convergenceDFM: Convergence and Dynamic Factor Models
Tests convergence in macro-financial panels combining
Dynamic Factor Models (DFM) and mean-reverting Ornstein-Uhlenbeck (OU)
processes. Provides: (i) static/approximate DFMs for large panels with
VAR/VECM stability checks, Portmanteau tests and rolling out-of-sample R^2,
following Stock and Watson (2002) <doi:10.1198/073500102317351921> and the
Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000)
<doi:10.1162/003465300559037>; (ii) cointegration analysis à la Johansen
(1988) <doi:10.1016/0165-1889(88)90041-3>; (iii) OU-based convergence and
half-life summaries grounded in Uhlenbeck and Ornstein (1930)
<doi:10.1103/PhysRev.36.823> and Vasicek (1977) <doi:10.1016/0304-405X(77)90016-2>;
(iv) robust inference via 'sandwich' HC/HAC estimators (Zeileis (2004)
<doi:10.18637/jss.v011.i10>) and regression diagnostics ('lmtest'); and
(v) optional PLS-based factor preselection (Mevik and Wehrens (2007)
<doi:10.18637/jss.v018.i02>). Functions emphasize reproducibility and clear,
publication-ready summaries.
| Version: |
0.1.4 |
| Depends: |
R (≥ 4.1) |
| Imports: |
stats, methods, pls, vars, urca, readxl, dplyr, tidyr, stringr, magrittr, zoo |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown, cmdstanr, posterior, rstan |
| Published: |
2025-12-01 |
| DOI: |
10.32614/CRAN.package.convergenceDFM (may not be active yet) |
| Author: |
José Mauricio Gómez Julián [aut, cre] |
| Maintainer: |
José Mauricio Gómez Julián <isadorenabi at pm.me> |
| License: |
GPL-3 |
| NeedsCompilation: |
no |
| Additional_repositories: |
https://mc-stan.org/r-packages/ |
| Materials: |
README, NEWS |
| CRAN checks: |
convergenceDFM results |
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