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Releasing dfms 1.0: Fast and Feature-Rich Estimation of Dynamic Factor Models in R
I am very happy to announce the release of dfms version 1.0 (and 0.4.0 just a week earlier, see news), implementing major features such as support for dynamic factor models (DFMs) with autoregressive errors, mixed-frequency (monthly-quarterly) DFMs, including with autoregressive errors, and decomposition of forecast revisions into news releases (updates to time ...