smoothed_moments8: Obtain Moment Matrices for the EM Algorithm Using Kalman...

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

Obtain Moment Matrices for the EM Algorithm Using Kalman Filter/Smoother

Description

For details, see section 3.2. and Appendix C in Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization available at https://arxiv.org/pdf/2202.00310.pdf.

Usage

smoothed_moments8(stsp_mod, Sigma, data_wide, only_ll = FALSE)

Arguments

stsp_mod	stspmod object containing the state space model used for smoothing and the idiosyncratic noise component
Sigma	Matrix of dimension dim_in x dim_in. All dim_in^2 elements are saved, symmetry is not taken into account.
data_wide	Matrix of dimension dim_out x n_obs
only_ll	return only the log-likelihood value calculated using KF

See Also

Watson, M. W., & Engle, R. F. (1983). Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models. Journal of Econometrics, 23(3), 385-400.

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.