sim.unrestricted function

Simulate data from an unrestricted factor model

Simulate the common component following an unrestricted factor model that does not admit a restricted representation; see the model (C1) in Barigozzi, Cho and Owens (2024+)

sim.unrestricted(n, p, q = 2, heavy = FALSE)

Arguments

• n: sample size
• p: dimension
• q: number of unrestricted factors
• heavy: if heavy = FALSE, common shocks are generated from rnorm whereas if heavy = TRUE, from rt with df = 5 and then scaled by sqrt(3 / 5)

Returns

a list containing - data: ts object with n rows and p columns

• q: number of factors

Examples

common <- sim.unrestricted(500, 50)

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).