Dynamic factor model
Dynamic factor model
I am doing the Stock-Watson dynamic factor model. I have found 2 versions of the codes and found that the results are quite different. In particular, the filtered series and the smoothed series are very different in using the Version 2 of the programme. Given the Version 2 code allows me to change the number of variables, I would like to use it. Could you help me to check whether I made something wrong in the Version 2 code? Thank you.
- Attachments
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- Rats_Data.xlsx
- Data
- (20.57 KiB) Downloaded 861 times
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- CN_Mon_WB.rpf
- Version 2
- (4.63 KiB) Downloaded 1002 times
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- CN_Mon_SW_indicator.rpf
- Version 1
- (3.76 KiB) Downloaded 995 times
Re: Dynamic factor model
The mu=beta option is missing on the TYPE=SMOOTH instruction in the WB version.
Re: Dynamic factor model
Hi Tom,
Where can I find the original RATS code for dynamic factor models?
Thanks
Where can I find the original RATS code for dynamic factor models?
Thanks
Re: Dynamic factor model
I'm not sure what you mean. The SW_INDICATOR is the older version. The newer version has that minor error in the smoothing that you discovered.