kalman_filter_diag

Matrix that update factors with VAR

Matrix that combine factors to explain the transformed data.

Error variance in explain data from factors

init_x

init_V

varagin

Methods and tools for 'forecast' the current state (nowcast) of Brazilian economic time series. It allows extract information in real time, creating a real time data base; estimate relationship between macroeconomic variables via estimation of dynamic factors; forecast time series in previous periods of reference; forecast time series in the current period of reference (nowcasting); recreate a data base simulating the information available in the past for evaluating forecasting models accuracy. The econometric framework we follow is proposed in Giannone et al. (2008) <doi:10.1016/j.jmoneco.2008.05.010>.

kalman_filter_diag: Kalman Filter Diagonal

Description

Usage

Arguments