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 <[email protected]>
Date: Saturday, May 31, 2008 12:04 pm
Subject: st: Dynamic factor model
To: [email protected]
> 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
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
