I am running factor and static dfactor models on the same set of variables. I was expecting the factor loadings of the former (estimated via ml) to match the coefficients of the latter, but that is not the case. Could you please explain why?
Also, when one estimates a static factor model using dfactor, the predict command only produces non-zero values for the residuals (for factor and xbf a zero vector is computed). Is this correct?
On a similar vein, when one runs factor with pcf and ml options, and one specifies more factors than there are eigen values above 1, factor still retains only as many factors as there are eigen values above 1. Why is this?
Finally, could you please provide some guidance on how to interpret the lrtests for factor model using ml? The hand book (page 360[TS]) was not helpful. With the p-value of the chi_square statistic at 0.0087, the interpretation was that there was little evidence of more factors, but that there might be an additional factor.
Many thanks,
Carolina
Also, when one estimates a static factor model using dfactor, the predict command only produces non-zero values for the residuals (for factor and xbf a zero vector is computed). Is this correct?
On a similar vein, when one runs factor with pcf and ml options, and one specifies more factors than there are eigen values above 1, factor still retains only as many factors as there are eigen values above 1. Why is this?
Finally, could you please provide some guidance on how to interpret the lrtests for factor model using ml? The hand book (page 360[TS]) was not helpful. With the p-value of the chi_square statistic at 0.0087, the interpretation was that there was little evidence of more factors, but that there might be an additional factor.
Many thanks,
Carolina
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