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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.
| Version: | 0.1.4 |
| Depends: | R (≥ 4.1) |
| Imports: | stats, methods, pls, vars, urca, readxl, dplyr, tidyr, stringr, magrittr, zoo |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown, cmdstanr, posterior, rstan |
| Published: | 2025-12-01 |
| DOI: | 10.32614/CRAN.package.convergenceDFM (may not be active yet) |
| Author: | José Mauricio Gómez Julián [aut, cre] |
| Maintainer: | José Mauricio Gómez Julián <isadorenabi at pm.me> |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Additional_repositories: | https://mc-stan.org/r-packages/ |
| Materials: | README, NEWS |
| CRAN checks: | convergenceDFM results |
| Reference manual: | convergenceDFM.html , convergenceDFM.pdf |
| Vignettes: |
Introduction to Convergence Analysis with convergenceDFM (source, R code) |
| Package source: | convergenceDFM_0.1.4.tar.gz |
| Windows binaries: | r-devel: convergenceDFM_0.1.4.zip, r-release: not available, r-oldrel: convergenceDFM_0.1.4.zip |
| macOS binaries: | r-release (arm64): convergenceDFM_0.1.4.tgz, r-oldrel (arm64): convergenceDFM_0.1.4.tgz, r-release (x86_64): convergenceDFM_0.1.4.tgz, r-oldrel (x86_64): convergenceDFM_0.1.4.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.