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- Tue Aug 23, 2016 11:09 am
- Forum: Other Time Series Analysis
- Topic: FAVAR
- Replies: 29
- Views: 41936
Re: FAVAR
In response to reading this thread, is there code available for replicating the BBE FAVAR using the "two-step" principal components approach? Am I correct that the replication file only does the one-step likelihood approach? It looks as if the Martin, Hurn, Harris example MHHP564 is very c...