as.data.frame.dfm: Extract Factor Estimates in a Data Frame

In dfms: Dynamic Factor Models

Extract Factor Estimates in a Data Frame

Description

Extract Factor Estimates in a Data Frame

Usage

## S3 method for class 'dfm'
as.data.frame(
  x,
  ...,
  method = "all",
  pivot = c("long", "wide.factor", "wide.method", "wide", "t.wide"),
  time = seq_row(x$F_pca),
  stringsAsFactors = TRUE
)

Arguments

x	an object class 'dfm'.
...	not used.
method	character. The factor estimates to use: any of "qml", "2s", "pca" (multiple can be supplied) or "all" for all estimates.
pivot	character. The orientation of the frame: "long", "wide.factor" or "wide.method", "wide" or "t.wide".
time	a vector identifying the time dimension, or NULL to omit a time variable.
stringsAsFactors	make factors from method and factor identifiers. Same as option to as.data.frame.table.

Value

A data frame of factor estimates.

Examples

library(xts)
# Fit DFM with 3 factors and 3 lags in the transition equation
mod = DFM(diff(BM14_M), r = 3, p = 3)

# Taking a single estimate:
print(head(as.data.frame(mod, method = "qml")))
print(head(as.data.frame(mod, method = "qml", pivot = "wide")))

# Adding a proper time variable
time = index(BM14_M)[-1L]
print(head(as.data.frame(mod, method = "qml", time = time)))

# All estimates: different pivoting methods
for (pv in c("long", "wide.factor", "wide.method", "wide", "t.wide")) {
   cat("\npivot = ", pv, "\n")
   print(head(as.data.frame(mod, pivot = pv, time = time), 3))
}

dfms documentation built on June 22, 2024, 10:31 a.m.