36 lines
1.2 KiB
Matlab
36 lines
1.2 KiB
Matlab
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function [h0, h1, longruncorrectionparameter] = hVectors(params, H, ids, idns)
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% INPUTS
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% - params [double] (m+1)*1 vector, PAC parameters (lag polynomial coefficients and discount factor).
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% - H [double] (np*np) matrix, companion matrix of the VAR(p) model.
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% - ids [integer] n*1 vector, selection of the stationary components of the VAR.
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% - idns [integer] n*1 vector, selection of the non stationary components of the VAR.
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%
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% OUTPUTS
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% - h0 [double] 1*n vector.
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% - h1 [double] 1*n vector.
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if nargout>1 && nargin<4
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error('Wrong number of Inputs/Outputs!')
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end
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[G, alpha, beta] = buildGmatrixWithAlphaAndBeta(params);
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A_1 = polyval(alpha, 1.0);
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A_b = polyval(alpha, beta);
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m = length(alpha);
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n = length(H);
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tmp = eye(n*m)-kron(G, transpose(H));
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h0 = A_1*A_b*((kron(iota(m, m), H))'*(tmp\kron(iota(m, m), iota(n, ids))));
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if nargout>1
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h1 = A_1*A_b*(kron(iota(m, m)'*inv(eye(m)-G), H')*(tmp\kron(iota(m, m), iota(n, idns))));
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end
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if nargout>2
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d = A_1*A_b*(iota(m, m)'*inv((eye(m)-G)*(eye(m)-G))*iota(m, m));
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longruncorrectionparameter = (1-sum(params(2:end-2))-d);
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end
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