Command for Dynamic Factor Analysis?

[amora]

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

[Rick_SAS]

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

[ballardw]

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.

[rselukar]

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.

[rselukar]

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.

[PhilWood]

I wrote some macros for doing dynamic factor analysis (without mean trend) for calis a while back. For what it's worth: https://psycnet.apa.org/record/1994-39721-001

[rselukar]

Hello Professor Wood,

I downloaded the paper and will go over it and the macros.  I am familiar with the CALIS procedure and have always been interested in the possibility of providing better dynamic factor modeling support for longitudinal data in the state space modeling procedure, PROC SSM (and PROC CSSM it's cloud-enabled SAS Viya version), that I support.  If you want to use PROC SSM for dynamic factor modeling for any of your projects, I will gladly work with you. 

Please feel free to contact me at rajesh.selukar@sas.com. Thanks, 

Rajesh

Doc link for PROC CSSM: https://go.documentation.sas.com/doc/en/pgmsascdc/v_040/casecon/casecon_cssm_gettingstarted.htm

Dynamic factor models are illustrated in two econometric examples: https://go.documentation.sas.com/doc/en/pgmsascdc/v_040/casecon/casecon_cssm_examples07.htm, and https://go.documentation.sas.com/doc/en/pgmsascdc/v_040/casecon/casecon_cssm_examples14.htm.