Re: [Gretl-users] Dynamic factor model

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_koro.... I've found it fairly straightforward to translate matlab to Gretl. Hth, PS From: gretl-users-bounces(a)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