SebKrantz/dynfacto_R: Dynamic Factor Model Estimation for Nowcasting

Dynamic factor models is a subset of more general state space models. Dynamic factor models are commonly used in economics for short-term forecasting due to possibility to summarize information from large datasets in a small number of factors. This package provides an implementation for dynamic factor models allowing for state variable to follow a vector autoregressive process or for the model coefficients to exhibit Markov-switching pattern.

install.packages("remotes")
remotes::install_github("SebKrantz/dynfacto_R")