Command for Dynamic Factor Analysis?

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Command for Dynamic Factor Analysis?

Dear SAS Users,

I am new to SAS. Can you share a command that will do Dynamic Factor Analysis?

I would like to do a confirmatory factor analysis for a three time series variables. Some people call it Dynamic Factor Analysis.

Thank you for your help.

Amora

SAS Super FREQ
Posts: 3,406

Re: Command for Dynamic Factor Analysis?

Exploratory factor analysis is part of PROC FACTOR.

Confirmatory factor analysis is part of PROC CALIS.

See the doc for PROC CALIS and this paper from a conference proceedings: http://www2.sas.com/proceedings/sugi31/200-31.pdf

Grand Advisor
Posts: 10,210

Re: Command for Dynamic Factor Analysis?

To help with SAS vocabulary you may want to think more in terms of Procedure than Command. Procedures are the analysis tools while generally SAS commands relate more to the interface such as saving a file, sending output to a printer, window appearance or opening/closing windows. That is not an exhaustive list of commands but hopefully give you an start for differentiating between the two.

SAS Employee
Posts: 49

Re: Command for Dynamic Factor Analysis?

I noticed this post rather late.  You can do the dynamic factor analysis of your time series by using the SSM procedure in SAS/ETS.  This is because standard factor models can be formulated as linear state space models and the SSM procedure is designed for data analysis with state space models. See http://go.documentation.sas.com/docsetId=etsug&docsetVersion=14.2&docsetTarget=etsug_ssm_examples14....

for an example of dynamic factor modeling using the SSM procedure.

SAS Employee
Posts: 49

Re: Command for Dynamic Factor Analysis?

I just realized that the example link I provided fails to load. Just go to the SAS/ETS doc and look for example "Example 34.14 Factor Model: Now-Casting the US Economy" in the SSM procedure documentation.
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