Factor Model

[luching]

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.

[TomDoan]

It sounds as if you're looking for the swgibbs program posted in the thread at

http://www.estima.com/forum/viewtopic.php?f=26&t=753