Dynamic Factor Models

[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.

[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.

ss_6_1_indicator.prg

(3.05 KiB) Downloaded 395 times

sw1991.rat

(21.5 KiB) Downloaded 286 times