[Dynamic factor models] (http:https://en.wikipedia.org/wiki/Dynamic_factor) or diffusion index models are econometric models which allow the estimation of a dependent variable using potentially very many regressors.

This package is not registered as a Julia package (yet) as it is in an unfinished state. You have been warned. You can install it using

julia> Pkg.clone("git:https://github.com/joidegn/DynamicFactorModels.jl.git")

*Simulate and Estimate Dynamic factor models *Preselect predictors using soft and hard thresholding (see Bai, Jushan, and Serena Ng. "Forecasting economic time series using targeted predictors." Journal of Econometrics 146.2 (2008): 304-317.)