*
* Observable index model
* From Sargent & Sims(1977), "Business cycle modeling without pretending
* to have too much a priori economic theory," in "New Methods in
* Business Cycle Research: Proceedings from a Conference", Federal
* Reserve Bank of Minnepolis.
*
* This differs somewhat from the model actually used in the paper above
* because we allow for contemporaneous loadings on the indexes. The model is
*
* Y(t)=A(L)C(L)Y(t)+D(L)Y(t-1)+v(t)
*
* where Z(t)=C(L)Y(t) are the "indexes", D(L) is diagonal and v(t) is
* assumed to be uncorrelated across variables. Thus, all interactions
* among the variables are captured in the A(L)Z(t) term. The model takes
* the form of a restricted VAR. With dim(Z)<