Hello
I am trying to estimate the number of common factors for yields of a certain maturity among a group of 10 countries. I am able to programme the Bai and Ng (2004) PANIC test for the number of factors but I am unsure how to programme the extraction of the principal components via PRINFACTORS.src. I was wondering if anyone you point me towards a .prg file that I could use as an example?
many thanks