title: Dynamic factor model : forecasting the factors
body: <p>The <code>statsmodels</code> package offers a <code>DynamicFactor</code> object that, when fit, yields a <code>statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResultsWrapper</code> object. That offers <code>predict</code> and <code>simulate</code> methods, but both forecast the original time-series, not the underlying latent factor. </p>
  
  <p>I've tried reconstructing the latent factor as an AR process, but have been unsuccessful. The coefficients in both the <code>.ssm["transition"]</code> and in the results <code>.summary()</code> match, but when simulated as an AR process, don't give me back the factor on the results <code>.factors["filtered"]</code>...</p>
  
  <p>How can I generate future values of the latent factors ?</p>