generate_Y {RCTS}

Generate panel data Y for simulations.

Description

Generate panel data Y for simulations.

Usage

generate_Y(
  NN,
  TT,
  k_true,
  kg_true,
  g_true,
  beta_true,
  lambda_group_true,
  factor_group_true,
  lambda_true,
  comfactor_true,
  eps,
  X
)

Arguments

NN

number of time series

TT

length of time series

k_true

true number of common factors

kg_true

Vector of length the number of groups. Each element contains the true number of group factors for that group.

g_true

vector of length NN with true group memberships

beta_true

true coefficients of the observable variables

lambda_group_true

loadings of the true group specific factors

factor_group_true

true group specific factors

lambda_true

loadings of the true common factors

comfactor_true

true common factors

eps

NN x TT-matrix containing the error term

X

dataframe with the observed variables

Value

NN x TT matrix