dfms

Efficient estimation of Dynamic Factor Models using the Expectation Maximization (EM) algorithm or Two-Step (2S) estimation, supporting datasets with missing data. The estimation options follow advances in the econometric literature: either running the Kalman Filter and Smoother once with initial values from PCA - 2S estimation as in Doz, Giannone and Reichlin (2011) doi:10.1016/j.jeconom.2011.02.012 - or via iterated Kalman Filtering and Smoothing until EM convergence - following Doz, Giannone and Reichlin (2012) doi:10.1162/REST_a_00225 - or using the adapted EM algorithm of Banbura and Modugno (2014) doi:10.1002/jae.2306, allowing arbitrary patterns of missing data. The implementation makes heavy use of the 'Armadillo' 'C++' library and the 'collapse' package, providing for particularly speedy estimation. A comprehensive set of methods supports interpretation and visualization of the model as well as forecasting. Information criteria to choose the number of factors are also provided - following Bai and Ng (2002) doi:10.1111/1468-0262.00273.

Last 30 days

This package has been downloaded 377 times in the last 30 days. Enough downloads to make a small wave in the niche community. The curiosity is spreading! The following heatmap shows the distribution of downloads per day. Yesterday, it was downloaded 9 times.

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Last 365 days

This package has been downloaded 5,568 times in the last 365 days. A solid achievement! Enough downloads to get noticed at department meetings. The day with the most downloads was May 03, 2024 with 59 downloads.

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