I have a newbie question, what I want to do is to find out what is the top 2 or 3 important drivers of asset prices given the time frame.
I have say 30 columns of asset returns by date as input, they are simple time series of daily/weekly/monthly return.
I also have say 10 columns of key suspected drivers, they are macro drivers which i knew are important in long term but not sure if they are in the short term, the influences always shifting in the market.
I would like to learn how can I extra a matrix of PCs matrix so that i can compare correlation with each suspected drivers, this would tell me which drivers are the keys.
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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