tsfa (version 2012.4-1)

FAmodel: Construct a Factor Model

Description

The default method constructs a FAmodel. Other methods extract a FAmodel from an object.

Usage

FAmodel(obj, ...)
    ## S3 method for class 'default':
FAmodel(obj,  Omega=NULL, Phi=NULL, LB=NULL, LB.std=NULL,
   stats=NULL,  ...)
    ## S3 method for class 'FAmodel':
FAmodel(obj, ...)

Arguments

obj

The loadings matrix ($B$) in the default (constructor) method. In other methods, an object from which the model should be extracted.

Omega

Covariance of the idiosyncratic term.

Phi

Covariance of the factors.

LB

Factor score predictor matrix.

LB.std

The standardized factor score predictor matrix.

stats

An optional list of statistics from model estimation.

...

arguments passed to other methods or stored in the object.

Value

• A FAmodel.

concept

TSFA

Details

The default method is the constructor for FAmodel objects. Other methods extract a FAmodel object from other objects that contain one. The loadings must be supplied to the default method. Omega, Phi, and LB are included when the object comes from an estimation method, but are not necessary when the object is being specified in order to simulate. The model is defined by

$$y_t = B f_t + \varepsilon_t,$$ where the factors $f_t$ have covariance $\Phi$ and $\varepsilon_t$ have covariance $\Omega$. The loadings matrix $B$ is $M \times k$, where $M$ is the number of indicator variables (the number of indicators in $y$) and $k$ is the number of factors.

See Also

TSFmodel, estFAmodel

Examples

B <- t(matrix(c(0.9, 0.1,
		  0.8, 0.2,
		  0.7, 0.3,
                  0.5, 0.5, 
		  0.3, 0.7,
 		  0.1, 0.9), 2,6))

  z <- FAmodel(B)
  z
  loadings(z)