Hello community of stata,
I want to work on a study using the FAVAR method. My question is the following:
Is there any particular command for this method like the VAR, VECM or ARDL methods? If so, I can't find these commands anywhere, even in the studies that have already applied the method, I can't find a guide.
according to my understanding, to estimate a FAVAR, we need to proceed in 2 steps, build our indicators / factorial axes by the PCA method, the 2nd step is to estimate a normal VAR based on the axes (PCA) as explanatory variables, am I right?
please try to share with me a methodological guide, if not scripts.
thank you in advance
I want to work on a study using the FAVAR method. My question is the following:
Is there any particular command for this method like the VAR, VECM or ARDL methods? If so, I can't find these commands anywhere, even in the studies that have already applied the method, I can't find a guide.
according to my understanding, to estimate a FAVAR, we need to proceed in 2 steps, build our indicators / factorial axes by the PCA method, the 2nd step is to estimate a normal VAR based on the axes (PCA) as explanatory variables, am I right?
please try to share with me a methodological guide, if not scripts.
thank you in advance
