Ans = get(A,Query)
[Ans,Ans,...] = get(A,Query,Query,...)
A
[ FAVAR ] - FAVAR object.
Query
[ char ] - Query to the FAVAR object.
Ans
[ ... ] - Answer to the query.'A*'
Returns [ numeric ] the transition matrix of the underlying VAR system on factors.
'B'
Returns [ numeric ] tne matrix mapping the impact of structural residuals on the factors in the underlying VAR.
'C'
Returns [ numeric ] the matrix mapping the factors into the observables.
'Omega'
Returns [ numeric ] the reduced-form covariance matrix of the residuals in the underlying VAR.
'Sigma'
Returns [ numeric ] the covariance matrix of idiosyncratic shocks.
'VAR'
Returns [ VAR ] a VAR object describing the factor dynamics.'eig'
Returns [ numeric ] the vector of eigenvalues of the underlying VAR.
'sing'
Returns [ numeric ] the vector of singular values from the principal component estimation step.
'mean'
Returns [ numeric ] the estimated mean of the observables used to standardise the input data.
'std'
Returns [ numeric ] the estimated std deviations of the observables used to standardise the input data.
'ny'
Returns [ numeric ] the number of observables.
'nx'
Returns [ numeric ] the number of factors.
'yList'
Returns [ cellstr ] the list of the names of observables.