hello team trust you are well.
If you have time can you please assist me with the following - something I have been battling with for weeks and I only realized now that I could get help via this forum - Rolling PCA and extracting variance explained by 1st PC (time series)
I have attached the workfile,program and a excel spread.
The workfile has the data (time series) of following - ZAR , VIX and EM
Program code is rolling PCA - please can you see what I am doing wrong.
CHART that I am trying to REPLICATE i.e. EMFX returns variance explained by 1st PC.
I will really really appreciate your help - going forward then I will know how to do this without any mistakes.
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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