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This report describes an experimental apparatus which was built to measure Thermal Response Factors. Two schemes for data analysis are described. It is showm that because of sensitivity of Response Factors to experimental errors direct data analysis procedures are unsatisfactory. A system identification scheme using a stochastic approximation based on the Kiefer-Wolfowitz algorithm is shown to give satisfactory results. It is concluded that the described apparatus and procedure can be used to determine Response Factors experimentally.