Other packages > Find by keyword >

dfms  

Dynamic Factor Models
View on CRAN: Click here


Download and install dfms package within the R console
Install from CRAN:
install.packages("dfms")

Install from Github:
library("remotes")
install_github("cran/dfms")

Install by package version:
library("remotes")
install_version("dfms", "0.4.0")



Attach the package and use:
library("dfms")
Maintained by
Sebastian Krantz
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-10-12
Latest Update: 2025-05-18
Description:
Efficient estimation of Dynamic Factor Models using the Expectation Maximization (EM) algorithm or Two-Step (2S) estimation, supporting datasets with missing data. The estimation options follow advances in the econometric literature: either running the Kalman Filter and Smoother once with initial values from PCA - 2S estimation as in Doz, Giannone and Reichlin (2011) - or via iterated Kalman Filtering and Smoothing until EM convergence - following Doz, Giannone and Reichlin (2012) - or using the adapted EM algorithm of Banbura and Modugno (2014) , allowing arbitrary patterns of missing data. The implementation makes heavy use of the 'Armadillo' 'C++' library and the 'collapse' package, providing for particularly speedy estimation. A comprehensive set of methods supports interpretation and visualization of the model as well as forecasting. Information criteria to choose the number of factors are also provided - following Bai and Ng (2002) .
How to cite:
Sebastian Krantz (2022). dfms: Dynamic Factor Models. R package version 0.4.0, https://cran.r-project.org/web/packages/dfms. Accessed 06 Jun. 2026.
Previous versions and publish date:
0.1.3 (2022-10-12 10:32), 0.1.4 (2023-01-12 17:00), 0.2.0 (2023-03-31 11:10), 0.2.1 (2023-04-03 13:00), 0.2.2 (2024-06-09 20:20), 0.3.0 (2025-05-18 06:50), 0.3.1 (2025-08-20 18:40), 0.3.2 (2025-09-24 19:20), 0.4.0 (2026-01-18 23:10)
Other packages that cited dfms R package
View dfms citation profile
Other R packages that dfms depends, imports, suggests or enhances
Complete documentation for dfms
Functions, R codes and Examples using the dfms R package
Some associated functions: BM14_Models . DFM . FIS . ICr . SKF . SKFS . ainv . as.data.frame.dfm . dot-VAR . em_converged . plot.dfm . predict.dfm . residuals.dfm . summary.dfm . tsnarmimp . 
Some associated R codes: DFM.R . EMBM.R . EMBM_idio.R . EMDGR.R . RcppExports.R . data.R . init_cond.R . methods.R . my_RcppExports.R . srr-stats-standards.R . utils.R .  Full dfms package functions and examples
Downloads during the last 30 days

Today's Hot Picks in Authors and Packages

worrrd  
Generate Wordsearch and Crossword Puzzles
Generate wordsearch and crossword puzzles using custom lists of words (and clues).Make them easy or ...
Download / Learn more Package Citations See dependency  
r2resize  
In-Text Resize for Images, Tables and Fancy Resize Containers in 'shiny', 'rmarkdown' and 'quarto' Documents
Automatic resizing toolbar for containers, images and tables. Various resizable or expandable contai ...
Download / Learn more Package Citations See dependency  
rwavelet  
Wavelet Analysis
Perform wavelet analysis (orthogonal,translation invariant, tensorial, 1-2-3d transforms, thresholdi ...
Download / Learn more Package Citations See dependency  
odbc  
Connect to ODBC Compatible Databases (using the DBI Interface)
A DBI-compatible interface to ODBC databases. ...
Download / Learn more Package Citations See dependency  
BALLI  
Expression RNA-Seq Data Analysis Based on Linear Mixed Model
Analysis of gene expression RNA-seq data using Bartlett-Adjusted Likelihood-based LInear model (BALL ...
Download / Learn more Package Citations See dependency  
IAPWS95  
Thermophysical Properties of Water and Steam
An implementation of the International Association for the Properties of Water (IAPWS) Formulation ...
Download / Learn more Package Citations See dependency  

27,268

R Packages

233,548

Dependencies

72,820

Author Associations

27,205

Publication Badges

© Copyright since 2022. All right reserved, rpkg.net.  Based in Cambridge, Massachusetts, USA