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Exogenous regressors #4

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merged 12 commits into from
Aug 4, 2017
Merged

Exogenous regressors #4

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a4e23d0
"I am changing the intro of the funtion RForm_VAR. My goal is to incl…
jm4474 Jul 29, 2017
089ea5f
"I modified this function to handle exogenous regressors W.
jm4474 Jul 29, 2017
e6b143d
"Final version of the RForm_VAR file"
jm4474 Jul 29, 2017
a0b0707
"I changed this file to allow for the presence of exogenous regressor…
jm4474 Jul 29, 2017
6f6a7a4
"Changed the order of the variables to use Karel's cholesky code"
jm4474 Jul 29, 2017
c17ad5c
"Using backslash instead of ^{-1} to define Gamma 1 and Gamma 2"
jm4474 Jul 29, 2017
4375565
"Corrected a minor typo on the description of the function
jm4474 Jul 29, 2017
00bee7c
"Changed the notation for the dimension of the exogenous regressors c…
jm4474 Jul 29, 2017
0f50dba
"Created this function to check Karel's implementation"
jm4474 Aug 1, 2017
cbe5a62
"Karel's implementation of CASE 3"
jm4474 Aug 1, 2017
c8c1bfa
"Fixed a typo on line 77! I was missing an \"m\"!
jm4474 Aug 1, 2017
ce88754
"eliminated the comment"
jm4474 Aug 1, 2017
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"Changed the notation for the dimension of the exogenous regressors c… 
…ontained in X

(m instead of w)"
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@jm4474
jm4474 committed Jul 29, 2017
commit 00bee7ceea4bafac2a3eee2efec8f52d04bd4da8
6 changes: 3 additions & 3 deletions functions/RForm/CovAhat_Sigmahat_Gamma.m
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Original file line number Diff line number Diff line change
Expand Up @@ -22,7 +22,7 @@

k = size(Z,2);

w = size(X,2) - (n*p);
m = size(X,2) - (n*p);

XSVARp = X;

Expand All @@ -41,7 +41,7 @@

%Each 2-D page contains [eta_t W_t', eta_t X_t', eta_t eta_t'-Sigma, eta_tZ_t'-Gamma];

vecAss1 = reshape(auxeta,[(n*w)+(p*(n^2))+n^2+(n*k),1,T1aux]);
vecAss1 = reshape(auxeta,[(n*m)+(p*(n^2))+n^2+(n*k),1,T1aux]);

%Each 2-D page contains [vec(eta_tW_t'); vec(eta_tX_t') ; vec(eta_t*eta_t'-Sigma) ; vec(eta_tZ_t'-Gamma)]

Expand Down Expand Up @@ -73,7 +73,7 @@

Q2 = Z'*XSVARp/T1aux;

Shat = [kron([zeros(n*p,w),eye(n*p)]*(Q1^(-1)),eye(n)), zeros((n^2)*p,n^2+(k*n)); ...
Shat = [kron([zeros(n*p,m),eye(n*p)]*(Q1^(-1)),eye(n)), zeros((n^2)*p,n^2+(k*n)); ...
zeros(n*(n+1)/2,((n^2)*p)+n), V, zeros(n*(n+1)/2,k*n);...
-kron(Q2*(Q1^(-1)),eye(n)), zeros(k*n,n^2),eye(k*n) ];

Expand Down