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

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

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).

Language: RATS
Requires: RATS 7.00
Keywords: VAR (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/forcedfactor.src (text/plain)

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