IRIS Toolbox Reference Manual

## estimate

Estimate FAVAR using static principal components

#### Syntax

    [A,D,CC,F,U,E,CTF] = estimate(A,D,Range,[R,Q],...)

#### Input arguments

- `A` [ FAVAR ] - Empty FAVAR object.

- `D` [ struct ] - Input database.

- `Range` [ numeric ] - Estimation range.

- `R` [ numeric ] - Selection criterion for the number of factors: Minimum requested proportion of input data volatility explained by the factors.

- `Q` [ numeric ] - Selection criterion for the number of factors: Maximum number of factors.

#### Output arguments

- `A` [ FAVAR ] - Estimated FAVAR object.

- `D` [ struct ] - Output database.

- `CC` [ tseries ] - Estimates of common components in the FAVAR observables.

- `F` [ tseries ] - Estimates of factors.

- `U` [ struct | tseries ] - Idiosyncratic residuals.

- `E` [ tseries ] - Factor VAR residuals.

- `CTF` [ tseries ] - Contributions of individual input series to the estimated factors.

#### Options

- `'cross='` [ `true` | `false` | numeric ] - Keep off-diagonal elements in the covariance matrix of idiosyncratic residuals; if false all cross-covariances are reset to zero; if a number between zero and one, all cross-covariances are multiplied by that number.

- `'order='` [ numeric | 1 ] - Order of the VAR for factors.

- `'output='` [ `'auto'` | `'dbase'` | `'tseries'` ] - Format of output data.

- `'rank='` [ numeric | `Inf` ] - Restriction on the rank of the factor VAR residuals.

#### Description

#### Example

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.