function of = a0freefun(b,Ui,nvar,n0,fss,H0inv) % of = a0freefun(b,Ui,nvar,n0,fss,H0inv) % % Negative logPosterior function for squeesed A0 free parameters, which are b's in the WZ notation % Note: columns correspond to equations % % b: sum(n0)-by-1 vector of A0 free parameters % Ui: nvar-by-1 cell. In each cell, nvar-by-qi orthonormal basis for the null of the ith % equation contemporaneous restriction matrix where qi is the number of free parameters. % With this transformation, we have ai = Ui*bi or Ui'*ai = bi where ai is a vector % of total original parameters and bi is a vector of free parameters. When no % restrictions are imposed, we have Ui = I. There must be at least one free % parameter left for the ith equation. % nvar: number of endogeous variables % n0: nvar-by-1, ith element represents the number of free A0 parameters in ith equation % fss: nSample-lags (plus ndobs if dummies are included) % H0inv: cell(nvar,1). In each cell, posterior inverse of covariance inv(H0) for the ith equation, % resembling old SpH in the exponent term in posterior of A0, but not divided by T yet. %---------------- % of: objective function (negative logPosterior) % % Tao Zha, February 2000 b=b(:); A0 = zeros(nvar); n0cum = cumsum(n0); tra = 0.0; for kj = 1:nvar if kj==1 bj = b(1:n0(kj)); A0(:,kj) = Ui{kj}*bj; tra = tra + 0.5*bj'*H0inv{kj}*bj; % negative exponential term else bj = b(n0cum(kj-1)+1:n0cum(kj)); A0(:,kj) = Ui{kj}*bj; tra = tra + 0.5*bj'*H0inv{kj}*bj; % negative exponential term end end [A0l,A0u] = lu(A0); ada = -fss*sum(log(abs(diag(A0u)))); % negative log determinant of A0 raised to power T of = ada + tra;