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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)
New Economics Papers: this item is included in nep-ets
Date: 2019-01
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