IRIS Toolbox Reference Manual

# Factor-augmented vector autoregressions: FAVAR objects and functions

#### Constructor

- `FAVAR` - Create new, empty FAVAR object.

#### Getting information about FAVAR objects

- `comment` - Get or set user comments in an IRIS object.
- `get` - Query model object properties.
- `isempty` - True if VAR based object is empty.
- `userdata` - Get or set user data in an IRIS object.
- `VAR` - Return a VAR object describing the factor dynamics.

#### Estimation

- `estimate` - Estimate FAVAR using static principal components.

#### Filtering and forecasting

- `filter` - Re-estimate the factors by Kalman filtering the data taking FAVAR coefficients as given.
- `forecast` - Forecast FAVAR factors and observables.

#### Getting on-line help on FAVAR functions

    help FAVAR
    help FAVAR/function_name

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.