static void compute_VAR_dataset (irfboot *b, GRETL_VAR *var,
const GRETL_VAR *vbak)
{
double x;
int i, j, k, t;
int nl = var_n_lags(var);
#if BDEBUG
gretl_matrix_print(var->Y, "var->Y before resampling");
gretl_matrix_print(var->X, "var->X before resampling");
#endif
for (t=0; t<var->T; t++) {
/* extract row of var->X at t */
gretl_matrix_extract_matrix(b->Xt, var->X, t, 0, GRETL_MOD_NONE);
/* multiply Xt into original coeff matrix, forming Yt */
gretl_matrix_multiply(b->Xt, vbak->B, b->Yt);
/* extract resampled residuals at t */
gretl_matrix_extract_matrix(b->Et, b->rE, t, 0, GRETL_MOD_NONE);
/* add resampled residual to Yt */
gretl_matrix_add_to(b->Yt, b->Et);
/* write into big Y matrix */
gretl_matrix_inscribe_matrix(var->Y, b->Yt, t, 0, GRETL_MOD_NONE);
/* revise lagged Y columns in X */
k = var->ifc;
for (i=0; i<var->neqns; i++) {
x = b->Yt->val[i];
for (j=1; j<=nl && t+j < var->T; j++) {
gretl_matrix_set(var->X, t+j, k++, x);
}
}
}
#if BDEBUG > 1
gretl_matrix_print(var->Y, "var->Y after resampling");
gretl_matrix_print(var->X, "var->X after resampling");
#endif
}
gretl_matrix *HAC_XOX (const gretl_matrix *uhat,
const gretl_matrix *X,
VCVInfo *vi, int use_prior,
int *err)
{
gretl_matrix *XOX = NULL;
gretl_matrix *Wtj = NULL;
gretl_matrix *Gj = NULL;
gretl_matrix *H = NULL;
gretl_matrix *A = NULL;
gretl_matrix *w = NULL;
int prewhiten;
int data_based;
int kern;
int T = X->rows;
int k = X->cols;
int p, j, t;
double bt = 0;
if (use_prior) {
kern = vi->vmin;
prewhiten = vi->flags & HAC_PREWHITEN;
if (kern == KERNEL_QS) {
bt = vi->bw;
p = T - 1;
} else {
p = vi->order;
}
data_based = 0;
} else {
kern = libset_get_int(HAC_KERNEL);
data_based = data_based_hac_bandwidth();
prewhiten = libset_get_bool(PREWHITEN);
}
#if NW_DEBUG
fprintf(stderr, "*** HAC: kern = %d, prewhiten = %d ***\n",
kern, prewhiten);
#endif
if (use_prior) {
H = newey_west_H(X, uhat, NULL);
} else if (prewhiten || data_based) {
H = newey_west_H(X, uhat, &w);
} else {
H = newey_west_H(X, uhat, NULL);
}
if (H == NULL) {
*err = E_ALLOC;
return NULL;
} else if (prewhiten) {
*err = nw_prewhiten(H, &A);
}
if (!*err) {
XOX = gretl_zero_matrix_new(k, k);
Wtj = gretl_matrix_alloc(k, k);
Gj = gretl_matrix_alloc(k, k);
if (XOX == NULL || Wtj == NULL || Gj == NULL) {
*err = E_ALLOC;
}
}
if (*err) {
goto bailout;
}
/* determine the bandwidth setting */
if (!use_prior) {
if (data_based) {
*err = newey_west_bandwidth(H, w, kern, prewhiten, &p, &bt);
if (*err) {
goto bailout;
}
} else if (kern == KERNEL_QS) {
bt = libset_get_double(QS_BANDWIDTH);
p = T - 1;
} else {
p = get_hac_lag(T);
}
}
if (!*err) {
double wj;
for (j=0; j<=p; j++) {
/* cumulate running sum of Gamma-hat terms */
gretl_matrix_zero(Gj);
for (t=j; t<T; t++) {
/* W(t)-transpose * W(t-j) */
wtw(Wtj, H, k, t, j);
gretl_matrix_add_to(Gj, Wtj);
}
if (j > 0) {
/* Gamma(j) = Gamma(j) + Gamma(j)-transpose */
gretl_matrix_add_self_transpose(Gj);
if (kern == KERNEL_QS) {
wj = qs_hac_weight(bt, j);
} else {
wj = hac_weight(kern, p, j);
}
gretl_matrix_multiply_by_scalar(Gj, wj);
}
gretl_matrix_add_to(XOX, Gj);
}
}
if (A != NULL) {
hac_recolor(XOX, A);
}
if (!use_prior) {
vi->vmaj = VCV_HAC;
vi->vmin = kern;
vi->flags = prewhiten ? HAC_PREWHITEN : 0;
if (kern == KERNEL_QS) {
vi->order = 0;
vi->bw = bt;
} else {
vi->order = p;
vi->bw = NADBL;
}
}
bailout:
gretl_matrix_free(H);
gretl_matrix_free(Wtj);
gretl_matrix_free(Gj);
gretl_matrix_free(A);
gretl_matrix_free(w);
if (*err && XOX != NULL) {
gretl_matrix_free(XOX);
XOX = NULL;
}
return XOX;
}
