title: Dynamic Factor Model Estimation
body: <p>I'm looking for a python or matlab based package which can estimate parameters for the following model:</p>
  <p><a href="https://i.stack.imgur.com/gecSz.png" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/gecSz.png" alt="Model" /></a></p>
  <p>In the original paper they refer to <a href="https://drive.google.com/file/d/0BzOpR8T359fhQi1GMkdLd0RLckE/view?resourcekey=0-AaHu7KfomK0CHCYFr3KpfQ" rel="nofollow noreferrer">this</a> code by Koop. The problem I have is that this program as well the standard packages from Python's statsmodel estimate a DFM of the form:</p>
  <p><a href="https://i.stack.imgur.com/6YmK7.png" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/6YmK7.png" alt="Standard model" /></a></p>
  <p>The difference to the model in the paper is that if we have two factors, then A_1 is two-dimensional, but in the model I want to estimate, we only want to estimate a_11 and assume a_12 = 0. Is there a package which can estimate such models?</p>