Artur,
Gary Koop and Dimitris Korobilis have dfm code in matlab here: http://personal.strath.ac.uk/gary.koop/bayes_matlab_code_by_koop_and_korobilis.html. I’ve found it fairly straightforward to translate matlab to Gretl.
Hth,
PS
From: gretl-users-bounces@lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of artur tarassow
Sent: Thursday, September 20, 2012 2:55 PM
To: Gretl list
Subject: [Gretl-users] Dynamic factor model
Dear gretl users,
I want to estimate a dynamic factor model and was wondering whether somebody here in the list has already done such an exercise. I would appreciate it if you could provide a small code snippet just to get an intuition how one could implement this in gretl.
At the moment I using STATA for this, but I would favor to use gretl of course ;-)
Best,
Artur
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