Dynamic Factor Modeling

[blanquita1984]

Hi,

[blanquita1984]

Please if anyone can help me with this specification. I need to finish this program as soon as possible.

[trubador]

So in your specification; A=0 and var(et)=1 and while F(t) follows AR(2), u(t) follows AR(1). Having said that; there is a typo in the syntax, sample needs to be adjusted, several constants are missing in your model and it may be a good idea to associate the latent factor with one of the signal variables especially when using such a flexible framework:

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sspace dfm dfm.append @signal bcon_accom = sv1 + e1 dfm.append @signal bcon_fin = c(1) + c(2)*sv1 + e2 dfm.append @signal bcon_restate= c(3) + c(4)*sv1 + e3 dfm.append @state sv1= c(5) + c(6)*sv1(-1) + c(7)*sv2(-1) + [ename=eps, var=1] dfm.append @state sv2 = sv1(-1) dfm.append @state e1= c(8)*e1(-1) + [ename = e12, var=exp(c(11))] dfm.append @state e2= c(9)*e2(-1) + [ename = e22, var=exp(c(12))] dfm.append @state e3= c(10)*e3(-1) + [ename = e32, var=exp(c(13))] dfm.append @evar cov(e12,e22) = c(14) dfm.append @evar cov(e12,e32) = c(15) dfm.append @evar cov(e22,e32) = c(16) dfm.append param c(1) .0 c(2) .0 c(3) .0 c(4) .0 c(5) .0 c(6) .0 c(7) .0 c(8) .0 c(9) .0 c(10) .0 c(11) .0 c(12) .0 c(13) .0 c(14) .0 c(15) .0 c(16) .0 smpl 2003q1 2013q1 dfm.ml dfm.makestates *_ss smpl @all