Yes thank you, as far as I understood your proposal it would lead to a similar result. Is there a good package in order to do principal component analysis?

Best wishes,
Luba





________________________________
Von: Andreas Hary [mailto:andreashary@googlemail.com]
Gesendet: Mittwoch, 29. Juli 2009 18:21
An: Stein, Luba (AIM SE)
Betreff: Re: [R] Similar package like SEM

Are you trying to build forward or yield curves by any chance? Consider using principal components on the log-differences of your yield-curve time series. That sort of gives you something like latent variables. You'll get a bunch of stationary random processes together with factor loadings for your maturities. You can then draw MC-samples from these processes to simulate future yield curves ... if that is indeed what you are after ...

Best wishes,


Andreas



On Wed, Jul 29, 2009 at 1:20 PM, Stein, Luba (AIM SE) <LUBA.STEIN@allianz.com<mailto:LUBA.STEIN@allianz.com>> wrote:
Hello,

is there a similar package like SEM. In fact, I am looking for a package where I as input several given vector variables which are part of an autoregressive model.
Then I would like to obtan parameters for so called latent variables.

Thank you,
Luba




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