From b380b9177b2c0820cbf9fed8722791a8239e2fb4 Mon Sep 17 00:00:00 2001 From: adamwang15 Date: Tue, 16 Jul 2024 15:03:44 +1000 Subject: [PATCH] add Q in posterior --- src/bsvars_sign.cpp | 3 +++ 1 file changed, 3 insertions(+) diff --git a/src/bsvars_sign.cpp b/src/bsvars_sign.cpp index cec26a6..313142c 100644 --- a/src/bsvars_sign.cpp +++ b/src/bsvars_sign.cpp @@ -66,6 +66,7 @@ Rcpp::List bsvar_sign_cpp( mat posterior_hyper(N + 3, S); cube posterior_A(N, K, S); cube posterior_B(N, N, S); + cube posterior_Q(N, N, S); cube posterior_Sigma(N, N, S); cube posterior_Theta0(N, N, S); cube posterior_shocks(N, T, S); @@ -139,6 +140,7 @@ Rcpp::List bsvar_sign_cpp( posterior_hyper.col(s) = hyper; posterior_A.slice(s) = B.t(); posterior_B.slice(s) = Q.t() * h_invp; + posterior_Q.slice(s) = Q; posterior_Sigma.slice(s) = Sigma; posterior_Theta0.slice(s) = chol_Sigma * Q; posterior_shocks.slice(s) = shocks; @@ -165,6 +167,7 @@ Rcpp::List bsvar_sign_cpp( _["hyper"] = posterior_hyper, _["A"] = posterior_A, _["B"] = posterior_B, + _["Q"] = posterior_Q, _["Sigma"] = posterior_Sigma, _["Theta0"] = posterior_Theta0, _["shocks"] = posterior_shocks