Dynamic Factor Analysis

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tobi_mueller
Posts: 9
Joined: Mon Sep 17, 2012 2:37 am

Dynamic Factor Analysis

Postby tobi_mueller » Mon Sep 17, 2012 3:25 am

Hey Folks is there a way/code of doing dynamic factor analysis in EViews 7???
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trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Dynamic Factor Analysis

Postby trubador » Mon Sep 17, 2012 5:46 am

http://forums.eviews.com/viewtopic.php?f=4&t=4808
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tobi_mueller
Posts: 9
Joined: Mon Sep 17, 2012 2:37 am

Re: Dynamic Factor Analysis

Postby tobi_mueller » Wed Sep 26, 2012 10:36 pm

Hi everyone,

My current project is to estimate a Dynamic Factor Model (DFM) in order to nowcast quarterly GDP growth. So far I've gathered 16 indicators (PMI manufacturing, services, IP etc.) that are available on a monthly basis and that are correlated to economic acitivity. Having these indicators how would you guys implement a DFM in EViews respectively how to extract the common unknown factor(s)?

Thanks for your help in advance :D
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