dfms

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Dynamic Factor Models

Rytis Bagdziunas, Sebastian Krantz

Last update: 3 April 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.2.1

Source code repository: https://github.com/cran/dfms

Cites work

• A two-step estimator for large approximate dynamic factor models based on Kalman filtering
• A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
• MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA
• Determining the Number of Factors in Approximate Factor Models

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