static int re_estimate_VAR (irfboot *b, GRETL_VAR *v, int targ, int shock,
int iter)
{
int err;
err = gretl_matrix_multi_ols(v->Y, v->X, v->B, v->E, NULL);
if (!err) {
VAR_write_A_matrix(v);
}
if (!err) {
gretl_matrix_multiply_mod(v->E, GRETL_MOD_TRANSPOSE,
v->E, GRETL_MOD_NONE,
v->S, GRETL_MOD_NONE);
gretl_matrix_divide_by_scalar(v->S, v->df); /* was v->T in denom. */
err = gretl_VAR_do_error_decomp(v->S, v->C, v->ord);
}
if (!err) {
err = recalculate_impulse_responses(b, v, targ, shock, iter);
}
return err;
}
static int nw_prewhiten (gretl_matrix *H, gretl_matrix **pA)
{
gretl_matrix *H0, *H1, *A, *U;
gretl_matrix_block *B;
int T = H->rows;
int k = H->cols;
double h;
int t, j;
int err = 0;
B = gretl_matrix_block_new(&H0, T-1, k,
&H1, T-1, k,
&A, k, k,
&U, T-1, k,
NULL);
if (B == NULL) {
return E_ALLOC;
}
for (j=0; j<k; j++) {
for (t=1; t<T; t++) {
h = gretl_matrix_get(H, t, j);
gretl_matrix_set(H0, t-1, j, h);
h = gretl_matrix_get(H, t-1, j);
gretl_matrix_set(H1, t-1, j, h);
}
}
/* estimate VAR */
err = gretl_matrix_multi_ols(H0, H1, A, U, NULL);
/* apply the "0.97 limit" if needed */
if (!err) {
err = maybe_limit_VAR_coeffs(A, H0, H1, U);
}
if (!err) {
/* replace incoming H with VAR residuals */
for (j=0; j<k; j++) {
gretl_matrix_set(H, 0, j, 0.0);
for (t=1; t<T; t++) {
h = gretl_matrix_get(U, t-1, j);
gretl_matrix_set(H, t, j, h);
}
}
}
#if NW_DEBUG
gretl_matrix_print(A, "prewhite A-hat");
gretl_matrix_print(H, "prewhitened H");
#endif
if (!err) {
*pA = gretl_matrix_copy(A);
if (*pA == NULL) {
err = E_ALLOC;
}
}
gretl_matrix_block_destroy(B);
return err;
}
