for a linear shift if you use cats in rats you can adding two lines such as:
set D85 78:6 85:03 = 0
set D85 85:03 96:06 = 1
where the dummy D85 lies in the cointegration space.
Search found 2 matches
- Mon Nov 27, 2006 8:29 am
- Forum: VARs (Vector Autoregression Models)
- Topic: VAR's under Regime Shifts
- Replies: 2
- Views: 11254
- Mon Nov 27, 2006 8:23 am
- Forum: General Econometrics
- Topic: PCA
- Replies: 6
- Views: 18459
PCA
I am having a look to the routines for principal component analysis and factor analysis.
The output contain eigenvalues and eigenvectors. I have seen a paper which shows "factor loadings" instead. What are these "factor loadings"?
The output contain eigenvalues and eigenvectors. I have seen a paper which shows "factor loadings" instead. What are these "factor loadings"?