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Hi Dakila, I just came across a handbook by Andrew Blake and Haroon Mumtaz ( https://www.bankofengland.co.uk/ccbs/applied-bayesian-econometrics-for-central-bankers-updated-2017 ) that supports my argumentation regarding the zeros in the loadings matrix for slow-moving variables: Observation equation...

Hi Dakila, thanks again for your feedback. I really appreciate the option to get some feedback from you. Let me shortly cite BBE2005 (p. 404): In particular, we define two categories of information variables: "slow-moving" and "fast-moving." Slow moving variables (think of wages ...

Hi Dakila, thank you very much for your response. What you just described is basically the factor rotation that ensures that the factors are indipendent from R. I agree that this is the situation in the FAVAR modeling where the differentiation between slow- and fast-moving matters. However, this is ...

Hi everyone, I recently started working with EViews and I really wanna express my gratitude to dakila for providing the FAVAR add-in to us and moderating this thread with helpful support. After running the FAVAR add-in with my own dataset I came across a point that kind of surprised me. I crosscheck...