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Merge branch 'main' of https://github.com/bsvars/bsvarSIGNs
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@donotdespair
donotdespair committed Jul 18, 2024
2 parents 3545dd6 + 49c06a8 commit 9e20fa9
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Showing 7 changed files with 28 additions and 43 deletions.
5 changes: 2 additions & 3 deletions R/estimate.R
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Original file line number Diff line number Diff line change
Expand Up @@ -97,7 +97,6 @@ estimate.BSVARSIGN = function(specification, S, thin = 1, show_progress = TRUE)
# get the inputs to estimation
# prior = specification$last_draw$prior$get_prior()
prior = specification$prior$get_prior()
starting_values = specification$starting_values$get_starting_values()
identification = specification$identification$get_identification()
max_tries = identification$max_tries
data_matrices = specification$data_matrices$get_data_matrices()
Expand Down Expand Up @@ -136,8 +135,8 @@ estimate.BSVARSIGN = function(specification, S, thin = 1, show_progress = TRUE)

# estimation
qqq = .Call(`_bsvarSIGNs_bsvar_sign_cpp`, S, p, Y, X,
identification$VB, sign, narrative, rel, Z, prior,
starting_values, show_progress, thin, max_tries)
sign, narrative, rel, Z, prior,
show_progress, thin, max_tries)

specification$starting_values$set_starting_values(qqq$last_draw)
output = specify_posterior_bsvarSIGN$new(specification, qqq$posterior)
Expand Down
16 changes: 8 additions & 8 deletions inst/include/bsvarSIGNs_RcppExports.h
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Original file line number Diff line number Diff line change
Expand Up @@ -25,17 +25,17 @@ namespace bsvarSIGNs {
}
}

inline Rcpp::List bsvar_sign_cpp(const int& S, const int& p, const arma::mat& Y, const arma::mat& X, const arma::field<arma::mat>& VB, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const Rcpp::List& prior, const Rcpp::List& starting_values, const bool show_progress = true, const int thin = 100, const int& max_tries = 10000) {
typedef SEXP(*Ptr_bsvar_sign_cpp)(SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP);
inline Rcpp::List bsvar_sign_cpp(const int& S, const int& p, const arma::mat& Y, const arma::mat& X, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const Rcpp::List& prior, const bool show_progress = true, const int thin = 100, const int& max_tries = 10000) {
typedef SEXP(*Ptr_bsvar_sign_cpp)(SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP);
static Ptr_bsvar_sign_cpp p_bsvar_sign_cpp = NULL;
if (p_bsvar_sign_cpp == NULL) {
validateSignature("Rcpp::List(*bsvar_sign_cpp)(const int&,const int&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const Rcpp::List&,const Rcpp::List&,const bool,const int,const int&)");
validateSignature("Rcpp::List(*bsvar_sign_cpp)(const int&,const int&,const arma::mat&,const arma::mat&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const Rcpp::List&,const bool,const int,const int&)");
p_bsvar_sign_cpp = (Ptr_bsvar_sign_cpp)R_GetCCallable("bsvarSIGNs", "_bsvarSIGNs_bsvar_sign_cpp");
}
RObject rcpp_result_gen;
{
RNGScope RCPP_rngScope_gen;
rcpp_result_gen = p_bsvar_sign_cpp(Shield<SEXP>(Rcpp::wrap(S)), Shield<SEXP>(Rcpp::wrap(p)), Shield<SEXP>(Rcpp::wrap(Y)), Shield<SEXP>(Rcpp::wrap(X)), Shield<SEXP>(Rcpp::wrap(VB)), Shield<SEXP>(Rcpp::wrap(sign_irf)), Shield<SEXP>(Rcpp::wrap(sign_narrative)), Shield<SEXP>(Rcpp::wrap(sign_B)), Shield<SEXP>(Rcpp::wrap(Z)), Shield<SEXP>(Rcpp::wrap(prior)), Shield<SEXP>(Rcpp::wrap(starting_values)), Shield<SEXP>(Rcpp::wrap(show_progress)), Shield<SEXP>(Rcpp::wrap(thin)), Shield<SEXP>(Rcpp::wrap(max_tries)));
rcpp_result_gen = p_bsvar_sign_cpp(Shield<SEXP>(Rcpp::wrap(S)), Shield<SEXP>(Rcpp::wrap(p)), Shield<SEXP>(Rcpp::wrap(Y)), Shield<SEXP>(Rcpp::wrap(X)), Shield<SEXP>(Rcpp::wrap(sign_irf)), Shield<SEXP>(Rcpp::wrap(sign_narrative)), Shield<SEXP>(Rcpp::wrap(sign_B)), Shield<SEXP>(Rcpp::wrap(Z)), Shield<SEXP>(Rcpp::wrap(prior)), Shield<SEXP>(Rcpp::wrap(show_progress)), Shield<SEXP>(Rcpp::wrap(thin)), Shield<SEXP>(Rcpp::wrap(max_tries)));
}
if (rcpp_result_gen.inherits("interrupted-error"))
throw Rcpp::internal::InterruptedException();
Expand Down Expand Up @@ -424,17 +424,17 @@ namespace bsvarSIGNs {
return Rcpp::as<bool >(rcpp_result_gen);
}

