Search found 73 matches: dynamic factor

Searched query: dynamic factor

by Elderfield.A
Mon Jan 04, 2021 12:53 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 8
Views: 2608

Understanding the difference between Sspace and R's DLM

Hi, I am trying to convert a model I had put together using R's DLM (Dynamic Linear Model) into Eviews Sspace framework. The model is a Nelson Siegal style latent factor model, using inflation expectations rather than bond yields. I can't seem to get ...
by 27npg
Tue Dec 08, 2020 5:58 am
Forum: Estimation
Topic: Decomposition of Factors in Eviews
Replies: 0
Views: 3364

Decomposition of Factors in Eviews

... a overall industry index from a large data set of sectoral data using a Dynamic Factor model which has given me two factors -the common and idiosyncratic comment from which ...
by simon
Sun Dec 30, 2018 2:45 am
Forum: Estimation
Topic: Impulse Response Function of a State Space Model
Replies: 0
Views: 1514

Impulse Response Function of a State Space Model

... Rudebusch, Aruoba (2006): "The macroeconomy and the yield curve: a dynamic latent factor approach". (You can find the model specification attached) I would like to compute ...
by mkgunasinghe
Mon Apr 24, 2017 5:37 am
Forum: Estimation
Topic: Help with Dynamic Factor index
Replies: 1
Views: 1875

Re: Help with Dynamic Factor index

I am using EViews 9SV. Apologies for not mentioning this before!
by mkgunasinghe
Sun Apr 23, 2017 12:39 pm
Forum: Estimation
Topic: Help with Dynamic Factor index
Replies: 1
Views: 1875

Help with Dynamic Factor index

Hi all, I am hoping to create a common factor applying a Kalman filter on four monthly indicators using EViews. My state space form involves two steps. Any help/comments are much appreciated . First, my measurement equation links the observable ...
by xprimexinverse
Fri Mar 17, 2017 9:59 pm
Forum: Estimation
Topic: Output Gap with Dynamic HP Filter
Replies: 1
Views: 3540

Re: Output Gap with Dynamic HP Filter

... trickier, but let's try. First, let's write the code for the "dynamic" version of the HP filter. This is shown in the code below. ... Y_STAR2 = Y_STAR(-1) The final part involves introducing a scaling factor. I think you can do this by multiplying the variance of EPS0 by some ...
by Krille
Sat Jan 14, 2017 2:04 pm
Forum: Estimation
Topic: Dynamic factor model with 2 factors and mixed data
Replies: 1
Views: 2561

Re: Dynamic factor model with 2 factors and mixed data

Looks like an optimization gone numerically wrong. I have few suggestions that might (or might not) work. - Setting priors for state values and covariances can help and can be done by: @mprior v1 @vprior m1 - Initial parameter values can be set (at least for some objects, maybe also the state space ...
by Bablowski
Sat Jan 14, 2017 1:13 am
Forum: Estimation
Topic: Dynamic factor model with 2 factors and mixed data
Replies: 1
Views: 2561

Dynamic factor model with 2 factors and mixed data

Hello, I am beginner in estimation of such a model. I want to estimate dynamic factor model with 2 unobserved factors where I have 1 quarterly variable "hph" (my ...
by Tavros
Wed Jul 27, 2016 9:28 am
Forum: Programming
Topic: Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach
Replies: 1
Views: 2547

Diebold, Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach

... Rudebusch, Aruoba (2006) "The macroeconomy and the yield curve: a dynamic latent factor approach. I am currently something similar but with UK yield data. However my knowledge ...
by trubador
Mon Mar 28, 2016 3:07 am
Forum: Estimation
Topic: Chauvet (1998) Dynamic Factor with Markov Switching
Replies: 9
Views: 4796

Re: Chauvet (1998) Dynamic Factor with Markov Switching

Unfortunately, these questions are related to very fundamental knowledge of Markov Switching modeling, not to implementation of it in EViews. You are better off referring to a textbook for more details.
by ftggog
Sun Mar 27, 2016 9:21 pm
Forum: Estimation
Topic: Chauvet (1998) Dynamic Factor with Markov Switching
Replies: 9
Views: 4796

Re: Chauvet (1998) Dynamic Factor with Markov Switching

Thank you. A few more questions if I may on Markov switching models. I'm reading through the Eviews manual at the same time. - Can we add additional independent/explanatory variables to the switching model? - How should we interpret the Log(Sigma) coefficient and its statistical significance? (in bo...
by ftggog
Sat Mar 26, 2016 3:26 am
Forum: Estimation
Topic: Chauvet (1998) Dynamic Factor with Markov Switching
Replies: 9
Views: 4796

Re: Chauvet (1998) Dynamic Factor with Markov Switching

Hi, one more question.

How do I download the raw data from a regime probability graph (I'm using the switching regression).

Right now, I can view the graph but I can't find a way to download the data

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