1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
|
function F = fn_tran_g2f(g,Vi,nvar,ncoef,np)
% Transform free parameters g's to F (A+). Note: columns correspond to equations
% See Waggoner and Zha's ``A Gibbs sampler for structural VARs''
%
% g: sum(np)-by-1 stacked vector of all free lagged parameters A+.
% Vi: nvar-by-1 cell. In each cell, k-by-ri orthonormal basis for the null of the ith
% equation lagged restriction matrix where k is a total of exogenous variables and
% ri is the number of free parameters. With this transformation, we have fi = Vi*gi
% or Vi'*fi = gi where fi is a vector of total original parameters and gi is a
% vector of free parameters. There must be at least one free parameter left for
% the ith equation.
% nvar: number of endogeous variables
% ncoef: number of original lagged variables per equation
% np: nvar-element vector, ith element represents the number of free A+ parameters in ith equation
%---------------
% F: ncoef-by-nvar matrix of original lagged parameters A+. Column corresponding to equation.
%
% August 2000, Tao Zha.
%
% 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/>.
%
g=g(:); np=np(:);
npcum = [0;cumsum(np)];
F = zeros(ncoef,nvar); % ncoef: maximum original lagged parameters per equation
for kj=1:nvar
F(:,kj) = Vi{kj}*g(npcum(kj)+1:npcum(kj+1));
end
|
