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Dynamic Factor Models

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Dynamic Factor Models

Posted: Thu Feb 18, 2010 7:42 am
by allister
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.

Dynamic Factor Models

Posted: Fri Feb 19, 2010 9:07 am
by TomDoan
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.
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