The common component

[AJKBajwa]

Dear @brandynbok and @eric-qian ,

Thank you for the code. It is very well written and documented!
I have a question regarding last the two plots in the example_dfm.m.
The second plot that plots the common factor uses the standardized smoothed value of all the variables on the y-axis but for the common component uses only the INDPRO variable. What is the reason for that?

Also, in the last plot. The project of common component onto PAYEMS and GDPC1. Shouldn't the common component be a lot smoother than the original data.

Looking forward to hearing more from you on this matter.
Thank you for your answer.

Regards
Ahmed Junaid Khalid

[lorenzomiste]

Dear @brandynbok and @eric-qian ,

Thank you for the code. It is very well written and documented! I have a question regarding last the two plots in the example_dfm.m. The second plot that plots the common factor uses the standardized smoothed value of all the variables on the y-axis but for the common component uses only the INDPRO variable. What is the reason for that?

Also, in the last plot. The project of common component onto PAYEMS and GDPC1. Shouldn't the common component be a lot smoother than the original data.

Looking forward to hearing more from you on this matter. Thank you for your answer.

Regards Ahmed Junaid Khalid

I would also be interested in the answers to those questions. @AJKBajwa did you eventually come up with something?

Best regards,
Lorenzo Mistè