Package index

dfms-package dfms

Dynamic Factor Models

Information Criteria

Choose the number of factors and the lag-order of the factor VAR.

ICr() print(<ICr>) plot(<ICr>) screeplot(<ICr>)

Information Criteria to Determine the Number of Factors (r)

Fit a Dynamic Factor Model

DFM estimation via the EM algorithm and PCA, and various methods inspect the model and extract results.

DFM()

Estimate a Dynamic Factor Model

print(<dfm>) coef(<dfm>) logLik(<dfm>) summary(<dfm>) print(<dfm_summary>)

DFM Summary Methods

plot(<dfm>) screeplot(<dfm>)

Plot DFM

as.data.frame(<dfm>)

Extract Factor Estimates in a Data Frame

residuals(<dfm>) fitted(<dfm>)

DFM Residuals and Fitted Values

Forecasting

Forecast both the factors and the data, and methods to visualize forecasts and extract results.

predict(<dfm>) print(<dfm_forecast>) plot(<dfm_forecast>) as.data.frame(<dfm_forecast>)

DFM Forecasts

News Decomposition

Decompose forecast revisions into news contributions follwing Banbura and Modugno (2014).

news() print(<dfm_news>) print(<dfm_news_list>) `$`(<dfm_news_list>) `[[`(<dfm_news_list>) `[`(<dfm_news_list>) as.data.frame(<dfm_news_list>)

News Decomposition

Fast Stationary Kalman Filtering and Smoothing

Optimized Armadillo C++ implementations of the stationary Kalman Filter and Smoother.

SKF()

(Fast) Stationary Kalman Filter

FIS()

(Fast) Fixed-Interval Smoother (Kalman Smoother)

SKFS()

(Fast) Stationary Kalman Filter and Smoother

Helper Functions

Fast VAR, matrix inverses, imputation/removal of missing values in multivariate time series, and convergence check for EM algorithm.

.VAR()

(Fast) Barebones Vector-Autoregression

tsnarmimp()

Remove and Impute Missing Values in a Multivariate Time Series

ainv() apinv()

Armadillo's Inverse Functions

em_converged()

Convergence Test for EM-Algorithm

Data

Euro area macroeconomic data from Banbura and Modugno (2014), and 3 DFM specifications considered in their paper.

BM14_Models BM14_M BM14_Q

Euro Area Macroeconomic Data from Banbura and Modugno 2014