inline arma::field<arma::mat> sample_Q(const int& p, const arma::mat& Y, const arma::mat& X, arma::mat& B, arma::mat& h_invp, arma::mat& chol_Sigma, const Rcpp::List& prior, const arma::field<arma::mat>& VB, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const int& max_tries) {
typedef SEXP(*Ptr_sample_Q)(SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP);
inline arma::field<arma::mat> sample_Q(const int& p, const arma::mat& Y, const arma::mat& X, arma::mat& B, arma::mat& h_invp, arma::mat& chol_Sigma, const Rcpp::List& prior, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const int& max_tries) {
typedef SEXP(*Ptr_sample_Q)(SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP,SEXP);
static Ptr_sample_Q p_sample_Q = NULL;
if (p_sample_Q == NULL) {
validateSignature("arma::field<arma::mat>(*sample_Q)(const int&,const arma::mat&,const arma::mat&,arma::mat&,arma::mat&,arma::mat&,const Rcpp::List&,const arma::field<arma::mat>&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const int&)");
validateSignature("arma::field<arma::mat>(*sample_Q)(const int&,const arma::mat&,const arma::mat&,arma::mat&,arma::mat&,arma::mat&,const Rcpp::List&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const int&)");
p_sample_Q = (Ptr_sample_Q)R_GetCCallable("bsvarSIGNs", "_bsvarSIGNs_sample_Q");
}
RObject rcpp_result_gen;
{
RNGScope RCPP_rngScope_gen;
rcpp_result_gen = p_sample_Q(Shield<SEXP>(Rcpp::wrap(p)), Shield<SEXP>(Rcpp::wrap(Y)), Shield<SEXP>(Rcpp::wrap(X)), Shield<SEXP>(Rcpp::wrap(B)), Shield<SEXP>(Rcpp::wrap(h_invp)), Shield<SEXP>(Rcpp::wrap(chol_Sigma)), Shield<SEXP>(Rcpp::wrap(prior)), Shield<SEXP>(Rcpp::wrap(VB)), Shield<SEXP>(Rcpp::wrap(sign_irf)), Shield<SEXP>(Rcpp::wrap(sign_narrative)), Shield<SEXP>(Rcpp::wrap(sign_B)), Shield<SEXP>(Rcpp::wrap(Z)), Shield<SEXP>(Rcpp::wrap(max_tries)));
rcpp_result_gen = p_sample_Q(Shield<SEXP>(Rcpp::wrap(p)), Shield<SEXP>(Rcpp::wrap(Y)), Shield<SEXP>(Rcpp::wrap(X)), Shield<SEXP>(Rcpp::wrap(B)), Shield<SEXP>(Rcpp::wrap(h_invp)), Shield<SEXP>(Rcpp::wrap(chol_Sigma)), Shield<SEXP>(Rcpp::wrap(prior)), Shield<SEXP>(Rcpp::wrap(sign_irf)), Shield<SEXP>(Rcpp::wrap(sign_narrative)), Shield<SEXP>(Rcpp::wrap(sign_B)), Shield<SEXP>(Rcpp::wrap(Z)), Shield<SEXP>(Rcpp::wrap(max_tries)));
}
if (rcpp_result_gen.inherits("interrupted-error"))
throw Rcpp::internal::InterruptedException();
Expand Down
31 changes: 14 additions & 17 deletions src/RcppExports.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -15,33 +15,31 @@ Rcpp::Rostream<false>& Rcpp::Rcerr = Rcpp::Rcpp_cerr_get();
#endif

