IRIS Toolbox Reference Manual

## filter

Re-estimate the factors by Kalman filtering the data taking FAVAR coefficients as given

#### Syntax

    [A,D,CC,F,U,E] = filter(A,D,Range,...)

#### Input arguments

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

- `D` [ struct | tseries ] - Input database or tseries object with the FAVAR observables.

- `Range` [ numeric ] - Filter date range.

#### Output arguments

- `A` [ FAVAR ] - FAVAR object.

- `D` [ struct ] - Output database or tseries object with the FAVAR observables.

- `CC` [ struct | tseries ] - Re-estimated common components in the observables.

- `F` [ tseries ] - Re-estimated common factors.

- `U` [ tseries ] - Re-estimated idiosyncratic residuals.

- `E` [ tseries ] - Re-estimated structural residuals.

#### Options

- `'cross='` [ `true` | `false` | numeric ] - Run the filter with the 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.

- `'invFunc='` [ `'auto'` | function_handle ] - Inversion method for the FMSE matrices.

- `'meanOnly='` [ `true` | `false` ] - Return only mean data, i.e. point estimates.

- `'persist='` [ `true` | `false` ] - If `filter` or `forecast` is used with `'persist='` set to true for the first time, the forecast MSE matrices and their inverses will be stored; subsequent calls of the `filter` or `forecast` functions will re-use these matrices until `filter` or `forecast` is called.

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

- `'tolerance='` [ numeric | `0` ] - Numerical tolerance under which two FMSE matrices computed in two consecutive periods will be treated as equal and their inversions will be re-used, not re-computed.

#### Description

It is the user's responsibility to make sure that `filter` and `forecast` called with `'persist='` set to true are valid, i.e. that the previously computed FMSE matrices can be really re-used in the current run.

#### Example

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.