Generalized Dynamic Factor Model (GDFM)

Version 1.0.2 (1.58 MB) by Young-ho Cho
Toolbox to estimate the optimal number of dynamic factor, decompose the data and create new scenarios according to the factor.
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Updated 5 Jan 2022

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Toolbox to estimate the factor decomposition according to Forni Hallin Lippi Reichlin (2000) "The Generalized Dynamic Factor Model: Identification and Estimation", The Review of Economics and Statistics, 82, 540-554, and Forni Hallin Lippi Reichlin (2005) "The Generalized Dynamic Factor Model: One-sided Estimation and Forecasting", Journal of the American Statistical Association, 100, 830-840.

Cite As

Young-ho Cho (2026). Generalized Dynamic Factor Model (GDFM) (https://in.mathworks.com/matlabcentral/fileexchange/102504-generalized-dynamic-factor-model-gdfm), MATLAB Central File Exchange. Retrieved .

Forni Hallin Lippi Reichlin (2000) "The Generalized Dynamic Factor Model: Identification and Estimation", The Review of Economics and Statistics, 82, 540-554.

Forni Hallin Lippi Reichlin (2005) "The Generalized Dynamic Factor Model: One-sided Estimation and Forecasting", Journal of the American Statistical Association, 100, 830-840.

MATLAB Release Compatibility
Created with R2020a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.0.2

Modify the data used by the example.
1.0.1

Modify the data used by the example.
1.0.0