From e264d1da1537339c253e1d49c76a36a9f6398633 Mon Sep 17 00:00:00 2001
From: Houtan Bastani <houtan.bastani@ens.fr>
Date: Tue, 31 Jan 2012 10:21:15 +0100
Subject: [PATCH] remove files of the form *.bak
---
MatlabFiles/Gibbsvar.bak | 74 ----------------------------------------
1 file changed, 74 deletions(-)
delete mode 100755 MatlabFiles/Gibbsvar.bak
diff --git a/MatlabFiles/Gibbsvar.bak b/MatlabFiles/Gibbsvar.bak
deleted file mode 100755
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-function A0gbs = gibbsvar(A0gbs,cT,vR,nvar,fss,kdf)
-% A0gbs = gibbsvar(A0gbs,cT,vR,nvar,fss,kdf)
-% One-step Gibbs sampler for structural VARs -- simultaneous equations approach
-% Ref.: D.F. Waggoner and T.A. Zha: "Does Normalization Matter for Inference?"
-% See Note Forecast (2) pp. 44-51
-%
-% A0gbs: the last draw of A0 matrix
-% cT{i}: nvar-by-nvar where T'*T=Sbd{i} which is kind of covariance martrix
-% divided by fss already
-% vR{i}: nvar-by-q{i} -- orthonormral basis for T*R, which is obtained through
-% single value decomposition of Q*inv(T). See gibbsglb.m
-% nvar: rank of A0 or # of variables
-% fss: effective sample size == nSample (T)-lags+# of dummy observations
-% kdf: polynomial power in the Gamma or 1d Wishart distribution
-%------------------
-% A0bgs: new draw of A0 matrix in this Gibbs step
-%
-% Written by Tao Zha; Copyright (c) 1999 by Waggoner and Zha
-
-
-%---------------- Local loop for Gibbs given last A0gbs ----------
-%* uR{i}: nvar-by-q{i} -- orthonormal with first q(i)-1 vectors lies in the
-% span(T*a(j)|j~=i)
-%*** Constructing u(1),...,u(q{i}) at each Gibbs step
-%
-uR = cell(nvar,1);
-sw0 = zeros(nvar,1);
-for k=1:nvar % given last A0gbs and general new A0bgs
- X = cT{k}*A0gbs; % given the latest updated A0gbs
- X(:,k) = 0; % want to find non-zero sw s.t., X'*sw=0
- [jL,Ux,Px] = lu(X');
- jIx0 = min(find(abs(diag(Ux))<eps)); % if isempty(jIx0), then something is wrong here
- %
- sw0(jIx0+1:end) = 0;
- sw0(jIx0) = 1;
- jA = Ux(1:jIx0-1,1:jIx0-1);
- jb = Ux(1:jIx0-1,jIx0);
- jy = -jA\jb;
- sw0(1:jIx0-1) = jy;
- sw = sw0/sqrt(sum(sw0.^2));
- %
- lenk = length(vR{k}(1,:));
- gkb = zeros(lenk,1); % greek beta's
- uR{k} = zeros(nvar,lenk);
- sx = zeros(nvar,lenk);
- sx(:,1) = vR{k}(:,1);
- for ki = 1:lenk-1
- wxv = [sw'*sx(:,ki);sw'*vR{k}(:,ki+1)]; % w'*x and w'*v(+1)
- dwxv = sqrt(sum(wxv.^2));
- if (dwxv<eps)
- uR{k}(:,ki)=sx(:,ki); sx(:,ki+1)=vR{k}(:,ki+1);
- else
- wxv = wxv/dwxv;
- uR{k}(:,ki) = wxv(1)*vR{k}(:,ki+1) - wxv(2)*sx(:,ki);
- sx(:,ki+1) = wxv(2)*vR{k}(:,ki+1) + wxv(1)*sx(:,ki);
- end
- end
- uR{k}(:,lenk) = sx(:,lenk); % uR now constructed
- %
- %--------- Gibbs loop ----------
- %*** draw independently beta's that combine uR to form a's (columns of A0)
- jcon = sqrt(1/fss);
- gkb(1:lenk-1) = jcon*randn(lenk-1,1);
- %* gamma or 1-d Wishart draw
- jnk = jcon*randn(kdf+1,1);
- if rand(1)<0.5
- gkb(lenk) = sqrt(jnk'*jnk);
- else
- gkb(lenk) = -sqrt(jnk'*jnk);
- end
- %
- %*** form new a(i) - ith column of A0
- A0gbs(:,k) = (cT{k}\uR{k})*gkb;
-end
--
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