Historical Decomp of PCA

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italianstal
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Joined: Tue Aug 25, 2020 5:22 am

Historical Decomp of PCA

Postby italianstal » Tue Sep 01, 2020 4:18 am

Hello!I have cretaed an economic activity index using a numbe rof monthly indicators through a PCA. I was hoping to explain the factors which drive movements in the indicator using a historical decomposition (not a historical decomposition in terms of structural shocks but instead the contributions to the indictor which are based on variable weights). Is there a way to do this in EViews? I know how to do so with a VAR but am struggling to do so in this cases.

Thanks!
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italianstal
Posts: 3
Joined: Tue Aug 25, 2020 5:22 am

Re: Historical Decomp of PCA

Postby italianstal » Thu Sep 03, 2020 2:30 am

Anyone any ideas? I would be very grateful :P
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italianstal
Posts: 3
Joined: Tue Aug 25, 2020 5:22 am

Re: Historical Decomp of PCA

Postby italianstal » Thu Oct 22, 2020 7:51 am

Hi - sorry to psot again but has nayone any idea even a related literature that could help me with this request?
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