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Codes for MKFM6 using Kalman filter method to estimate Dynamic factor models
2006-11-17    Zhang, Z.       Read: 8022 times
Cite this page: Zhang, Z. (2006). Codes for MKFM6 using Kalman filter method to estimate Dynamic factor models. Retrieved December 16, 2018, from http://www.psychstat.org/us/article.php/68.htm.
Codes for MKFM6 using Kalman filter method to estimate Dynamic factor models

title Simulation study DFMs

nm=1 se=yes it=1000
mo=1 ny=6 ne=2 nx=0
df=single.txt rf=states ns=1 mi=-999
S=1 R=1 H=1 Q=1 Z=0 d=0 c=0 G=1 P=1

S fi
0 0   
0 0  
0 0   
0 0  
0 0
0 0
      
S fr
1 0
2 0
3 0
0 4
0 5
0 6

Q fi sy
.36
0 .36  
Q fr sy
0
7 0 

G fi di
1 1
G fr
0 0

H fi fu
0 0
0 0     
H fr fu
8 9
10 11

R fi di
0 0 0 0 0 0 
R fr di
12 13 14 15 16  17


P fi sy
50
0 50
P fr sy
0
0 0

st
1 1 1 1 1 1
.18
.8 0 0 .8
.1 .1 .1 .1 .1 .1
lb
-10 -10 -10 -10 -10 -10
-.3
-1 -1 -1 -1
.0001 .00001 .0001 .0001 .0001 .0001
ub
10 10 10 10 10 10
.3
1 1 1 1
10 10 10 10 10 10 

Submitted by: johnny
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