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Dynamic Factor Analytical Model Estimation Using Dynfac: A Guide for Users

Francisco Goerlich Gisbert ()

Working Papers. Serie EC from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: This is a user's guide for the DYNFAC package. A program written in GAUSS toestimate, by maximum likelihood in the time domain, DYNamic FACtor analytic modelswith one common factor (single-index models), by means of the Kalman filter.The underlying theory and methods are briefly explained. Esta es la guía de usuario del programa DYNFAC. Un programa escrito en lenguaje matricial GAUSS para estimar, por máxima verosimilitud en el dominio temporal, modelos FACtoriales DYNámicos con un factor común no observable, por medio del filtro de Kalman.La teoría y los métodos que forman la base del programa son explicados de forma concisa.

Keywords: Modelos factoriales dinámicos; filtro de Kalman; software D ynamic Factor models; Kalrnan filter; software (search for similar items in EconPapers)
Pages: 34 pages
Date: 1997-01
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Published by Ivie

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http://www.ivie.es/downloads/docs/wpasec/wpasec-1997-06.pdf Fisrt version / Primera version, 1997 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasec:1997-06

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