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Dynamic Factor Analytical Model Estimation Using Dynfac: A Guide for Users

Author

Listed:
  • Francisco José Goerlich Gisbert

    (Instituto Valenciano de Investigaciones Económicas)

Abstract

This is a user's guide for the DYNFAC package. A program written in GAUSS toestimate, by maximum likelihood in the time domain, DYNamic FACtor analytic modelswith one common factor (single-index models), by means of the Kalman filter.The underlying theory and methods are briefly explained. Esta es la guía de usuario del programa DYNFAC. Un programa escrito en lenguaje matricial GAUSS para estimar, por máxima verosimilitud en el dominio temporal, modelos FACtoriales DYNámicos con un factor común no observable, por medio del filtro de Kalman.La teoría y los métodos que forman la base del programa son explicados de forma concisa.

Suggested Citation

  • Francisco José Goerlich Gisbert, 1997. "Dynamic Factor Analytical Model Estimation Using Dynfac: A Guide for Users," Working Papers. Serie EC 1997-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasec:1997-06
    as

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    File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-1997-06.pdf
    File Function: Fisrt version / Primera version, 1997
    Download Restriction: no
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    Cited by:

    1. Francisco J. Goerlich-Gisbert, 1999. "Shocks agregados versus shocks sectoriales. Un análisis factorial dinámico," Investigaciones Economicas, Fundación SEPI, vol. 23(1), pages 27-53, January.

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