In the code, I didn't make any assumption or impose any constraint related to that, but estimated the variance freely. If there is a time series group object G and a sample object J , then the subroutine may be called by. Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions. On theoretical grounds, maximum likelihood ML estimation is attractive. The paper has benefitted from discussions with several colleagues at the Ministry of Finance.
nest...