Dynamic factor analytical model estimation using Dynfac: a guide for users

• Autores: Francisco José Goerlich Gisbert
• Localización: Working papers = Documentos de trabajo: Serie EC - (Instituto Valenciano de Investigaciones Económicas), Nº. 6, 1997
• Idioma: inglés
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• Resumen

  • This is a user¿s guide for the DYNFAC package. A program written in GAUSS to estimate, by maximum likelihood in the time domain, DYNamic FACtor analytical models with the other common factor (single-index models), by means of the Kalman filter.