1 vector of A0 free parameters
% Ui: nvar-by-1 cell. In each cell, nvar-by-qi orthonormal basis for the null of the ith
% equation contemporaneous restriction matrix where qi is the number of free parameters.
% With this transformation, we have ai = Ui*bi or Ui'*ai = bi where ai is a vector
% of total original parameters and bi is a vector of free parameters. When no
% restrictions are imposed, we have Ui = I. There must be at least one free
% parameter left for the ith equation.
% nvar: number of endogeous variables
% n0: nvar-by-1, ith element represents the number of free A0 parameters in ith equation
% fss: nSample-lags (plus ndobs if dummies are included)
% H0inv: cell(nvar,1). In each cell, posterior inverse of covariance inv(H0) for the ith equation,
% resembling old SpH in the exponent term in posterior of A0, but not divided by T yet.
%---------------
% g: sum(n0)-by-1 analytical gradient for a0freefun.m
% badg: 0, the value that is used in csminwel.m
%
% Tao Zha, February 2000
%
% Copyright (C) 1997-2012 Tao Zha
%
% This 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 3 of the License, or
% (at your option) any later version.
%
% It 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.
%
% If you did not received a copy of the GNU General Public License
% with this software, see <http://www.gnu.org/licenses/>.
%
b=b(:);
A0 = zeros(nvar);
n0cum = cumsum(n0);
g = zeros(n0cum(end),1);
badg = 0;
for kj = 1:nvar
if kj==1
bj = b(1:n0(kj));
g(1:n0(kj)) = H0inv{kj}*bj;
A0(:,kj) = Ui{kj}*bj;
else
bj = b(n0cum(kj-1)+1:n0cum(kj));
g(n0cum(kj-1)+1:n0cum(kj)) = H0inv{kj}*bj;
A0(:,kj) = Ui{kj}*bj;
end
end
B=inv(A0');
for ki = 1:sum(n0)
if ki<=n0(1)
g(ki) = g(ki) - fss*B(:,1)'*Ui{1}(:,ki);
else
n = max(find( (ki-n0cum)>0 ))+1; % note, 1<n<nvar
g(ki) = g(ki) - fss*B(:,n)'*Ui{n}(:,ki-n0cum(n-1));
end
end
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