#------------------------------------------------------------------------------#
# File: unpack.parameters.stage2.R
#
# Description: This file generates coefficient matrices for the stage 2
# state-space model for the given parameter vector.
#
# Stage 2 parameter vector: [a_y,1, a_y,2, a_r, a_0, a_g, b_pi, b_y, sigma_y~, sigma_pi, sigma_y*]
#------------------------------------------------------------------------------#
unpack.parameters.stage2 <- function(parameters, y.data, x.data, lambda.g, xi.00=NA, P.00=NA) {
A <- matrix(0, 2, 7)
A[1, 1:2] <- parameters[1:2] # a_y,1, a_y,2
A[1, 3:4] <- parameters[3]/2 # a_r/2
A[1, 7] <- parameters[4] # a_0
A[2, 1] <- parameters[7] # b_y
A[2, 5] <- parameters[6] # b_pi
A[2, 6] <- 1 - parameters[6] # 1 - b_pi
A <- t(A)
H <- matrix(0, 2, 4)
H[1, 1 ] <- 1
H[1, 2:3] <- -parameters[1:2] # -a_y,1, -a_y,2
H[1, 4 ] <- parameters[5] # a_g
H[2, 2] <- -parameters[7] # -b_y
H <- t(H)
R <- diag(c(parameters[8]^2, parameters[9]^2)) # sigma_y~, sigma_pi
Q <- matrix(0, 4, 4)
Q[1, 1] <- parameters[10]^2 # sigma_y*
Q[4, 4] <- (lambda.g * parameters[10])^2 # sigma_y*
F_matrix <- matrix(0, 4, 4)
F_matrix[1, 1] <- F_matrix[1, 4] <- F_matrix[2, 1] <- F_matrix[3, 2] <- F_matrix[4,4] <- 1
return(list("xi.00"=xi.00, "P.00"=P.00, "F_matrix"=F_matrix, "Q"=Q, "A"=A, "H"=H, "R"=R, "x.data"=x.data, "y.data"=y.data))
}
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.