I am running a DFM model on STATA using timeseries data to derive the estimated Factor (through MLE) as the index.

1. Does the factor estimates derived from Dynamic Factor Model is zero for the first timeperiod?

2. What is with and without constant option? Why does it give me different values for the index, though the overall trend is similar, but both assign the value of zero to first, meaning both starts from the origin.

Can someone explain.

Thanks!

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