FAVAR? or just a simple VAR
Posted: Sun Jun 22, 2014 8:07 pm
Im trying to see the dynamics of X1, X2, and F1, where X1 and X2 are endogenous variables and F1 is a common factor. if i will just include F1 as part of my endogenous variables, is it feasible?
or i really need to model it as FAVAR if i have a common factor?
FAVAR is not yet supported by eviews right so i still have to download MATLAB or RATS
or i really need to model it as FAVAR if i have a common factor?
FAVAR is not yet supported by eviews right so i still have to download MATLAB or RATS