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st: Dynamic factor model


From   "Philipp Maier" <boc.monitoring@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Dynamic factor model
Date   Sat, 31 May 2008 12:03:27 -0400

Good morning,

I am looking for a way to estimate a dynamic factor model in Stata 9.

I have found the paper by A. Federici
(www.stata.com/meeting/2italian/Federici.pdf), which outlines the
steps if you have more than i variables and t observations for j
countries. My case is a little different, since I have only one
variable with t observations for j countries.

Put differently, my data set looks as follows:

Year     Country 1      Country 2    ...
1972          5                  34
1973         31                 19
...

I am having difficulties getting the Federici's procedure to work, and
I am wondering whether anyone is aware of other resources (programs,
literature) to implement dynamic factor analysis in Stata?

Help would be greatly appreciated,

PM
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