57 lines
2.3 KiB
Matlab
57 lines
2.3 KiB
Matlab
function of = fn_a0freefun(b,Ui,nvar,n0,fss,H0inv)
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% of = fn_a0freefun(b,Ui,nvar,n0,fss,H0inv)
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%
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% Negative logPosterior function for squeesed A0 free parameters, which are b's in the WZ notation
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% Note: columns correspond to equations
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%
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% b: sum(n0)-by-1 vector of A0 free parameters
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% Ui: nvar-by-1 cell. In each cell, nvar-by-qi orthonormal basis for the null of the ith
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% equation contemporaneous restriction matrix where qi is the number of free parameters.
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% With this transformation, we have ai = Ui*bi or Ui'*ai = bi where ai is a vector
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% of total original parameters and bi is a vector of free parameters. When no
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% restrictions are imposed, we have Ui = I. There must be at least one free
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% parameter left for the ith equation.
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% nvar: number of endogeous variables
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% n0: nvar-by-1, ith element represents the number of free A0 parameters in ith equation
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% fss: nSample-lags (plus ndobs if dummies are included)
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% H0inv: cell(nvar,1). In each cell, posterior inverse of covariance inv(H0) for the ith equation,
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% resembling old SpH in the exponent term in posterior of A0, but not divided by T yet.
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%----------------
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% of: objective function (negative logPosterior)
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%
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% Tao Zha, February 2000
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% Copyright (C) 2000-2011 Tao Zha
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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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b=b(:); n0=n0(:);
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A0 = zeros(nvar);
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n0cum = [0;cumsum(n0)];
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tra = 0.0;
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for kj = 1:nvar
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bj = b(n0cum(kj)+1:n0cum(kj+1));
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A0(:,kj) = Ui{kj}*bj;
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tra = tra + 0.5*bj'*H0inv{kj}*bj; % negative exponential term
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end
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[A0l,A0u] = lu(A0);
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ada = -fss*sum(log(abs(diag(A0u)))); % negative log determinant of A0 raised to power T
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of = ada + tra;
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