as I understand the two step procedure, you have to first estimate all the necessary inputs (parameters) and only than estimate a state space model using the parameters from step 1. This is also the main reason why I estimate VAR seperately.
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- Wed Mar 30, 2016 12:47 am
- Forum: Estimation
- Topic: principal component factor analysis
- Replies: 13
- Views: 11948
Dear all, I am also using the two stage procedure mentioned by Sammoland, but in the simplier, time series structure. Could anybody just help me and tell whether I am doing it right or wrong? First, I extracted 3 factor scores (common factors) that expalain approximatelly 70 % of variation in data s...