// bsvar_sign_cpp
Rcpp::List bsvar_sign_cpp(const int& S, const int& p, const arma::mat& Y, const arma::mat& X, const arma::field<arma::mat>& VB, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const Rcpp::List& prior, const Rcpp::List& starting_values, const bool show_progress, const int thin, const int& max_tries);
static SEXP _bsvarSIGNs_bsvar_sign_cpp_try(SEXP SSEXP, SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP VBSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP priorSEXP, SEXP starting_valuesSEXP, SEXP show_progressSEXP, SEXP thinSEXP, SEXP max_triesSEXP) {
Rcpp::List bsvar_sign_cpp(const int& S, const int& p, const arma::mat& Y, const arma::mat& X, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const Rcpp::List& prior, const bool show_progress, const int thin, const int& max_tries);
static SEXP _bsvarSIGNs_bsvar_sign_cpp_try(SEXP SSEXP, SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP priorSEXP, SEXP show_progressSEXP, SEXP thinSEXP, SEXP max_triesSEXP) {
BEGIN_RCPP
Rcpp::RObject rcpp_result_gen;
Rcpp::traits::input_parameter< const int& >::type S(SSEXP);
Rcpp::traits::input_parameter< const int& >::type p(pSEXP);
Rcpp::traits::input_parameter< const arma::mat& >::type Y(YSEXP);
Rcpp::traits::input_parameter< const arma::mat& >::type X(XSEXP);
Rcpp::traits::input_parameter< const arma::field<arma::mat>& >::type VB(VBSEXP);
Rcpp::traits::input_parameter< const arma::cube& >::type sign_irf(sign_irfSEXP);
Rcpp::traits::input_parameter< const arma::mat& >::type sign_narrative(sign_narrativeSEXP);
Rcpp::traits::input_parameter< const arma::mat& >::type sign_B(sign_BSEXP);
Rcpp::traits::input_parameter< const arma::field<arma::mat>& >::type Z(ZSEXP);
Rcpp::traits::input_parameter< const Rcpp::List& >::type prior(priorSEXP);
Rcpp::traits::input_parameter< const Rcpp::List& >::type starting_values(starting_valuesSEXP);
Rcpp::traits::input_parameter< const bool >::type show_progress(show_progressSEXP);
Rcpp::traits::input_parameter< const int >::type thin(thinSEXP);
Rcpp::traits::input_parameter< const int& >::type max_tries(max_triesSEXP);
rcpp_result_gen = Rcpp::wrap(bsvar_sign_cpp(S, p, Y, X, VB, sign_irf, sign_narrative, sign_B, Z, prior, starting_values, show_progress, thin, max_tries));
rcpp_result_gen = Rcpp::wrap(bsvar_sign_cpp(S, p, Y, X, sign_irf, sign_narrative, sign_B, Z, prior, show_progress, thin, max_tries));
return rcpp_result_gen;
END_RCPP_RETURN_ERROR
}
RcppExport SEXP _bsvarSIGNs_bsvar_sign_cpp(SEXP SSEXP, SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP VBSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP priorSEXP, SEXP starting_valuesSEXP, SEXP show_progressSEXP, SEXP thinSEXP, SEXP max_triesSEXP) {
RcppExport SEXP _bsvarSIGNs_bsvar_sign_cpp(SEXP SSEXP, SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP priorSEXP, SEXP show_progressSEXP, SEXP thinSEXP, SEXP max_triesSEXP) {
SEXP rcpp_result_gen;
{
Rcpp::RNGScope rcpp_rngScope_gen;
