2011-05-12 18:29:29 +02:00
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function [Ui,Vi,n0,np,ixmC0Pres] = upper_cholesky(nvar,nexo,options_ms)
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2010-03-10 08:32:51 +01:00
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lags = options_ms.nlags;
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indxC0Pres = options_ms.cross_restrictions;
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2009-12-01 14:52:52 +01:00
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Ui = cell(nvar,1);
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Vi = cell(nvar,1);
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n0 = zeros(nvar,1);
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np = zeros(nvar,1);
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2010-03-10 08:32:51 +01:00
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2009-12-01 14:52:52 +01:00
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if (nargin==2)
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2010-03-10 08:32:51 +01:00
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nexo = 1;
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2009-12-01 14:52:52 +01:00
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elseif (nargin==3)
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indxC0Pres = 0;
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end
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2010-03-10 08:32:51 +01:00
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k = lags*nvar+nexo;
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2009-12-01 14:52:52 +01:00
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Qi = zeros(nvar,nvar,nvar);
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Ri = zeros(k,k,nvar);
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for ii=2:nvar
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2010-03-10 08:32:51 +01:00
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Qi(ii-1,ii-1,ii)=1;
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Qi(:,:,ii)=Qi(:,:,ii)+Qi(:,:,ii-1);
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2011-07-29 18:11:50 +02:00
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end
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if options_ms.constants_exclusion
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for i=1:nvar
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Ri(i,k,i) = 1;
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end
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2009-12-01 14:52:52 +01:00
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end
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for n=1:nvar
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Ui{n} = null(Qi(:,:,n));
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Vi{n} = null(Ri(:,:,n));
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n0(n) = size(Ui{n},2);
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np(n) = size(Vi{n},2);
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end
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ixmC0Pres = NaN;
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