*
* Example 9.4, pp 433-436
*
open data m-barra-9003.txt
calendar(m) 1990
data(format=free,org=columns) 1990:1 2003:12 age c mwd mer dell hpq ibm aa cat pg
*
vcv(center)
# age c mwd mer dell hpq ibm aa cat pg
*
compute r=%cvtocorr(%sigma)
*
compute nfactor=3,n=10
dec symm   llead(nfactor,nfactor)
dec rect   lrem(n-nfactor,nfactor)
dec vect   d(n)
nonlin llead lrem d
compute llead=%identity(nfactor)
compute lrem =%const(0.0)
compute d=%sqrt(%xdiag(r))
*
declare real test
find(method=bfgs,stderrs) maximum test
   compute lambda=llead~~lrem
   compute sigma=%outerxx(lambda)+%diag(d.*d)
   compute test=%logdensitycv(sigma,r,%nobs)
end find
*
compute lcopy=lambda
@quartimax(standardize) lcopy
disp lcopy