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Last data update: 2014.03.03

R: Construct a Factor Model

FAmodel

R Documentation

Construct a Factor Model

Description

The default method constructs a FAmodel. Other methods extract a FAmodel from an object.

Usage

    FAmodel(obj, ...)
    ## Default S3 method:
FAmodel(obj,  Omega=NULL, Phi=NULL, LB=NULL, LB.std=NULL,
   stats=NULL,  ...)
    ## S3 method for class 'FAmodel'
FAmodel(obj, ...)

Arguments

`obj`	The loadings matrix (B) in the default (constructor) method. In other methods, an object from which the model should be extracted.
`Omega`	Covariance of the idiosyncratic term.
`Phi`	Covariance of the factors.
`LB`	Factor score predictor matrix.
`LB.std`	The standardized factor score predictor matrix.
`stats`	An optional list of statistics from model estimation.
`...`	arguments passed to other methods or stored in the object.

Details

The default method is the constructor for FAmodel objects. Other methods extract a FAmodel object from other objects that contain one. The loadings must be supplied to the default method. Omega, Phi, and LB are included when the object comes from an estimation method, but are not necessary when the object is being specified in order to simulate. The model is defined by

y(t) = B f(t) + eps(t),

where the factors f(t) have covariance Phi and eps(t) have covariance Omega. The loadings matrix B is M x k, where M is the number of indicator variables (the number of indicators in y) and k is the number of factors.

Value

A FAmodel.

Author(s)

Paul Gilbert

Examples

  B <- t(matrix(c(0.9, 0.1,
		  0.8, 0.2,
		  0.7, 0.3,
                  0.5, 0.5, 
		  0.3, 0.7,
 		  0.1, 0.9), 2,6))

  z <- FAmodel(B)
  z
  loadings(z)