Dynamic Factor Models

allister · Unread post by **allister** » Thu Feb 18, 2010 7:42 am

Good Day

Does anyone have a code for Stock and Watson dynamic factor model and the regime switching factor model of Kim and Nelson (1998)? Grateful for any assistance that I can receive in this regard.

TomDoan · Unread post by **TomDoan** » Fri Feb 19, 2010 9:07 am

This is from Stock and Watson(1991), "A Probability Model of the Coincident Economic Indicators," in Leading Economic Indicators: New Approaches and Forecasting Records, ed. by K. Lahiri, and G. Moore, chap. 4. This is described in greater detail in the State Space e-course materials.

ss_6_1_indicator.prg: (3.05 KiB) Downloaded 1941 times

sw1991.rat: (21.5 KiB) Downloaded 1767 times