rcpp_result_gen = PROTECT(_bsvarSIGNs_bsvar_sign_cpp_try(SSEXP, pSEXP, YSEXP, XSEXP, VBSEXP, sign_irfSEXP, sign_narrativeSEXP, sign_BSEXP, ZSEXP, priorSEXP, starting_valuesSEXP, show_progressSEXP, thinSEXP, max_triesSEXP));
rcpp_result_gen = PROTECT(_bsvarSIGNs_bsvar_sign_cpp_try(SSEXP, pSEXP, YSEXP, XSEXP, sign_irfSEXP, sign_narrativeSEXP, sign_BSEXP, ZSEXP, priorSEXP, show_progressSEXP, thinSEXP, max_triesSEXP));
}
Rboolean rcpp_isInterrupt_gen = Rf_inherits(rcpp_result_gen, "interrupted-error");
if (rcpp_isInterrupt_gen) {
Expand Down Expand Up @@ -756,8 +754,8 @@ RcppExport SEXP _bsvarSIGNs_match_sign_irf(SEXP QSEXP, SEXP sign_irfSEXP, SEXP i
return rcpp_result_gen;
}
// sample_Q
arma::field<arma::mat> sample_Q(const int& p, const arma::mat& Y, const arma::mat& X, arma::mat& B, arma::mat& h_invp, arma::mat& chol_Sigma, const Rcpp::List& prior, const arma::field<arma::mat>& VB, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const int& max_tries);
static SEXP _bsvarSIGNs_sample_Q_try(SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP BSEXP, SEXP h_invpSEXP, SEXP chol_SigmaSEXP, SEXP priorSEXP, SEXP VBSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP max_triesSEXP) {
arma::field<arma::mat> sample_Q(const int& p, const arma::mat& Y, const arma::mat& X, arma::mat& B, arma::mat& h_invp, arma::mat& chol_Sigma, const Rcpp::List& prior, const arma::cube& sign_irf, const arma::mat& sign_narrative, const arma::mat& sign_B, const arma::field<arma::mat>& Z, const int& max_tries);
static SEXP _bsvarSIGNs_sample_Q_try(SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP BSEXP, SEXP h_invpSEXP, SEXP chol_SigmaSEXP, SEXP priorSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP max_triesSEXP) {
BEGIN_RCPP
Rcpp::RObject rcpp_result_gen;
Rcpp::traits::input_parameter< const int& >::type p(pSEXP);
Expand All @@ -767,21 +765,20 @@ BEGIN_RCPP
Rcpp::traits::input_parameter< arma::mat& >::type h_invp(h_invpSEXP);
Rcpp::traits::input_parameter< arma::mat& >::type chol_Sigma(chol_SigmaSEXP);
Rcpp::traits::input_parameter< const Rcpp::List& >::type prior(priorSEXP);
Rcpp::traits::input_parameter< const arma::field<arma::mat>& >::type VB(VBSEXP);
Rcpp::traits::input_parameter< const arma::cube& >::type sign_irf(sign_irfSEXP);
Rcpp::traits::input_parameter< const arma::mat& >::type sign_narrative(sign_narrativeSEXP);
Rcpp::traits::input_parameter< const arma::mat& >::type sign_B(sign_BSEXP);
Rcpp::traits::input_parameter< const arma::field<arma::mat>& >::type Z(ZSEXP);
Rcpp::traits::input_parameter< const int& >::type max_tries(max_triesSEXP);
rcpp_result_gen = Rcpp::wrap(sample_Q(p, Y, X, B, h_invp, chol_Sigma, prior, VB, sign_irf, sign_narrative, sign_B, Z, max_tries));
rcpp_result_gen = Rcpp::wrap(sample_Q(p, Y, X, B, h_invp, chol_Sigma, prior, sign_irf, sign_narrative, sign_B, Z, max_tries));
return rcpp_result_gen;
END_RCPP_RETURN_ERROR
}
RcppExport SEXP _bsvarSIGNs_sample_Q(SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP BSEXP, SEXP h_invpSEXP, SEXP chol_SigmaSEXP, SEXP priorSEXP, SEXP VBSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP max_triesSEXP) {
