This package is an initiative of the Center for Statistical and Computational Methods (NMEC) belonging to the Brazilian Institute of Economics (IBRE) of the Getulio Vargas Foundation (FGV).
The purpose of this package is to allow
R users to implement dynamic factor models that have gained prominence in the nowcasting literature.
In this version of the package we present three methods, based on seminal articles in this literature: Giannone et al. 2008, Bańbura et al. 2011 and Bańbura and Rünstler 2011. Some backend functions are adaptations and translations of these paper's replication files available in MATLAB. One can find these replication files in the following url: https://www.newyorkfed.org/research/economists/giannone/pub
The authors would like to thank the support by the Getulio Vargas Foundation (FGV).
Giannone, D., Reichlin, L., & Small, D. (2008). Nowcasting: The real-time informational content of macroeconomic data. Journal of Monetary Economics, 55(4), 665-676.<doi:10.1016/j.jmoneco.2008.05.010>
Bańbura, M., & Rünstler, G. (2011). A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP. International Journal of Forecasting, 27(2), 333-346. <doi:10.1016/j.ijforecast.2010.01.011>
Bańbura M., Giannone, D. & Reichlin, L. (2011). Nowcasting, in Michael P. Clements and David F. Hendry, editors, Oxford Handbook on Economic Forecasting, pages 193-224, January 2011. <doi:10.1093/oxfordhb/9780195398649.001.0001>
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