factor_model: Example factor model dataset

In TwoStepSDFM: Estimate a Sparse Mixed Frequency Gaussian Factor Model Using a Two-Step Procedure

Example factor model dataset

Description

This is a simulated factor model dataset for demonstration and testing with TwoStepSDFM.

Usage

factor_model

Format

A SimulData containing the following elements:

data

If starting_date is provided, a zoo object, else, a (no_of_vars \times no_of_obs) numeric matrix holding the simulated data.

factors

If starting_date is provided, a zoo object, else a (no_of_factors \times no_of_obs) numeric matrix holding the simulated latent factors.

trans_var_coeff

Numeric (no_of_factors \times (no_of_factors * factor_lag_order)) factor VAR coefficient matrix.

loading_matrix

Numeric factor loading matrix.

meas_error

If starting_date is provided, a zoo object, else a (no_of_vars \times no_of_obs) numeric matrix holding the fundamental measurement errors.

meas_error_var_cov

Numeric measurement error variance-covariance matrix.

trans_error_var_cov

Numeric transition error variance-covariance matrix.

frequency

Integer vector of variable frequencies.

delay

Integer vector of variable delays, measured as the number of months since the latest available observation.

Source

Generated via simFM(). For details see factor_model$call.

TwoStepSDFM documentation built on May 19, 2026, 9:07 a.m.