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Hi!!

Please help. I am trying to run a FAVAR model using the FAVAR add-in but its giving me a response which says "factor 1 is not the same length as sample." it my first time running a FAVAR. Secondly what the appropriate minimum number of variables if one is to successful run a FAVAR model.

Regards

SK

I think you should change the sample size because you may have the missing values after the transformation of the variables. Next time you should ask question in the Add=in support section.

Hi;

I'm sorry for dumb question but I've needed some clearance. To determine the number of factors, there are two ways, if I'm not wrong. Principal component analysis and Nai&Bg (2002) test. However, is it possible to run Bai&Ng test in Eviews, or in any other programme?

I've found this code, but I'm not sure because he emphasizes panel data in the description below:
"This code computes the various panel criteria proposed by Bai and Ng (2002) to determine the number of factors in a multifactor model of large dimension. "

Thanks.