Dynamic Factor Model (using the common factor)

[jill_lr]

Hello,
I have this eviews sspace program. If the question is extract a “common factor” that you can use to capture the movements of the GDP. Estimate only a single factor. Since the “common factor” is available at the monthly data points, while the GDP is define quarterly, use the sum of the common factor (for the three months in the given quarter) to match with the movement of the GDP.

Should I compute the GDP using the common factor as c(1)*dl(exports)+c(2)*dl_fx....
Exports and fx are monthly data so should I do this c(1)*dlexports in month 1+c(1)*dlecports in month 2 + C(1)*dlexports in month 3 +c(2)*dl_fx in month 1+c(2)*dl_fx in month 2...

@signal dl_exports=c(1)*sv1+sv2
@signal dl_fx=c(2)*sv1+sv3
@signal dl_cpi=c(3)*sv1+sv4
@signal dl_rm1=c(4)*sv1+sv5
@signal dl_psei=c(5)*sv1+sv6
@signal dl_wpi=c(6)*sv1+sv7

@state sv1=c(7)*sv1(-1)+[var=1]
@state sv2=c(8)*sv2(-1)+[var=1]
@state sv3=c(9)*sv3(-1)+[var=1]
@state sv4=c(10)*sv4(-1)+[var=1]
@state sv5=c(11)*sv5(-1)+[var=1]
@state sv6=c(12)*sv6(-1)+[var=1]
@state sv7=c(13)*sv7(-1)+[var=1]

@mprior vec01
@vprior sym01