We present a library of MATLAB functions designed for the estimation and analysis of static factor models, both by the method of the principal component and by maximum likelihood. The library includes functions for the treatment of unbalanced panels, the evaluation through transversal resampling of the uncertainty associated with the estimation of the factors as well as exploratory procedures for determining the appropriate number of factors. The various functions are applied to analyze the latent structure of the yield curve of the Spanish Treasury.
Cite As
Enrique M. Quilis (2024). FactorLIB (https://www.mathworks.com/matlabcentral/fileexchange/57309-factorlib), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Dimensionality Reduction and Feature Extraction >
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.