[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.