Run dynamic factor models (DFM) in R. Adapted from Bok et al. (2017) <https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr830.pdf>. The package provides the ability to estimate a DFM model, obtain predictions from estimated models, and obtain the impact of new data releases on model predictions.
| Version: | 1.0.0 |
| Depends: | R (≥ 3.3.0), dplyr (≥ 0.8.0.1), matlab (≥ 1.0.2), pracma (≥ 2.3.3), signal (≥ 0.7-7) |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2021-12-01 |
| Author: | Daniel Hopp [aut, cre], Fernando Cantu [aut] |
| Maintainer: | Daniel Hopp <daniel.hopp at un.org> |
| License: | GPL-3 |
| URL: | https://github.com/dhopp1/nowcastDFM/, https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr830.pdf, https://github.com/FRBNY-TimeSeriesAnalysis/Nowcasting |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | nowcastDFM results |
| Reference manual: | nowcastDFM.pdf |
| Package source: | nowcastDFM_1.0.0.tar.gz |
| Windows binaries: | r-devel: nowcastDFM_1.0.0.zip, r-release: nowcastDFM_1.0.0.zip, r-oldrel: nowcastDFM_1.0.0.zip |
| macOS binaries: | r-release (arm64): nowcastDFM_1.0.0.tgz, r-oldrel (arm64): nowcastDFM_1.0.0.tgz, r-release (x86_64): nowcastDFM_1.0.0.tgz, r-oldrel (x86_64): nowcastDFM_1.0.0.tgz |
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