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