Dynamic Factor Models

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Documentation for package ‘dfms’ version 0.2.1

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

.VAR	(Fast) Barebones Vector-Autoregression
ainv	Armadillo's Inverse Functions
apinv	Armadillo's Inverse Functions
as.data.frame.dfm	Extract Factor Estimates in a Data Frame
as.data.frame.dfm_forecast	DFM Forecasts
BM14_M	Euro Area Macroeconomic Data from Banbura and Modugno 2014
BM14_Models	Euro Area Macroeconomic Data from Banbura and Modugno 2014
BM14_Q	Euro Area Macroeconomic Data from Banbura and Modugno 2014
DFM	Estimate a Dynamic Factor Model
em_converged	Convergence Test for EM-Algorithm
FIS	(Fast) Fixed-Interval Smoother (Kalman Smoother)
fitted.dfm	DFM Residuals and Fitted Values
ICr	Information Criteria to Determine the Number of Factors (r)
plot.dfm	Plot DFM
plot.dfm_forecast	DFM Forecasts
plot.ICr	Information Criteria to Determine the Number of Factors (r)
predict.dfm	DFM Forecasts
print.dfm	DFM Summary Methods
print.dfm_forecast	DFM Forecasts
print.dfm_summary	DFM Summary Methods
print.ICr	Information Criteria to Determine the Number of Factors (r)
resid.dfm	DFM Residuals and Fitted Values
residuals.dfm	DFM Residuals and Fitted Values
screeplot.dfm	Plot DFM
screeplot.ICr	Information Criteria to Determine the Number of Factors (r)
SKF	(Fast) Stationary Kalman Filter
SKFS	(Fast) Stationary Kalman Filter and Smoother
summary.dfm	DFM Summary Methods
tsnarmimp	Remove and Impute Missing Values in a Multivariate Time Series