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convergenceDFM
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Download and install convergenceDFM package within the R console
Install from CRAN:
install.packages("convergenceDFM")
Install from Github:
library("remotes")
install_github("cran/convergenceDFM") Install by package version:
library("remotes")
install_version("convergenceDFM", "0.1.4") Attach the package and use:
library("convergenceDFM")
Maintained by
José Mauricio Gómez Julián
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[Scholar Profile | Author Map]
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First Published: 2025-12-01
Latest Update: 2025-12-01
Description:
Tests convergence in macro-financial panels combining Dynamic Factor Models (DFM) and mean-reverting Ornstein-Uhlenbeck (OU) processes. Provides: (i) static/approximate DFMs for large panels with VAR/VECM stability checks, Portmanteau tests and rolling out-of-sample R^2, following Stock and Watson (2002) <doi:10.1198/073500102317351921> and the Generalized Dynamic Factor Model of Forni, Hallin, Lippi and Reichlin (2000) <doi:10.1162/003465300559037>; (ii) cointegration analysis à la Johansen (1988) <doi:10.1016/0165-1889(88)90041-3>; (iii) OU-based convergence and half-life summaries grounded in Uhlenbeck and Ornstein (1930) <doi:10.1103/PhysRev.36.823> and Vasicek (1977) <doi:10.1016/0304-405X(77)90016-2>; (iv) robust inference via 'sandwich' HC/HAC estimators (Zeileis (2004) <doi:10.18637/jss.v011.i10>) and regression diagnostics ('lmtest'); and (v) optional PLS-based factor preselection (Mevik and Wehrens (2007) <doi:10.18637/jss.v018.i02>). Functions emphasize reproducibility and clear, publication-ready summaries.
How to cite:
José Mauricio Gómez Julián (2025). convergenceDFM: Convergence and Dynamic Factor Models. R package version 0.1.4, https://cran.r-project.org/web/packages/convergenceDFM. Accessed 25 Jun. 2026.
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