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FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Computes a factorization of a covariance matrix which includes (scale of a) specified columns in the factorization, or, optionally, a scale of specified row in the inverse of the factorization. This allows you to either force an orthogonalized component to hit the variables in a specific pattern (done by setting a column of the factorization), or to force that an orthogonalized component be formed from a particular linear combination of innovations (forces a row in the inverse).

Suggested Citation

  • Tom Doan, "undated". "FORCEDFACTOR: RATS procedure to factor covariance matrix with specific vector column/row," Statistical Software Components RTS00070, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00070
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/forcedfactor.src
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    More about this item

    Keywords

    VAR; RATS;

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