TwoStepSDFM

Last update 19 May 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 0.2.0, 0.2.1, 0.2.2

Description

Estimate a sparse Gaussian state-space model with mixed frequency data via sparse principal components analysis and the Kalman filter and smoother. For more details see Franjic and Schweikert (2024) <doi:10.2139/ssrn.4733872>.

Cites work

Nowcasting Macroeconomic Variables with a Sparse Mixed-Frequency Dynamic Factor Model

This page was built for software: TwoStepSDFM