IRIS Toolbox Reference Manual
Factor-Augmented Vector Autoregressions (FAVAR Objects)
Constructor
FAVAR
- Create new empty FAVAR object.
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
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