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I have extracted the principal components of a matrix of data, and I want to see the percent of the variance of each time series explained by each principal component retained. Therefore, I regressed each time series on each principal component and retained the R squared. My question is: if some of ...

Thank you very much! I was trying to do that in eviews 5 and it gave me an error, but I see that in eviews 6 it worked.

I know it's a silly question..but how do I create cross-section dummies manually? (i'm sorry to bother with this kind of question but i didn't find it on the net)
Thank you again!

Can anyone please tell me how can I estimate in eviews a panel regression with cross-section specific coefficients?

Thank you!