Dynamic Factor Models and Gonzalo Granger decomposition

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laac
Posts: 4
Joined: Tue Jan 27, 2015 4:32 pm

Dynamic Factor Models and Gonzalo Granger decomposition

Postby laac » Tue Jan 27, 2015 4:41 pm

It would be nice if you could add to the new versión of eviews a Dynamic Factor Model object (or maybe as a proc in a group object). Also it would be interesting if you could offer the Gonzalo-Granger decomposition of a VEC (Journal of Business & Economic Statistics 1995).

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