kalman_update_diag

Matrix that update factors with VAR

Matrix that combine factors to explain the transformed data.

Error variance in explain data from factors

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>.

Guilherme Branco Gomes

kalman_update_diag: Kalman update diagonal

Description

Usage

Arguments