TITLE: Simulation study DFMs!The input covariance matrix are calculated pooled lagged covariance matrix
!The fit statistic need to modified according to the degree of freedom
DATA: FILE = single.txt;
TYPE IS covariance;
NOBSERVATIONS=99;
VARIABLE: NAMES = y11 y21 y31 y41 y51 y61
y12 y22 y32 y42 y52 y62;
USEVARIABLES = y11 y21 y31 y41 y51 y61
y12 y22 y32 y42 y52 y62;
ANALYSIS: estimator=ML;
MODEL: !Lag 0
f11 by y11*.5(1); f11 by y21(2); f11 by y31(3);
f21 by y41*.7(4); f21 by y51(5); f21 by y61(6);
!Lag 1
f12 by y12*.5(1); f12 by y22(2); f12 by y32(3);
f22 by y42*.7(4); f22 by y52(5); f22 by y62(6);
!Equal residual variances
y11(8); y21(9); y31(10); y41(11); y51(12);y61(13);
y12(8); y22(9); y32(10); y42(11); y52(12);y62(13);
f11 WITH f21;
f12 WITH f22;
!Autoregressive parts
f12 on f11 (b1);
f12 on f21 (b2);
f22 on f11 (b3);
f22 on f21 (b4);
!factor variance and shock variances
f12@.36;
f22@.36;
f11(p1);
f21(p2);
OUTPUT: RESIDUAL SAMP STAND TECH1;
SAVEDATA: Results are results.txt;