RcppExport SEXP _bsvarSIGNs_sample_Q(SEXP pSEXP, SEXP YSEXP, SEXP XSEXP, SEXP BSEXP, SEXP h_invpSEXP, SEXP chol_SigmaSEXP, SEXP priorSEXP, SEXP sign_irfSEXP, SEXP sign_narrativeSEXP, SEXP sign_BSEXP, SEXP ZSEXP, SEXP max_triesSEXP) {
SEXP rcpp_result_gen;
{
Rcpp::RNGScope rcpp_rngScope_gen;
rcpp_result_gen = PROTECT(_bsvarSIGNs_sample_Q_try(pSEXP, YSEXP, XSEXP, BSEXP, h_invpSEXP, chol_SigmaSEXP, priorSEXP, VBSEXP, sign_irfSEXP, sign_narrativeSEXP, sign_BSEXP, ZSEXP, max_triesSEXP));
rcpp_result_gen = PROTECT(_bsvarSIGNs_sample_Q_try(pSEXP, YSEXP, XSEXP, BSEXP, h_invpSEXP, chol_SigmaSEXP, priorSEXP, sign_irfSEXP, sign_narrativeSEXP, sign_BSEXP, ZSEXP, max_triesSEXP));
}
Rboolean rcpp_isInterrupt_gen = Rf_inherits(rcpp_result_gen, "interrupted-error");
if (rcpp_isInterrupt_gen) {
Expand Down Expand Up @@ -1049,7 +1046,7 @@ RcppExport SEXP _bsvarSIGNs_match_sign(SEXP ASEXP, SEXP signSEXP) {
static int _bsvarSIGNs_RcppExport_validate(const char* sig) {
static std::set<std::string> signatures;
if (signatures.empty()) {
signatures.insert("Rcpp::List(*bsvar_sign_cpp)(const int&,const int&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const Rcpp::List&,const Rcpp::List&,const bool,const int,const int&)");
signatures.insert("Rcpp::List(*bsvar_sign_cpp)(const int&,const int&,const arma::mat&,const arma::mat&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const Rcpp::List&,const bool,const int,const int&)");
signatures.insert("arma::cube(*bsvarSIGNs_structural_shocks)(const arma::cube&,const arma::cube&,const arma::mat&,const arma::mat&)");
signatures.insert("arma::cube(*bsvarSIGNs_fitted_values)(arma::cube&,arma::cube&,arma::cube&,arma::mat&)");
signatures.insert("arma::cube(*ir1_cpp)(const arma::mat&,const arma::mat&,int,const int&)");
Expand All @@ -1068,7 +1065,7 @@ static int _bsvarSIGNs_RcppExport_validate(const char* sig) {
signatures.insert("double(*weight_zero)(const arma::field<arma::mat>&,const arma::mat&,const arma::mat&,const arma::mat&)");
signatures.insert("arma::mat(*rzeroQ)(const arma::field<arma::mat>&,const arma::mat&)");
signatures.insert("bool(*match_sign_irf)(const arma::mat&,const arma::cube&,const arma::cube&)");
signatures.insert("arma::field<arma::mat>(*sample_Q)(const int&,const arma::mat&,const arma::mat&,arma::mat&,arma::mat&,arma::mat&,const Rcpp::List&,const arma::field<arma::mat>&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const int&)");
signatures.insert("arma::field<arma::mat>(*sample_Q)(const int&,const arma::mat&,const arma::mat&,arma::mat&,arma::mat&,arma::mat&,const Rcpp::List&,const arma::cube&,const arma::mat&,const arma::mat&,const arma::field<arma::mat>&,const int&)");
signatures.insert("arma::mat(*qr_sign_cpp)(const arma::mat&)");
signatures.insert("arma::mat(*rortho_cpp)(const int&)");
signatures.insert("bool(*match_sign)(const arma::mat&,const arma::mat&)");
Expand Down Expand Up @@ -1106,7 +1103,7 @@ RcppExport SEXP _bsvarSIGNs_RcppExport_registerCCallable() {
}

