qz_switch: Switch diagonal elements of upper-triangular matrices

In bfunovits/indeterminateR: Evaluates the Existence and Uniqueness Properties of LRE Models

Description

This function switches the diagonal elements of the upper-triangular matrices Λ and Ω in the QZ-decomposition. It is a helper function for making the QZ-decomposition unique in the case where all generalized eigenvalues are different from each other.

Usage

qz_switch(my_qz_list, i = 1, tol = sqrt(.Machine$double.eps))

Arguments

my_qz_list	List object containing the orthogonal and upper-triangular matrices returned by the QZ-decomposition in R.
i	Index of the diagonal element to be switched with the following one, i.e. i+1
tol	Numeric tolerance level. Default set to square root of machine precision.

Details

Based on the code by Christopher A. Sims, retrieved on 18 June 2017 from http://sims.princeton.edu/yftp/gensys/Rfiles/. See also Kagstrom (1993)

Value

List object qz_list with elements

• Lambda: Upper-triangular matrix in Sims' notation.

• Omega: Upper-triangular matrix in Sims' notation.

• Z: Orthogonal matrix in Sims' notation.

• Q: Orthogonal matrix in Sims' notation.

• gev_abs: The absolute values of generalized eigenvalues.

• ev_pairs: The pairs of diagonal elements of Λ and Ω.

bfunovits/indeterminateR documentation built on May 28, 2019, 7:10 p.m.