Factor Model
Posted: Tue Jul 13, 2010 2:16 pm
Hi,
I am working on FAVAR's. I had to first extract the common factor for my variables before running the VAR's. For the moment, I use the principal component method to extract the common factor. This is based on one of the RATS routine available online. Would anyone happen to know if there is a RATS routine to extract the common factor using Bayesian Factor Models? Please let me know.
Luching.
I am working on FAVAR's. I had to first extract the common factor for my variables before running the VAR's. For the moment, I use the principal component method to extract the common factor. This is based on one of the RATS routine available online. Would anyone happen to know if there is a RATS routine to extract the common factor using Bayesian Factor Models? Please let me know.
Luching.