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

Output arguments

Options

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