Re: [Gretl-users] DFM package question
Am 05.03.2019 um 08:56 schrieb ΑΝΔΡΕΑΣ ΖΕΡΒΑΣ:
Hi all,
I have a question regarding DFM package, version 0.2 on Gretl 2018c (or
b) . It is about using unbalanced time series. I understand that dynamic
factor models are estimated on the common sample of the time series.
However, my understanding of the literature is that if some of these
time series from which the factors are extracted have longer sample,
then it is possible to use the Kalman filter to fill the missing values
of the dynamic factors. In the help such a feature is not mentioned. Is
it possible to do it in a quick way, or we would have to wait for a new
version?
Good morning, I'm not an author of the DFM package (which BTW for those
who don't know it stands for "dynamic factor models"), but could you
give a concrete reference for the "literature" you are talking about.
People always say "the Kalman filter can do it", and I guess you mean a
latent variable approach, but IMO it all depends on the specific
assumptions. Because to me the Kalman filter is just a framework, not a
specific model.
cheers
sven