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FARS: Factor-Augmented Regression Scenarios
Provides a comprehensive framework in R for modeling and forecasting economic scenarios based on multi-level dynamic factor model. The package enables users to: (i) extract global and block-specific factors using a flexible multilevel factor structure; (ii) compute asymptotically valid confidence regions for the estimated factors, accounting for uncertainty in the factor loadings; (iii) estimate factor-augmented quantile regressions; (iv) recover full predictive densities from these quantile forecasts; and (v) estimate the density when the factors are stressed.
Getting started
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Package details |
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| Author | Gian Pietro Bellocca [aut, cre], Ignacio Garrón [aut], Vladimir Rodríguez-Caballero [aut], Esther Ruiz [aut] |
| Maintainer | Gian Pietro Bellocca <gbellocc@est-econ.uc3m.es> |
| License | GPL (>= 2) |
| Version | 0.5.0 |
| URL | https://arxiv.org/abs/2507.10679 |
| Package repository | View on CRAN |
| Installation |
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