simDFM {EGAnet} R Documentation

## Simulate data following a Dynamic Factor Model

### Description

Function to simulate data following a dynamic factor model (DFM). Two DFMs are currently available: the direct autoregressive factor score model (Engle & Watson, 1981; Nesselroade, McArdle, Aggen, and Meyers, 2002) and the dynamic factor model with random walk factor scores.

### Usage

simDFM(
variab,
timep,
nfact,
error,
dfm = c("DAFS", "RandomWalk"),
autoreg,
crossreg,
var.shock,
cov.shock,
burnin = 1000
)


### Arguments

 variab Number of variables per factor. timep Number of time points. nfact Number of factors. error Value to be used to construct a diagonal matrix Q. This matrix is p x p covariance matrix Q that will generate random errors following a multivariate normal distribution with mean zeros. The value provided is squared before constructing Q. dfm A string indicating the dynamical factor model to use. Current options are: DAFS Simulates data using the direct autoregressive factor score model. This is the default method RandomWalk Simulates data using a dynamic factor model with random walk factor scores. loadings Magnitude of the loadings. autoreg Magnitude of the autoregression coefficients. crossreg Magnitude of the cross-regression coefficients. var.shock Magnitude of the random shock variance. cov.shock Magnitude of the random shock covariance burnin Number of n first samples to discard when computing the factor scores. Defaults to 1000.

### Author(s)

Hudson F. Golino <hfg9s at virginia.edu>

### References

Engle, R., & Watson, M. (1981). A one-factor multivariate time series model of metropolitan wage rates. Journal of the American Statistical Association, 76(376), 774-781.

Nesselroade, J. R., McArdle, J. J., Aggen, S. H., & Meyers, J. M. (2002). Dynamic factor analysis models for representing process in multivariate time-series. In D. S. Moskowitz & S. L. Hershberger (Eds.), Multivariate applications book series. Modeling intraindividual variability with repeated measures data: Methods and applications, 235-265.

### Examples



## Not run:
\donttest{
# Estimate EGA network
data1 <- simDFM(variab = 5, timep = 50, nfact = 3, error = 0.05,