sim.unrestricted: Simulate data from an unrestricted factor model

In Dom-Owens-UoB/fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Simulate data from an unrestricted factor model

Description

Simulate a common component following the generalised dynamic factor model that does not admit a restricted (static) representation; see the model (C1) in the reference

Usage

sim.unrestricted(n, p, q = 2, heavy = FALSE)

Arguments

n	sample size
p	dimension
q	number of unrestricted factors
heavy	if heavy = FALSE, common shocks are generated from rnorm whereas if heavy = TRUE, from rt with df = 5 and then scaled by sqrt(3 / 5)

Value

a list containing

data	ts object with n rows and p columns
q	number of factors

References

Barigozzi, M., Cho, H. & Owens, D. (2024) FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series. Journal of Business & Economic Statistics (to appear).

Owens, D., Cho, H. & Barigozzi, M. (2024) fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling. The R Journal (to appear).

Examples

common <- sim.unrestricted(500, 50)

Dom-Owens-UoB/fnets documentation built on Nov. 22, 2024, 7:09 a.m.