arfac

Purpose

This procedure finds the coefficients (phi) for the factors of a dynamic factor model.

Format

{ phi, accept } = arfac(y, p, r0_, R0__, phi0, xvar, sig2)

Parameters:

• y (Matrix) – Current draw for factor.

• p (Scalar) – Number of autoregressive terms on factor.

• r0 (Matrix) – Prior mean of phi.

• R0 (Matrix) – Prior precision of phi.

• phi0 (Matrix) – Previous draw of phi.

• xvar (Scalar) – Number of independent variables (including constant).

• sig2 (Matrix) – Initial \(\sigma^2\) value for factor.

Returns:

• phi1 (Matrix) – Current draw of phi.

• accept (Scalar) – Indicator variable used intrinsically.