Dynamic Factor Models in gretl. The DFM package

Riccardo (Jack) Lucchetti and Ioannis Venetis ()

No 7, gretl working papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: This package deals with the estimation of dynamic factor models (DFM); for the moment, three factor extraction techniques are available, but we plan to add more in future versions. Further additions will include parameter restrictions.

Keywords: Dynamic factor models; EM algorithm; Kalman filter; Principal components (search for similar items in EconPapers)
JEL-codes: C32 C38 C87 (search for similar items in EconPapers)
Pages: 21
Date: 2019-01
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (3)

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