dfms - dfms version 0.3.1

• Fixed bug which occurred with only one quarterly variable (#73). Thanks @SantiagoD999 for reporting.

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Published by SebKrantz 7 months ago

dfms - dfms version 0.3.0

• Added argument quarterly.vars, enabling mixed-frequency estimation with monthly and quarterly data following Banbura and Modugno (2014). The data matrix should contain the quarterly variables at the end (after the monthly ones).

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Published by SebKrantz 10 months ago

dfms - dfms version 0.2.2

• Replaced Armadillo inv_sympd() by Armadillo inv() in C++ Kalman Filter to improve numerical robustness at a minor performance cost.

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Published by SebKrantz over 1 year ago

dfms - dfms version 0.2.1

• Fixed print bug in summary.dfm: print method showed that model had AR(1) errors even though idio.ar1 = FALSE by default.

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Published by SebKrantz almost 3 years ago

dfms - dfms version 0.2.0

• Added argument idio.ar1 = TRUE allowing estimation of approximate DFM's with AR(1) observation errors.

• Added a small theoretical vignette entitled 'Dynamic Factor Models: A Very Short Introduction'. This vignette lays a foundation for the present and future functionality of dfms. I plan to implement all features described in this vignette until summer 2023.

- R
Published by SebKrantz almost 3 years ago

dfms - dfms version 0.1.4

• Fixed minor bug in summary.dfm occurring if only one factor was estimated (basically an issue with dropping matrix dimensions which lead the factor summary statistics to be displayed without names).

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Published by SebKrantz about 3 years ago

dfms - dfms version 0.1.3

First official release of dfms on CRAN and GitHub.

- R
Published by SebKrantz over 3 years ago