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