Good morning,
I am looking for a way to estimate a dynamic factor model in Stata 9.
I have found the paper by A. Federici
(www.stata.com/meeting/2italian/Federici.pdf), which outlines the
steps if you have more than i variables and t observations for j
countries. My case is a little different, since I have only one
variable with t observations for j countries.
Put differently, my data set looks as follows:
Year Country 1 Country 2 ...
1972 5 34
1973 31 19
...
I am having difficulties getting the Federici's procedure to work, and
I am wondering whether anyone is aware of other resources (programs,
literature) to implement dynamic factor analysis in Stata?
Help would be greatly appreciated,
PM
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