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Dynamic factor model
Posted: Fri Oct 19, 2018 10:50 am
by superahcn
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.
Re: Dynamic factor model
Posted: Fri Oct 19, 2018 1:32 pm
by TomDoan
The mu=beta option is missing on the TYPE=SMOOTH instruction in the WB version.
Re: Dynamic factor model
Posted: Wed Oct 24, 2018 9:36 pm
by hasanov
Hi Tom,
Where can I find the original RATS code for dynamic factor models?
Thanks
Re: Dynamic factor model
Posted: Wed Oct 24, 2018 11:40 pm
by TomDoan
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.