FactorLIB

Version 2.0.0.0 (1.62 MB) by Enrique M. Quilis
Static Factor Analysis
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161 Downloads
Updated 4 Jan 2020

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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
Created with R2013a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
2.0.0.0

Treatment of unbalanced panels. Evaluation through transversal resampling (bootstrap, leave-k-out). Yield curve modeling.
1.0.0.0

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