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Thanks a lot.

Hi I am running a program with a large number of parameters to be estimated (potentially in the neighborhood of 10000) and it seems that the maximum number of parameters that coef c can store is only 750! Although I can specify as many parameters I want, once I run the program and initialize paramet...

Hi again I just want to be more specific with the problem above, I want to know how to create the right hand of the following equation ss1.append @signal sig{!i} = c({count1}) + c({count2})*sv_1 + c({count3})*sv_2 +...+ c({count(r+1)})*sv_r + e{!i} hence I am looking for something that looks like th...

Hi I am working on dynamic factor models, using sspace and a large panel of time series as observation variables, and I am looking for a method to define the signal and state equations within loops. The problem is as follows: in matrix notation the observation equation is: X(t) = A*F(t) + e(t), wher...

Hi Does anyone have any peice of code/add-in for: i) Bai and Ng (2002) Determining the number of factors in approximate factor models, Econometrica and/or ii) Bai and Ng (2007) Determining the number of primitive shocks in factor models, Journal of Business & Economic Statistics I am mostly inte...

That works perfect.

Thanks a lot.

Hi, I have the following problem: I have a dependent variable (series) and a number of regressors stored on the columns of a matrix. Once I have created a number of series (say 5 series se1 se2...se5) which correspond to each matrix column/regressor (as I cannot regress onto regressors which are in ...