draw_beta_corrected.m

%% Btdrawc is a draw of the mean VAR coefficients, B(t)
[Btdrawc,log_lik] = carter_kohn(y,Z,Ht,Qdraw,K,M,t,B_0_prmean,B_0_prvar);

% do_stability = 0;   % 1: check for stationarity, 0: otherwise

if options_.do_stability
    ctemp1      = zeros(M,M*p);
    counter     = [];
    restviol    = 0;
    for i = 1:t;
        BBtempor    = Btdrawc(M+1:end,i);
        BBtempor    = reshape(BBtempor,M*p,M)';
        ctemp1      = [BBtempor; eye(M*(p-1)) zeros(M*(p-1),M)];
        % if max(abs(eig(ctemp1)))>0.9999;
        if max(abs(eig(ctemp1)))>=1;
            restviol=1;
            counter = [counter ; restviol];
        end
    end
    %if they have been rejected keep old draw, otherwise accept new draw
    if sum(counter)==0
        Btdraw = Btdrawc;
        %disp('I found a keeper!');
    end
else
    Btdraw = Btdrawc;
end

    %=====| Draw Q, the covariance of B(t) (from iWishart): Take the SSE in the state equation of B(t)
    Btemp = Btdraw(:,2:t)' - Btdraw(:,1:t-1)';

    sse_2=Btemp(1:t-1,:)'*Btemp(1:t-1,:);
%   sse_2 = zeros(K,K);
%     for i = 1:t-1
%         sse_2 = sse_2 + Btemp(i,:)'*Btemp(i,:);
%     end
    % ...and subsequently draw Q, the covariance matrix of B(t)
    Qinv        = inv(sse_2 + Q_prmean);
    Qinvdraw   = wish(Qinv,t+Q_prvar);
    Qdraw       = inv(Qinvdraw);            % this is a draw from Q
         % this is a draw from Q