dfms (Q1334362)

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Dynamic Factor Models

Language	Label	Description	Also known as
English	dfms	Dynamic Factor Models

Statements

source code repository

https://github.com/cran/dfms

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3 April 2023

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software version identifier

0.2.1

publication date

3 April 2023

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Sebastian Krantz

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Rytis Bagdziunas

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Sebastian Krantz

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copyright license

GNU General Public License, version 3.0

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software version identifier

≥ 1.8.0

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A two-step estimator for large approximate dynamic factor models based on Kalman filtering

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A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models

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MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA

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Determining the Number of Factors in Approximate Factor Models

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depends on software

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MaRDI profile type

MaRDI software profile

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Identifiers

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Analysis & Policy Observatory term ID

https://github.com/cran/dfms

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Software Heritage ID

swh:1:snp:fc7cf159c52efbbcc91f1fc6500ebfbf6fa7991b

source code repository

https://github.com/cran/dfms

27 September 2023

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Sitelinks

Mathematics(1 entry)

mardi Software:1334362

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