Dear Trubador,
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.
Kind regards,
Jan
Search found 2 matches
- Wed Mar 30, 2016 1:50 am
- Forum: Estimation
- Topic: principal component factor analysis
- Replies: 13
- Views: 16762
- Wed Mar 30, 2016 12:47 am
- Forum: Estimation
- Topic: principal component factor analysis
- Replies: 13
- Views: 16762
Re: principal component factor analysis
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...