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Re: st: Dynamic factor model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Dynamic factor model
Date   Sat, 31 May 2008 13:04:52 -0400

Phil,
     There are a number of different approaches to this.  State space models are a form of
dynamic factor analysis.  But so are those, like the Fama-French approach in Chapter 9 of 
Ruey Tsay's Analysis of Financial Time Series, 2nd ed.  Wiley.  You might take a look at that.
            Regards,
                Bob Yaffee


Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University


----- Original Message -----
From: Philipp Maier <boc.monitoring@gmail.com>
Date: Saturday, May 31, 2008 12:04 pm
Subject: st: Dynamic factor model
To: statalist@hsphsun2.harvard.edu


> 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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