single_block: Multi-Level Dynamic Factor Model - Single Block (DFM)
In FARS: Factor-Augmented Regression Scenarios
single_block R Documentation
Multi-Level Dynamic Factor Model - Single Block (DFM)
Description
Estimates a Dynamic Factor Model (DFM) when only one block is present, using Principal Component Analysis (PCA).
Usage
single_block(data, r)
Arguments
data
A numeric matrix or data frame containing the time series data (T × N).
r
Integer. Number of factors to extract.
Value
A list with elements:
- factors
Matrix of estimated factors.
- loadings
Matrix of factor loadings.
- residuals
Matrix of residuals.
- fitted
Matrix of fitted values.
- method
Method used for factor extraction ("PCA").
- iterations
Number of iterations before convergence (always 0 for single block).
- factors_list
List of estimated factors for each node.
FARS documentation built on Feb. 17, 2026, 5:06 p.m.
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| single_block | R Documentation |
Multi-Level Dynamic Factor Model - Single Block (DFM)
Description
Estimates a Dynamic Factor Model (DFM) when only one block is present, using Principal Component Analysis (PCA).
Usage
single_block(data, r)
Arguments
data |
A numeric matrix or data frame containing the time series data (T × N). |
r |
Integer. Number of factors to extract. |
Value
A list with elements:
- factors
Matrix of estimated factors.
- loadings
Matrix of factor loadings.
- residuals
Matrix of residuals.
- fitted
Matrix of fitted values.
- method
Method used for factor extraction ("PCA").
- iterations
Number of iterations before convergence (always 0 for single block).
- factors_list
List of estimated factors for each node.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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