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.