Search found 71 matches: dynamic factor

Searched query: dynamic factor

by simon
Sun Dec 30, 2018 2:45 am
Forum: Estimation
Topic: Impulse Response Function of a State Space Model
Replies: 0
Views: 830

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: 1274

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: 1274

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: 2543

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: 1880

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: 1880

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: 1979

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: 2597

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: 2597

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: 2597

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
by trubador
Fri Mar 25, 2016 1:04 am
Forum: Estimation
Topic: Chauvet (1998) Dynamic Factor with Markov Switching
Replies: 9
Views: 2597

Re: Chauvet (1998) Dynamic Factor with Markov Switching

Yes, that is correct. It is because dynamic factor(s) can be treated as latent variable(s) and can be put into state space form. You can search the forum for examples in EViews: search.php?st=0&sk=t&sd=d&sr=posts&keywords=dynamic+factor
by ftggog
Thu Mar 24, 2016 7:28 pm
Forum: Estimation
Topic: Chauvet (1998) Dynamic Factor with Markov Switching
Replies: 9
Views: 2597

Re: Chauvet (1998) Dynamic Factor with Markov Switching

I've also read somewhere that dynamic factor models are a specific variation of a state space model?

If that's right, what's peculiar about the dynamic factor model.

Thanks so much in advance.

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