Decomposition of Factors in Eviews
Posted: Tue Dec 08, 2020 5:58 am
Hi - I have created a overall industry index from a large data set of sectoral data using a Dynamic Factor model which has given me two factors -the common and idiosyncratic comment from which I create my index.
My question is that I have seen some studies where they have decomposed the factors into which sectors caused the largest movements in the index. Does anyone have any idea how to do the sin EViews - say by using a principle component model?
Thanks,
NPG
My question is that I have seen some studies where they have decomposed the factors into which sectors caused the largest movements in the index. Does anyone have any idea how to do the sin EViews - say by using a principle component model?
Thanks,
NPG