2009-12-16 18:17:34 +01:00
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function [Q,R] = qr2(X)
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% This routine performs a qr decomposition of matrix X such that the
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% diagonal scalars of the upper-triangular matrix R are positive. If X
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% is a full (column) rank matrix, then R is also the cholesky
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% factorization of X'X. This property is needed for the Del Negro
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% & Schorfheides's identification scheme.
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%
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% INPUTS
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% See matlab's documentation for QR decomposition.
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%
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% OUTPUTS
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% See matlab's documentation for QR decomposition.
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%
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% ALGORITHM
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% None.
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%
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% SPECIAL REQUIREMENTS
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% None.
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% Copyright (C) 2006-2008 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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[Q,R] = qr(X);
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indx = find(diag(R)<0);
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if ~isempty(indx)
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Q(:,indx) = -Q(:,indx);
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R(indx,:) = -R(indx,:);
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2007-01-22 14:40:05 +01:00
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end
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