[Gretl-users] Dynamic factor model

Sven Schreiber svetosch at gmx.net
Fri Sep 21 04:33:12 EDT 2012


It might be worth a try to use that code directly from within gretl with
the "foreign" interface to octave. YMMV though.

tell us how it goes,
sven



On 09/21/2012 08:29 AM, artur tarassow wrote:
> Thank you for this hint, Peter. I'll have a look on their code.
> 
> Cheers,
> Artur
> 
> 2012/9/20 Summers, Peter <psummers at highpoint.edu
> <mailto:psummers at highpoint.edu>>
> 
>     Artur,____
> 
>     __ __
> 
>     Gary Koop and Dimitris Korobilis have dfm code in matlab
>     here:http://personal.strath.ac.uk/gary.koop/bayes_matlab_code_by_koop_and_korobilis.html.
>     I’ve found it fairly straightforward to translate matlab to Gretl.____
> 
>     __ __
> 
>     Hth,____
> 
>     __ __
> 
>     PS____
> 
>     __ __
> 
>     *From:*gretl-users-bounces at lists.wfu.edu
>     <mailto:gretl-users-bounces at lists.wfu.edu>
>     [mailto:gretl-users-bounces at lists.wfu.edu
>     <mailto:gretl-users-bounces at lists.wfu.edu>] *On Behalf Of *artur
>     tarassow
>     *Sent:* Thursday, September 20, 2012 2:55 PM
>     *To:* Gretl list
>     *Subject:* [Gretl-users] Dynamic factor model____
> 
>     __ __
> 
>     Dear gretl users,
> 
>     I want to estimate a dynamic factor model and was wondering whether
>     somebody here in the list has already done such an exercise. I would
>     appreciate it if you could provide a small code snippet just to get
>     an intuition how one could implement this in gretl.
> 
>     At the moment I using STATA for this, but I would favor to use gretl
>     of course ;-)
> 
>     Best,
>     Artur____
> 
> 
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