Using R or matlab to do the following
Step 1: apply PCA to determine the number of latent factors using the macro indicators.
Step 2: estimate a hidden Markov model and find the optimal number of regimes (states
Sample Solution
Using R or matlab to do the following
Step 1: apply PCA to determine the number of latent factors using the macro indicators.
Step 2: estimate a hidden Markov model and find the optimal number of regimes (states
Sample Solution