Dynamic Factor Model

Discussion of State Space and Dynamic Stochastic General Equilibrium Models
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Zied_bct
Posts: 11
Joined: Fri Dec 21, 2018 8:57 am

Dynamic Factor Model

Unread post by Zied_bct »

Good morning,
I need to measure the degree of synchronisation between 4 variables by using the methodology of Durbin and Koopman (2012) based on the dynamic factor model the common factor will be loaded by the principal component analysis.
My equation is how to calculate the share of variance of each variable explained by the common factor.
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