static const R_CallMethodDef CallEntries[] = {
{"_bsvarSIGNs_bsvar_sign_cpp", (DL_FUNC) &_bsvarSIGNs_bsvar_sign_cpp, 14},
{"_bsvarSIGNs_bsvar_sign_cpp", (DL_FUNC) &_bsvarSIGNs_bsvar_sign_cpp, 12},
{"_bsvarSIGNs_bsvarSIGNs_structural_shocks", (DL_FUNC) &_bsvarSIGNs_bsvarSIGNs_structural_shocks, 4},
{"_bsvarSIGNs_bsvarSIGNs_fitted_values", (DL_FUNC) &_bsvarSIGNs_bsvarSIGNs_fitted_values, 4},
{"_bsvarSIGNs_ir1_cpp", (DL_FUNC) &_bsvarSIGNs_ir1_cpp, 4},
Expand All @@ -1128,7 +1125,7 @@ static const R_CallMethodDef CallEntries[] = {
{"_bsvarSIGNs_riwish_cpp", (DL_FUNC) &_bsvarSIGNs_riwish_cpp, 2},
{"_bsvarSIGNs_niw_cpp", (DL_FUNC) &_bsvarSIGNs_niw_cpp, 6},
{"_bsvarSIGNs_match_sign_irf", (DL_FUNC) &_bsvarSIGNs_match_sign_irf, 3},
{"_bsvarSIGNs_sample_Q", (DL_FUNC) &_bsvarSIGNs_sample_Q, 13},
{"_bsvarSIGNs_sample_Q", (DL_FUNC) &_bsvarSIGNs_sample_Q, 12},
{"_bsvarSIGNs_log_dgamma", (DL_FUNC) &_bsvarSIGNs_log_dgamma, 3},
{"_bsvarSIGNs_log_dinvgamma", (DL_FUNC) &_bsvarSIGNs_log_dinvgamma, 3},
{"_bsvarSIGNs_log_prior_hyper", (DL_FUNC) &_bsvarSIGNs_log_prior_hyper, 3},
Expand Down
15 changes: 4 additions & 11 deletions src/bsvars_sign.cpp
View file
Original file line number Diff line number Diff line change
Expand Up @@ -20,13 +20,11 @@ Rcpp::List bsvar_sign_cpp(
const int& p, // number of lags
const arma::mat& Y, // TxN dependent variables
const arma::mat& X, // TxK dependent variables
const arma::field<arma::mat>& VB, // N-list
const arma::cube& sign_irf, // NxNxh cube of signs for impulse response function
const arma::mat& sign_narrative, // ANYx6 matrix of signs for historical decomposition
const arma::mat& sign_B, // NxN matrix of signs for B
const arma::field<arma::mat>& Z, // a list of zero restrictions
const Rcpp::List& prior, // a list of priors
const Rcpp::List& starting_values, // a list of starting values
const bool show_progress = true,
const int thin = 100, // introduce thinning
const int& max_tries = 10000 // maximum tries for Q draw
Expand Down Expand Up @@ -114,7 +112,10 @@ Rcpp::List bsvar_sign_cpp(
Xplus = join_vert(Xstar, X);

// posterior parameters
// #pragma omp critical
// {
result = niw_cpp(Yplus, Xplus, prior_B, prior_V, prior_S, prior_nu);
// }
post_B = result(0);
post_V = result(1);
post_S = result(2);
Expand All @@ -133,7 +134,7 @@ Rcpp::List bsvar_sign_cpp(
h_invp = inv(trimatl(chol_Sigma)); // lower tri, h(Sigma) is upper tri

result = sample_Q(p, Y, X, B, h_invp, chol_Sigma, prior,
VB, sign_irf, sign_narrative, sign_B, Z, max_tries);
sign_irf, sign_narrative, sign_B, Z, max_tries);
Q = result(0);
shocks = result(1);
w = as_scalar(result(2));
Expand All @@ -151,14 +152,6 @@ Rcpp::List bsvar_sign_cpp(
// Increment progress bar
if (any(prog_rep_points == s)) bar.increment();

// if (omp_get_thread_num() == 0) {
// // Check for user interrupts
// if (s % 10 == 0) checkUserInterrupt();
//
// // Increment progress bar
// if (any(prog_rep_points == s)) bar.increment();
// }

} // END s loop

return List::create(
Expand Down
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