How could I use information criteria of Bai&Ng（2002) to determine the number of factors?
I would greatly appreciate if you could help me!
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dakila wrote:Hi Briskair,
The favar add-in is updated. Now it includes the optional impulse variable. For example,
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favar(factor=3,horizon=48,rep=1000,ci=0.9,impulse=ffr) 13 xdata xslow xir tcode yx_name @ ffr
Thank you so much for your update!
Hi dakila, If I set "xslow" equal to "xdata" in the FAVAR add-in, does it mean that I extract principal components from the whole information set "xdata" without distinguish fast-moving variables and slow-moving variables? (xdata:group of X variables; xslow:group of slo...
No problem, you can add more than one observable variable. For example, favar(factor=3,horizon=48,rep=1000,ci=0.9,save=1,vd=1) 13 xdata xslow xir tcode yx_name @ ip cpi ffr Hi dakila, Thank you for your response! I tried to include 2 observable variables. But I only got an IRF figure and a variance...
Hi dakila, Thank you so much for your add-in! Is it possible to add more than one observable variable in the FAVAR add-in? For example: There are two observable variables- Y1 and Y2. I try to obtain ① IRFs between Y1 and Y2, ②IRFs of some variables in X in response to Y1, ③IRFs of some variables in ...