Dynamic Factor Model

Discussion of State Space and Dynamic Stochastic General Equilibrium Models

Dynamic Factor Model

Unread postby Zied_bct » Wed Feb 24, 2021 6:02 am

Good morning,
I need to measure the degree of synchronisation between 4 variables by using the methodology of Durbin and Koopman (2012) based on the dynamic factor model the common factor will be loaded by the principal component analysis.
My equation is how to calculate the share of variance of each variable explained by the common factor.
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