predict_dfm: Predictions from an estimated dynamic factor model.

Description Usage Arguments Value

Description

runs a dataset through a previously estimated DFM to obtain predictions for all missing values in the series.

Usage

1
predict_dfm(data, output_dfm, months_ahead = 3, lag = 0)

Arguments

data

matrix of variables, size (n_obs, n_variables). Must include in 1st column a series of type date, called "date", all data already stationary.

output_dfm

list, the output of the dfm() function.

months_ahead

number of months ahead to forecast.

lag

number of lags for the kalman filter

Value

dataframe with all missing values filled + predictions.


nowcastDFM documentation built on Dec. 1, 2021, 5:07 p.m.