sim.restricted {fnets} | R Documentation |
Simulate data from a restricted factor model
Description
Simulate the common component following an unrestricted factor model that admits a restricted representation; see the model (C2) in the reference.
Usage
sim.restricted(n, p, q = 2, heavy = FALSE)
Arguments
n |
sample size |
p |
dimension |
q |
number of unrestricted factors; number of restricted factors is given by |
heavy |
if |
Value
a list containing
data |
|
q |
number of factors |
r |
number of restricted factors |
References
Barigozzi, M., Cho, H. & Owens, D. (2024+) FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series. Journal of Business & Economic Statistics (to appear).
Owens, D., Cho, H. & Barigozzi, M. (2024+) fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling. The R Journal (to appear).
Examples
common <- sim.restricted(500, 50)