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I need to ask for your assistance again. In the attached workfile you find another try to solve my problem. "SS12" estimates z1(k) and z2(k) separately, each following an ARIMA(2,0,1)-process. (I estimated this just as a kind of reference.) "SS13" modifies "SS12". Again...

Thank you, Startz, for your reply. Unfortunately, adding a signal equation for z2 doesn't work ("near singular matrix" appears). The other thing is: z1 and z2 share the common component but differ in the disturbances' variance as in the MA(1) coefficients. May I draw your attention to the ...

Dear all, my intention is to estimate a common factor model (still using EViews 5.1). Imagine two measurement series z1(k) and z2(k) (k=time index), both sharing a common component x(k) following AR(2). The other (idiosyncratic) components of z1(k) and z2(k) are disturbances with MA(1). Estimating z...