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.

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