I just ran the example script BAYES_DFM.m from Koop (http://personal.strath.ac.uk/gary.koop/Factor_Models.zip) using Octave (latest version 3.6.3 on ubuntu) and it seems to work.

Additionally, I ran a script provided by Veredas/Luciani which one can find here:
http://www.ecares.org/ecare/personal/veredas$/Welcome_files/LucianiVeredas2011_MatlabCodes.zip
To run it on Octave one needs to install the package "signal" for octave and change the line "[Fhat0,eigval]=svd(w*y'*y);" in the file "ML_nfactors.m" to "[Fhat0,eigval,test]=svd (w*y'*y);" where test holds the third scalar.
It also seems to run up to a point and produces some results and a figure, but further adjustment for Octave seems to be needed.

But overall it seems that one can you these mentioned packages with Octave and/or gretl using the foreign-block.

I will experiment a bit with it. If I find some further information, I'll let you know.

Artur


2012/9/21 Riccardo (Jack) Lucchetti <r.lucchetti@univpm.it>
On Fri, 21 Sep 2012, artur tarassow wrote:

Thank you for this hint, Peter. I'll have a look on their code.

I'm quite interested in this, although I'm very severely time-constrained in this period. If you could share with me (and publicly on the mailing list if you want) your work I'd be very grateful.

--------------------------------------------------
 Riccardo (Jack) Lucchetti
 Dipartimento di Economia

 Università Politecnica delle Marche
 (formerly known as Università di Ancona)

 r.lucchetti@univpm.it
 http://www2.econ.univpm.it/servizi/hpp/lucchetti
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