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TwoStepSDFM: Estimate a Sparse Mixed Frequency Gaussian Factor Model Using a Two-Step Procedure
Estimate a sparse Gaussian state-space model with mixed frequency data via sparse principal components analysis and the Kalman filter and smoother. For more details see Franjic and Schweikert (2024) <doi:10.2139/ssrn.4733872>.
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Package details |
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| Author | Domenic Franjic [aut, cre] |
| Maintainer | Domenic Franjic <franjic@uni-hohenheim.de> |
| License | GPL-3 |
| Version | 0.2.2 |
| Package repository | View on CRAN |
| Installation |
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