EViews.com

Hello!I have cretaed an economic activity index using a numbe rof monthly indicators through a PCA. I was hoping to explain the factors which drive movements in the indicator using a historical decomposition (not a historical decomposition in terms of structural shocks but instead the contributions to the indictor which are based on variable weights). Is there a way to do this in EViews? I know how to do so with a VAR but am struggling to do so in this cases.

Thanks!

Anyone any ideas? I would be very grateful

Hi - sorry to psot again but has nayone any idea even a related literature that could help me with this request?