function [Fmat,gvec] = fn_gfmean(b,P,Vi,nvar,ncoef,n0,np) % [Fmat,gvec] = fn_gfmean(b,P,Vi,nvar,ncoef,n0,np) % % Mean of free lagged parameters g and original lagged parameters F, conditional on comtemporaneous b's % See Waggoner and Zha's Gibbs sampling % % b: sum(n0)-element vector of mean estimate of A0 free parameters % P: cell(nvar,1). In each cell, the transformation matrix that affects the posterior mean of A+ conditional on A0. % 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 % n0: nvar-element vector, ith element represents the number of free A0 parameters in ith equation % np: nvar-element vector, ith element represents the number of free A+ parameters in ith equation %--------------- % Fmat: ncoef-by-nvar matrix of original lagged parameters A+. Column corresponding to equation. % gvec: sum(np)-by-1 stacked vector of all free lagged parameters A+. % % Tao Zha, February 2000. Revised, August 2000. b=b(:); n0=n0(:); np=np(:); n0cum = [0;cumsum(n0)]; npcum = [0;cumsum(np)]; gvec = zeros(npcum(end),1); Fmat = zeros(ncoef,nvar); % ncoef: maximum original lagged parameters per equation if ~(length(b)==n0cum(end)) error('Make inputs n0 and length(b) match exactly') end for kj=1:nvar bj = b(n0cum(kj)+1:n0cum(kj+1)); gj = P{kj}*bj; gvec(npcum(kj)+1:npcum(kj+1)) = gj; Fmat(:,kj) = Vi{kj}*gj; end