Diebold Rudebusch Aruoba JOE 2006

This is a replication for the factor model of Diebold, Rudebusch & Aruoba (2006).

It should be a simple modification to switch the data sets. You might have to change the guess values for mu, but everything else should go through the same as with this. The estimation behavior seems to be especially sensitive to the choice of mu if the data are near unit-root; it doesn't seem to be as sensitive to the guess values for the variances.

The three factor model without the other observables is included in the Durbin and Koopman, 2nd Edition, example durk2p202.rpf.